| 研究実績の概要 |
Published from the refereed journal:
Saiki Ayako, 2018. "Business Cycle Synchronization and Vertical Trade Integration: A Case Study of the Eurozone and East Asia," Global Economy Journal, De Gruyter, vol. 18(1), pages 1-15
I show that business cycle synchronization is rapidly progressing in East Asia, due to the increasing vertical trade integration in the backdrop of the rapid development of the global supply chain in the region. This is a stark contrast with the Eurozone, where adopting a common currency was expected to increase the trade and thereby cause (endogenously) the synchronization of the business cycle.
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| 現在までの達成度 (区分) |
現在までの達成度 (区分)
2: おおむね順調に進展している
理由
First, I am analyzing the exchange rate movement behavior to see the degree of the co-movement of various Asian currencies with the US Dollar, Japan, and the Euro. The study is supervised by Prof. Jeffrey Frankel at Harvard University. We found that, when VIX (so-called "fear-index" of the financial market) is high, Asian countries tend to strengthen their peg to the dollar. This is also relevant to the de-facto and de-jure exchange rate. Asian currencies are still closely tied to the US dollar. Second, by using high-frequency portfolio flow data from EPFR, I am structuring "gravity model" including "major country dummies (China, Japan, and the US)," to see how Asian financial market is integrating, and if the center of gravity in the financial market in Asia is shifting. Third, I am looking at the financial cycle correlation among Asian countries, and the difference between real business cycle correlation. So far, I find that they are different, but I still have to control the "Lehman shock" effect.
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| 今後の研究の推進方策 |
- Exchange rate co-movement: I use different numeraire (right now I am using Swiss Franc, but I will try SDR)
- Portfolio flow data: Analyzing the data using the gravity model. And the change of coefficient on "big country dummies" over time.
- Financial cycle: Given the large volume of investment of China in Africa, I am planning to include Africa to see if Africa's financial cycle correlation (as well as the real business cycle) started showing an increase.
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