A Study for the Time-Varying Structure of Foreign Exchange Markets using Non-Bayesian Time-Varying Econometric Models
| Project/Area Number |
26380397
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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 |
Money/ Finance
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| Research Institution | Keio University |
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Principal Investigator |
Ito Mikio 慶應義塾大学, 経済学部(三田), 教授 (70184695)
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| Co-Investigator(Kenkyū-buntansha) |
野田 顕彦 京都産業大学, 経済学部, 准教授 (80610112)
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| Research Collaborator |
WADA Tatsuma Wayne State University, Associate Professor
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2016: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2014: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Keywords | 外国為替市場 / 市場効率性 / 先物プレミアムパズル / 時変計量経済モデル / ベクトル誤差修正モデル / 市場統合 / 為替市場 |
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| Outline of Final Research Achievements |
The objective of this study is to elucidate what causes the futures premium puzzle (FPP), one of the famous longtime unsolved problems on interest parity of foreign exchange markets, with the help of non-Bayesian time-varying econometric models proposed by Ito et. al (2014). In particular, we first developed a non-Bayesian time-varying vector error correction model. We secondly examined the time-varying structure of co-movement among various exchange rates applying the model to data of foreign exchange markets. Then, we found that the above co-movement have varied over time for the past quarter-century and that it has been one of the cause of FPP.
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Report
(4 results)
Research Products
(19 results)
