Analysis of Structural Changes in Financial Markets and the Macroeconomy and Asset Allocation

• Project/Area Number: 25285097
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: National Graduate Institute for Policy Studies (2015); Hitotsubashi University
• Principal Investigator: Hayashi Fumio 政策研究大学院大学, 政策研究科, 教授 (80159095)
• Co-Investigator(Kenkyū-buntansha): OHASHI Kazuhiko 一橋大学, 国際企業戦略研究科, 教授 (50261780) ; HONDA Toshiki 一橋大学, 国際企業戦略研究科, 教授 (70303063) ; 沖本 竜義 一橋大学, 大学院国際企業戦略研究科, 准教授 (70420304)
• Project Period (FY): 2013-04-01 – 2016-03-31
• Project Status: Completed (Fiscal Year 2015)
• Budget Amount: ¥17,420,000 (Direct Cost: ¥13,400,000、Indirect Cost: ¥4,020,000); Fiscal Year 2015: ¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000); Fiscal Year 2014: ¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000); Fiscal Year 2013: ¥6,500,000 (Direct Cost: ¥5,000,000、Indirect Cost: ¥1,500,000)
• Keywords: 資産市場の連関 / 商品先物 / 資産選択理論 / 量的緩和 / REIT / ボラティリティー / 金融政策

Outline of Final Research Achievements

Before and after the Lehman crisis, there have been notable developments in financial markets. Among them are the introduction of commodity futures indexes and the arrival of the zero-interest rate monetary policy. We empirically analyzed the connection between those developments and the structure of returns for major asset markets and the behavior of macro variables. We do so by utilizing time-series techniques that allow for structural changes in the short and long runs and also a portfolio-choice theory with uncertain parameters. The returns we analyzed are for commodity futures, government bonds, Japanese stocks and stock mutual funds.

Research Products

• [Journal Article] Commodity Spread Option with Cointegration (2016)
  • Author(s): Katsushi Nakajima and Kazuhiko Ohashi
  • Journal Title: Asia-Pacific Financial Markets Volume: 23 Issue: 1 Pages: 1-44
  • DOI: 10.1007/s10690-015-9207-1
  • Peer Reviewed / Acknowledgement Compliant
• [Presentation] Exiting from QE (2016)
  • Author(s): Fumio Hayashi
  • Organizer: Japan Economic Seminar
  • Place of Presentation: Columbia University, New York, U.S.
  • Year and Date: 2016-03-04
  • Invited
• [Presentation] Exiting from QE (2015)
  • Author(s): Fumio Hayashi
  • Organizer: 9th International Workshop on the Methods in International Finance Network
  • Place of Presentation: Osaka Umeda Campus, Kwansei Gakuin University
  • Year and Date: 2015-10-30
  • Int'l Joint Research / Invited
• [Presentation] Asset Demand and Ambiguity Aversion (2015)
  • Author(s): Toshiki Honda
  • Organizer: Asian Finance Association 2015 Annual Meeting
  • Place of Presentation: Changsha, Hunan Province, China
  • Year and Date: 2015-06-30
  • Int'l Joint Research
• [Presentation] Exiting from QE (2015)
  • Author(s): 林文夫
  • Organizer: American Economic Association 2015 Annual Meeting
  • Place of Presentation: 米国ボストン(Sheraton Boston)
  • Year and Date: 2015-01-03
• [Presentation] Increasing Trends in the Excess Comovements of Commodity Prices (2014)
  • Author(s): 大橋和彦
  • Organizer: Asian Finance Association 2014 Meeting
  • Place of Presentation: インドネシア バリ( Bali Nusa Dua Convention Center)
  • Year and Date: 2014-06-25
• [Presentation] Increasing Trends in the Excess Comovements of Commodity Prices (2014)
  • Author(s): 大橋和彦
  • Organizer: Financial Management Association 2014 Asian Meeting
  • Place of Presentation: 一橋大学千代田キャンパス
  • Year and Date: 2014-05-10
• [Presentation] Exiting from QE (2014)
  • Author(s): 林文夫
  • Organizer: Monetary Policy and Financial Markets
  • Place of Presentation: 米国サンフランシスコ連邦準備銀行
• [Presentation] Asset Demand and Ambiguity Aversion (2014)
  • Author(s): 本多俊毅
  • Organizer: 「京都大学経済研究所 共同利用・共同研究拠点支援事業 ポート フォリオ選択と資産価格に関する国際コンファレンス」
  • Place of Presentation: 京都大学(京都府左京区)
• [Presentation] Decreasing trends in stock-bond correlations (2014)
  • Author(s): 沖本竜義
  • Organizer: International Conference on “Econometrics for Macroeconomics
  • Place of Presentation: 一橋大学(東京都国立市)
  • Invited
• [Presentation] A Regime-Switching SVAR Analysis of the Zero-Interest Rate Policy (2013)
  • Author(s): 林文夫
  • Organizer: Taiwan Econometric Society
  • Place of Presentation: 台湾国立大学
  • Invited
• [Presentation] Asset Demand and Ambiguity Aversion (2013)
  • Author(s): 本多俊毅
  • Organizer: 「経済の数理解析」数理経済学会 研究集会
  • Place of Presentation: 慶応義塾大学三田キャンパス(東京都港区)