| Project/Area Number |
24K16404
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| Research Category |
Grant-in-Aid for Early-Career Scientists
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| Allocation Type | Multi-year Fund |
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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Setsunan University |
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Principal Investigator |
羅 鵬飛 摂南大学, 経済学部, 講師 (20881361)
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| Project Period (FY) |
2024-04-01 – 2027-03-31
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| Project Status |
Granted (Fiscal Year 2024)
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| Budget Amount *help |
¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2026: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2025: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2024: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
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| Keywords | exchang rate / global risk / monetary policy / exchange rate dynamics / emerging market currency / FXI |
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| Outline of Research at the Start |
This study explores the dynamics of exchange rates in emerging markets by assessing the short- and long-term impacts of global risks, economic forecasts, and central bank interventions. It aims to add to the exchange rate determination theory and provide insights into exchange rate risk management.
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| Outline of Annual Research Achievements |
This study aims to (1) investigate the short- and long-term effects of multifaceted global risks on EM exchange rates using diverse global risk indicators; (2) analyze the effects of global and domestic economic forecasts on EM exchange rates using economic survey data; and (3) examine the features and effectiveness of central bank interventions in EM exchange rates and macroeconomic outcomes.
In FY2024, we achieved two main outcomes for research aim (1):
First, we analyzed EM exchange rate responses to global risks in ASEAN+4 economies, considering differences in monetary policy targets and exchange rate regimes. Using country-specific SVARX models, we examined responses to US monetary policy shocks, oil price fluctuations, economic policy uncertainty, and global financial risks. The findings show that exchange rate dynamics depend not only on institutional settings but also on the nature of global shocks, underscoring the need for more tailored and regionally coordinated policies.
Second, we examined the recent yen depreciation in advanced economies through an extended UIP model incorporating global risks and monetary policy expectations. Results revealed that short-term interest rate differentials have limited influence, while global risks and expectations play a more significant role in yen movements.
Preparations for research aims (2) and (3) are underway, with progress made in data collection for aim (3).
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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
This research has progressed steadily for the following reasons:
We advanced research aim (1) on the effects of multifaceted global risks on EM exchange rates, resulting in two research papers. The study on ASEAN+4 exchange rates was presented at several conferences (Japan Economics Association, Japan Society of Monetary Economics, East Asian Economic Association), revised, and submitted to a peer-reviewed journal. The study on yen depreciation was presented at JERI and published in the JERI Monthly Report.
Regarding research aim (3), we completed the literature review and data collection on central bank foreign exchange interventions, laying the groundwork for empirical analysis of intervention triggers, effectiveness, and macroeconomic impacts in the next phase.
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| Strategy for Future Research Activity |
Due to an increase in subscription fees for the Economic Consensus database, we will continue seeking alternative data sources for aim (2) research about the effects of economic forecasts on EM exchange rates.
We will prioritize aim (3) research on foreign exchange interventions (FXI).This study will use the constructed FXI database to analyze central bank interventions, focusing on: first, identifying FXI triggers such as FX fluctuations,domestic inflation,and global shocks; second, examining FXI strategies in terms of scale,frequency,and instruments;third, assessing the effectiveness of interventions on exchange rate dynamics,market expectations, macroeconomic outcomes, and reserve levels.The findings will be presented at academic conferences and submitted to peer-reviewed journals.
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