Analysis of Structural Changes in Financial Markets and the Macroeconomy and Asset Allocation

2015 Fiscal Year Final Research Report

• Project/Area Number: 25285097
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: National Graduate Institute for Policy Studies (2015); Hitotsubashi University
• Principal Investigator: Hayashi Fumio 政策研究大学院大学, 政策研究科, 教授 (80159095)
• Co-Investigator(Kenkyū-buntansha): OHASHI Kazuhiko 一橋大学, 国際企業戦略研究科, 教授 (50261780) ; HONDA Toshiki 一橋大学, 国際企業戦略研究科, 教授 (70303063)
• Project Period (FY): 2013-04-01 – 2016-03-31
• Keywords: 資産市場の連関 / 商品先物 / 資産選択理論 / 量的緩和

Outline of Final Research Achievements

Before and after the Lehman crisis, there have been notable developments in financial markets. Among them are the introduction of commodity futures indexes and the arrival of the zero-interest rate monetary policy. We empirically analyzed the connection between those developments and the structure of returns for major asset markets and the behavior of macro variables. We do so by utilizing time-series techniques that allow for structural changes in the short and long runs and also a portfolio-choice theory with uncertain parameters. The returns we analyzed are for commodity futures, government bonds, Japanese stocks and stock mutual funds.

Free Research Field

マクロ経済学