Time series analysis of liquidity foctors:Cause and effect among financial/economic index explaining default numbers
| Project/Area Number |
15H03373
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Management
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| Research Institution | University of Tsukuba |
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Principal Investigator |
Ono Tadashi 筑波大学, ビジネスサイエンス系, 教授 (10527930)
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| Co-Investigator(Renkei-kenkyūsha) |
TSUBAKI Hiroe 独立行政法人統計センター, 理事長 (30155436)
YAMASHITA Satoshi 情報システム研究機構統計数理研究所, データ科学研究系, 教授 (50244108)
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| Research Collaborator |
YOSHIBA Yoshinao 日本銀行
TAKIGAWA Yozo 三井住友銀行, 常勤監査役
SUZUKI Ryo 三井住友銀行, 執行役員米州副本部長
INOUE Takayuki 三井住友銀行, 理事国際審査部長
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥6,500,000 (Direct Cost: ¥5,000,000、Indirect Cost: ¥1,500,000)
Fiscal Year 2017: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2016: ¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2015: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
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| Keywords | 流動性リスク / 倒産 / 時系列 / 企業倒産 / システミックリスク / 金融論 |
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| Outline of Final Research Achievements |
This study aims to develop a multi-regression model for predicting default numbers in Japan by using sixteen years data. In the single regression analysis, we determine 10 variable candidates (financial/economic index) to have relatively strong predicting power. Using these 10 candidates, we derive a multi-regression model with five explanatory variables: TIBOR-Call spread, Yield curve spread, CP-Call spread, TIBOR-TB spread, and Stock market crash. This model has strong explanatory power (Adj. R2 = 0.881). In a Granger’s causality analysis of the 8 candidates and dependent default number, we find the cause and effect chain in the liquidity crisis starting from yield curve spread to default number. This research helps supervising authority and financial institutions' risk management section to monitor the signs of liquidity crisis.
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Report
(4 results)
Research Products
(10 results)
