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

A Study for the Time-Varying Structure of Foreign Exchange Markets using Non-Bayesian Time-Varying Econometric Models

Research Project

Project/Area Number 26380397
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionKeio University

Principal Investigator

Ito Mikio  慶應義塾大学, 経済学部(三田), 教授 (70184695)

Co-Investigator(Kenkyū-buntansha) 野田 顕彦  京都産業大学, 経済学部, 准教授 (80610112)
Research Collaborator WADA Tatsuma  Wayne State University, Associate Professor
Project Period (FY) 2014-04-01 – 2017-03-31
Project Status Completed (Fiscal Year 2016)
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)
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
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.

Report

(4 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • 2014 Research-status Report

Research Products

(19 results)

All 2017 2016 2015 2014 Other

All Journal Article (6 results) (of which Peer Reviewed: 5 results,  Acknowledgement Compliant: 5 results) Presentation (12 results) (of which Int'l Joint Research: 5 results,  Invited: 1 results) Remarks (1 results)

  • [Journal Article] Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets2016

    • Author(s)
      Ito, M., Maeda, K., and Noda, A.
    • Journal Title

      Financial History Review

      Volume: 23 Pages: 325-346

    • DOI

      10.1017/s0968565017000014

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Time-Varying Comovement of Foreign Exchange Markets2016

    • Author(s)
      Ito, M., Noda, A., and Noda, A.
    • Journal Title

      Quantitative Finance Papers [arXiv:1610.04334]

      Volume: -

    • Related Report
      2016 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] A test of the adaptive market hypothesis using a time-varying AR model in Japan2016

    • Author(s)
      Akihiko Noda
    • Journal Title

      Finance Research Letters

      Volume: forthcoming Pages: 1-7

    • DOI

      10.1016/j.frl.2016.01.004

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach2016

    • Author(s)
      Mikio Ito, Akihiko Noda and Tatsuma Wada
    • Journal Title

      Applied Economics

      Volume: 48(7) Pages: 621-635

    • DOI

      10.1080/00036846.2015.1083532

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data2016

    • Author(s)
      Pierre Perron and Tatsuma Wada
    • Journal Title

      Research in Economics

      Volume: forthcoming Pages: 1-47

    • DOI

      10.1016/j.rie.2015.12.001

    • Related Report
      2015 Research-status Report
    • Peer Reviewed
  • [Journal Article] International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach2014

    • Author(s)
      Mikio Ito, Akihiko Noda and Tatsuma Wada
    • Journal Title

      Applied Economics

      Volume: 46(23) Pages: 2744-2754

    • DOI

      10.1080/00036846.2014.909579

    • Related Report
      2014 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Presentation] Market Integration in the Prewar Japanese Rice Markets2017

    • Author(s)
      Ito, M., Maeda, K., and Noda, A.
    • Organizer
      International Conference on Economic History "Market Integration during the Modernization in East Asia”
    • Place of Presentation
      Keimyung University (Deagu, Korea)
    • Year and Date
      2017-02-20
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Time-Varying Comovement of Foreign Exchange Markets2016

    • Author(s)
      Ito, M., Noda, A., and Wada, T.
    • Organizer
      Midwest Econometrics Group 26th Annual Meeting
    • Place of Presentation
      University of Illinois at Urbana-Champaign (Illinois, U.S.)
    • Year and Date
      2016-10-21
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Market Integration in the Prewar Japanese Rice Markets2016

    • Author(s)
      Ito, M., Maeda, K., and Noda, A.
    • Organizer
      日本経済学会2016年度秋季大会
    • Place of Presentation
      早稲田大学(東京都・新宿区)
    • Year and Date
      2016-09-10
    • Related Report
      2016 Annual Research Report
  • [Presentation] Time-Varying Comovement of Foreign Exchange Markets2016

    • Author(s)
      Ito, M., Noda, A., and Wada, T.
    • Organizer
      Western Economic Association International 91st Annual Conference
    • Place of Presentation
      Hilton Portland & Executive Tower (Oregon, U.S.)
    • Year and Date
      2016-06-29
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Market Integration in the Prewar Japanese Rice Markets2016

    • Author(s)
      Ito, M., Maeda, K., and Noda, A.
    • Organizer
      Western Economic Association International 91st Annual Conference
    • Place of Presentation
      Hilton Portland & Executive Tower (Oregon, U.S.)
    • Year and Date
      2016-06-29
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The Futures Premium and Rice Market Efficiency in Prewar Japan2015

    • Author(s)
      伊藤幹夫・前田廉孝・野田顕彦
    • Organizer
      日本経済学会2015年度秋季大会
    • Place of Presentation
      上智大学(東京都・千代田区)
    • Year and Date
      2015-10-10
    • Related Report
      2015 Research-status Report
  • [Presentation] Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets2015

    • Author(s)
      Mikio Ito, Kiyotaka Maeda and Akihiko Noda
    • Organizer
      Western Economic Association International 90th Annual Conference
    • Place of Presentation
      Hilton Hawaiian Village (Waikiki, Hawaii, U.S.)
    • Year and Date
      2015-06-28
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets2015

    • Author(s)
      伊藤幹夫・前田廉孝・野田顕彦
    • Organizer
      第84回社会経済史学会全国大会
    • Place of Presentation
      早稲田大学(東京都・新宿区)
    • Year and Date
      2015-05-30
    • Related Report
      2015 Research-status Report
  • [Presentation] Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan2014

    • Author(s)
      Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
    • Organizer
      同志社大学経済学会研究会
    • Place of Presentation
      同志社大学(京都府・京都市上京区)
    • Year and Date
      2014-10-24
    • Related Report
      2014 Research-status Report
  • [Presentation] Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan2014

    • Author(s)
      Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
    • Organizer
      政治経済学・経済史学会2014年度秋季学術大会・総会
    • Place of Presentation
      青山学院大学(東京都・渋谷区)
    • Year and Date
      2014-10-18 – 2014-10-19
    • Related Report
      2014 Research-status Report
  • [Presentation] Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan2014

    • Author(s)
      Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
    • Organizer
      日本経済学会2014年度秋季大会
    • Place of Presentation
      西南学院大学(福岡県・福岡市早良区)
    • Year and Date
      2014-10-10 – 2014-10-11
    • Related Report
      2014 Research-status Report
  • [Presentation] The Integration and Efficiency of the Rice Futures Markets in Prewar Japan (Previously circulated as "Dynamic Linkages between Tokyo and Osaka Rice Futures Markets in Prewar Japan")2014

    • Author(s)
      Mikio Ito, Kiyotaka Maeda, and Akihiko Noda
    • Organizer
      Western Economic Association International 89th Annual Conference
    • Place of Presentation
      Grand Hyatt Denver(Denver, Colorado, U.S.)
    • Year and Date
      2014-06-27 – 2014-07-01
    • Related Report
      2014 Research-status Report
  • [Remarks] JSPS Research Projects

    • URL

      http://at-noda.com/jsps/

    • Related Report
      2016 Annual Research Report 2015 Research-status Report 2014 Research-status Report

URL: 

Published: 2014-04-04   Modified: 2018-03-22  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi