研究実績の概要 |
This study seeks to measure global financial stability by constructing the Global Flow of Funds (GFF) matrix model based on its inherent market mechanisms. After investigating the basics of the Savings-Investment balance among G20 economies, we use GFF data to establish a GFF statistical matrix for the G20, which can be used to evaluate the financial risks and influences among its members, and to estimate bilateral exposures between countries for three different financial instruments within and across the G20 economies. We use a financial network analysis to construct an empirical analysis of financial relationships within the G20, focusing on the effects of a shock to portfolio investments in the United States, China, and Japan. We use who-to-whom (W-to-W) matrices to study the local propagation dynamics of shocks in investment and financing for the three countries. To that aim, we propose a decomposition of shocks into n-order effects on the basis of an “inverse of Leontief” representation of the W-t-W matrices. We further propose an eigenvector decomposition of the effects to provide an analytical description of the propagation process. This reveals the deep connections between the propagation role of financial instruments/countries and their centrality in the W-t-W network.
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今後の研究の推進方策 |
国際資金循環(Global flow of funds, GFF)を計測するための対外的GFF Matrix (GFFM)と日米中の対内的金融連関表(FIOM)を構築する予定である。 まず、GFF統計の枠組みに基づき、金融危機発生による国際間の波及を把握するという問題意識で、G20という枠で日米中を分析の中心対象として、Who-to-WhomベースでGFFの対外的な動きを反映できるようにGFFMを作成する。その次、GFFによる対内的影響を計測するために、対外金融投資を資金循環勘定における海外部門(Rest of World, ROW)にリンクし、対外金融取引項目をファイナンスする資本取引を国内金融部門、非金融法人部門、政府部門及び家計部門につなげ、W-t-WベースでFinancial Input-Output Model (FIOM)を作成する。そのうえ、GFFMとFIOMの推定結果を通じて対外資金循環の構造的問題と安定性を体系的に把握する。
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