A Study for the Time-Varying Structure of Foreign Exchange Markets using Non-Bayesian Time-Varying Econometric Models

2016 Fiscal Year Final Research Report

• Project/Area Number: 26380397
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Keio University
• Principal Investigator: Ito Mikio 慶應義塾大学, 経済学部(三田), 教授 (70184695)
• Research Collaborator: WADA Tatsuma Wayne State University, Associate Professor
• Project Period (FY): 2014-04-01 – 2017-03-31
• Keywords: 外国為替市場 / 市場効率性 / 先物プレミアムパズル / 時変計量経済モデル / ベクトル誤差修正モデル

Outline of Final Research Achievements

The objective of this study is to elucidate what causes the futures premium puzzle (FPP), one of the famous longtime unsolved problems on interest parity of foreign exchange markets, with the help of non-Bayesian time-varying econometric models proposed by Ito et. al (2014). In particular, we first developed a non-Bayesian time-varying vector error correction model. We secondly examined the time-varying structure of co-movement among various exchange rates applying the model to data of foreign exchange markets. Then, we found that the above co-movement have varied over time for the past quarter-century and that it has been one of the cause of FPP.

Free Research Field

計量経済学，ファイナンス