Time Series Analysis of Financial Data

2017 Fiscal Year Final Research Report

• Project/Area Number: 26380274
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Keio University
• Principal Investigator: Yabu Tomoyoshi 慶應義塾大学, 商学部(三田), 教授 (90463819)
• Co-Investigator(Kenkyū-buntansha): 新谷 元嗣 東京大学, 先端科学技術研究センター, 教授 (00252718)
• Project Period (FY): 2014-04-01 – 2018-03-31
• Keywords: 介入 / 代理変数 / 利益

Outline of Final Research Achievements

Japan has resisted rapid yen appreciation by occasionally conducting foreign exchange interventions since it departed from the Bretton Woods system in August 1971. Japan has been a popular country for studies in the intervention literature. The daily data of interventions for the period since April 1991, have been disclosed. However, intervention data from August 1971 to March 1991 are not officially disclosed. The contribution of our research is two-fold. First, we found a accurate proxy for the monthly intervention amount, for the period from August 1971 to March 1991. The accuracy of our proxy is tested against the actual interventions in a period when the actual intervention data are disclosed. Second, we proposed a method to define and calculate profits from interventions and asset management of foreign reserves. Then, the realized and unrealized profits of Japanese interventions from August 1971 to March 2016 were calculated from data.

Free Research Field

国際金融、計量経済学