| 研究実績の概要 |
In this research, we investigate whether the risk spillover from the global financial markets has effect on the real economy at different time horizon, including short-,mid-,and long-term.
We extend the framework of Giglio et al (2016) and propose a novel approach-MIDAS-CoVaR-QR model. Firstly, we can obtain the monthly spillovers by employing the GARCH-MIDAS and DCC-MIDAS approach. This approach allows to drive the monthly risk spillover without losing too much information on high frequent data. Secondly, we decompose the obtained risk spillover series to different frequent time series by employing the discrete wavelet approach, including short-, mid-, and long-term. Finally, we apply the quantile regression model to examine the predictability of the obtained risk spillover from the global financial markets on the macroeconomic shocks scale by scale.
Main contributions of this research is that we provide a new viewpoint of this issue by treating the global financial market as international factor while treating the domestic stock market as domestic factor to quantify the risk spillover by using CoVaR function.
In order to investigate the risk spillover effect from global financial markets, we consider three types of global financial markets, including stock, foreign exchange, and commodity markets.
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