Predicting the collapse of the bubble economy and studying the macroeconomic impact of the bursting of the bubble economy

2021 Fiscal Year Final Research Report

• Project/Area Number: 17K01270
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: International Christian University
• Principal Investigator: Kaizoji Taisei 国際基督教大学, 教養学部, 教授 (10265960)
• Project Period (FY): 2017-04-01 – 2022-03-31
• Keywords: バブル / バブル崩壊 / 株式市場のマクロテイル・リスク

Outline of Final Research Achievements

This study used OSIRIS, a corporate financial database of approximately 60,000 listed companies worldwide provided by Bureau van Dijk, to numerically estimate corporate fundamentals from corporate financial data, and showed that stock prices deviated significantly from fundamentals before and after the 2008 global financial crisis. We also showed that most of the global stock market volatility caused by the bursting of the bubble was driven by shocks to the top 100 largest firms. The empirical results obtained in this study indicates that extreme disparities in firm size may have worsened corporate fundamentals through stock market crashes and plunged the macroeconomy into a recession.
The econometric model constructed in this study has a unique theoretical perspective in that it views speculative bubbles and the collapse of bubbles as deviations from corporate fundamentals and may bring new insights into the fields of finance and macroeconomics.

Free Research Field

金融経済学、経済物理学、ファイナンス、マクロ経済学

Academic Significance and Societal Importance of the Research Achievements

本研究で構築した計量モデルは、投機的バブルとバブルの崩壊を企業のファンダメンタルズからの乖離として捉える点で、ユニークな理論的視点を持っており、ファイナンス、マクロ経済学の分野に新たな知見をもたらす可能性がある。さらに、本研究で構築した計量モデルを利用することでリーマンショックのような金融市場の大変動がマクロ経済の変動を引き起こす予兆の発見が可能になると考えられ、実用面での有用性が期待できる。