• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

Time series analysis of liquidity foctors:Cause and effect among financial/economic index explaining default numbers

Research Project

Project/Area Number 15H03373
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Management
Research InstitutionUniversity of Tsukuba

Principal Investigator

Ono Tadashi  筑波大学, ビジネスサイエンス系, 教授 (10527930)

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)
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
Project Period (FY) 2015-04-01 – 2018-03-31
Project Status Completed (Fiscal Year 2017)
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)
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
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.

Report

(4 results)
  • 2017 Annual Research Report   Final Research Report ( PDF )
  • 2016 Annual Research Report
  • 2015 Annual Research Report
  • Research Products

    (10 results)

All 2018 2017 2016 2015

All Presentation (9 results) (of which Int'l Joint Research: 2 results) Book (1 results)

  • [Presentation] 英国倒産数予測中間報告ver22017

    • Author(s)
      大野忠士
    • Organizer
      金融リスク研究会(ロンドン)
    • Related Report
      2017 Annual Research Report
  • [Presentation] 日本における倒産数予測と説明変数間の因果関係2017

    • Author(s)
      大野忠士
    • Organizer
      日本ファイナンス学会第25回大会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Default number prediction in Japan by financial/economic index and Granger's causality2017

    • Author(s)
      Ono, Tadashi
    • Organizer
      2017年度統計関連学会連合大会
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Default number prediction in Japan by financial/economic index and Granger causality2017

    • Author(s)
      Ono, Tadashi
    • Organizer
      2017 Asian Conference of Management Science & Applications
    • Related Report
      2017 Annual Research Report
  • [Presentation] Default Number Prediction by Financial/Economic Index and Granger's Causality among Index (U.S. market)2016

    • Author(s)
      Ono, Tadashi
    • Organizer
      28th Asian-pacific Conference on International Accounting Issues
    • Place of Presentation
      Ritz-Carlton Hotel, Kapulua, maui, U.S.A.
    • Year and Date
      2016-11-06
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 金融経済指標による倒産数予測と説明変数間の構造分析2016

    • Author(s)
      大野忠士
    • Organizer
      2016年度統計関連学会連合大会
    • Place of Presentation
      金沢大学角間キャンパス(石川県)
    • Year and Date
      2016-09-04
    • Related Report
      2016 Annual Research Report
  • [Presentation] 金融経済指標による倒産数予測と説明変数間の構造分析2016

    • Author(s)
      大野忠士
    • Organizer
      日本ファイナンス学会第24回大会
    • Place of Presentation
      横浜国立大学(神奈川県)
    • Year and Date
      2016-05-21
    • Related Report
      2016 Annual Research Report
  • [Presentation] 金融経済指標による倒産数予測と説明変数間の構造分析2016

    • Author(s)
      大野忠士
    • Organizer
      2016年度日本ファイナンス学会
    • Place of Presentation
      横浜国立大学(神奈川県横浜市)
    • Year and Date
      2016-05-21
    • Related Report
      2015 Annual Research Report
  • [Presentation] 米国金融指標を用いた倒産数予測および指標間の構造分析2015

    • Author(s)
      大野忠士
    • Organizer
      統計数理研究所リスク解析戦略研究センター第4回金融シンポジウム
    • Place of Presentation
      学術総合センター中会議場(東京都千代田区)
    • Year and Date
      2015-12-07
    • Related Report
      2015 Annual Research Report
  • [Book] 流動性指標の時系列分析:企業倒産に影響を及ぼす金融経済指標間の因果関係(科学研究費補助金実績報告書)2018

    • Author(s)
      大野忠士
    • Total Pages
      149
    • Publisher
      自費出版
    • Related Report
      2017 Annual Research Report

URL: 

Published: 2015-04-16   Modified: 2019-03-29  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi