2021 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, 社会文化科学学域, 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 |
The article investigates how risk spillover from the global financial market affects real economic activity in China. We develop a MIDAS-CoVaR-QR (Mixed Data Sampling-Conditional Value at Risk-Quantile Regression) approach that combines different frequencies of data to demonstrate the possibility of risk spillover from outside markets and forecast domestic macroeconomic shocks. Further, we provide evidence that risk spillovers can forecast economic shocks in China, and their predictive power increases as the time scales increase. The empirical findings also demonstrate that risk spillovers from the global stock and commodity markets have a strong negative effect on future macro-economy. Our conclusions provide meaningful information for government and policy-makers.
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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
３．２０２０年５月ー２０２１年４月、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る。実行結果をまとめ、経済的な意味と政
策的な意味を考え、論文をまとめた。
４．２０２０年１０月に完成した論文をInternational Review of Economic and Financeという国際誌に投稿した。
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| Strategy for Future Research Activity |
今後、レフェリーのコメント通りに、改訂し再投稿する予定。
また、Singapore Economic Reviews Conferenceという国際会議 にて本論文を発表する予定。
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| Causes of Carryover |
1. 既に論文を完成したため、次年度英文校閲と投稿費用が必要。
2. 学会発表ための旅費と参加費を払う予定。(もしコロナの関係で、海外出張が難しければ、オンライン学会発表に参加する。)
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Research Products
(4 results)
