2019 Fiscal Year Research-status Report
Risk spillover from international financial markets and macroeconomic activities
| Project/Area Number |
19K13738
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| Research Institution | Okayama University |
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Principal Investigator |
蔡 暁静 岡山大学, 社会文化科学研究科, 准教授 (90822908)
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| Project Period (FY) |
2019-04-01 – 2023-03-31
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| Keywords | MIDAS / CoVaR / Wavelet analysis / Quantile regression |
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| Outline of Annual Research Achievements |
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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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
１．２０１９年４月ー２０１９年７月、データを収集完了。
２．２０１９年８月ー２０２０年４月、モデルの勉強とプログラミングの作成
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| Strategy for Future Research Activity |
今後の研究の推進方策について、完成できたプログラミングに実際のデータを入力し、実行するということになります。実行結果をまとめ、経済的な意味と政策的な意味を考え、論文をまとめることになります。
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| Causes of Carryover |
次年度専門書籍を１０冊購入する予定で、毎年Dropbox（データの保存ため）を購入する予定で、学会発表ための旅費と参加費を払う予定です。
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