Multivariate econometric analysis of time series data of foreign exchange rates and domestic prices in the presence of structural breaks
| Project/Area Number |
26380349
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic policy
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| Research Institution | Fukuoka University |
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Principal Investigator |
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| Research Collaborator |
Han Gwang Choo Sejong University, Department of Economics and Trade
Almaas Synne S. NTNU, Department of Economics
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| Project Period (FY) |
2014-04-01 – 2019-03-31
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| Project Status |
Completed (Fiscal Year 2018)
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| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2016: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 経済政策 / 為替レート・物価 / 時系列データ / 時系列分析 |
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| Outline of Final Research Achievements |
I conducted various empirical analyses of macroeconomic and financial time series data subject to structural breaks in order to reveal the underlying interdependent relationships between foreign exchange rates and domestic prices. I utilized a class of newly developed multivariate econometric techniques as well as the formerly established ones for the purpose of achieving the aforementioned objective. The research project was broken down into the following three stages: (1) developing required mathematical econometric theories, (2) conducting a series of Monte Carlo simulation analyses and (3) modeling and analyzing real-life time series data. From these three stages a set of research papers on econometric methodology and empirical applications was developed. I presented the outcome of the research at various conferences and seminars. I also submitted the research papers to academic peer-reviewed journals; some of the papers have been accepted and published in these journals.
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| Academic Significance and Societal Importance of the Research Achievements |
構造変化に配慮した多変量時系列分析手法の開発とそれを用いた様々な実証研究により、金融政策をはじめとしたマクロ経済政策に関してデータに基づく知見を得ることができ、開放経済における今後のマクロ経済政策の決定等において有益な定量的研究を行うことができた。
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Report
(6 results)
Research Products
(25 results)
