Comparative Econometric Analysis of Growth and Currency Stability in the EMU and APEC Countries

欧洲货币联盟和亚太经合组织国家增长和货币稳定性的比较计量分析

• 批准号: 10430005
• 负责人: WAGO Hajime
• 金额: $ 6.34万
• 依托单位: Nagoya University (2000)Niigata University (1998-1999)
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (B).
• 财政年份: 1998
• 资助国家: 日本
• 起止时间: 1998 至 2000
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-10430005/
• 关键词: Asian Economic Growth; Asian Currency Crisis; Linkage of Currency and Stock Price; Volatility model; Assymetry in variance model; Volatility change in exchange rate; International Currency System; アジア諸国の経済成長; 多変量GARCHモデル; 為替レート; 多変量GARCH

The Asian financial crisis in 1997 had different aspects from the crisis experienced by developing countries in the past and might well be called the crisis of new century. Compared with the past, the macro economic indicators in Asian countries showed the following characteristics ; (1) the saving and the investment ratios to GDP were both high ; (2) the financial balance of payments showed surplus in most countries ; (3) the inflation rates stayed relatively low. The foreign exchange markets in those countries were pegged to the currency baskets in which dollar had large weight. Because of this, Asian countries lost competitiveness when yen depreciated against dollar in 1995.The objective of this research was in the first place to analyze quantitatively the short term and long term effects of the movements of the primary currency on the macro economic conditions such as economic growth in the EMU.Second, based on the results, the currency policies of the APEC countries in the 21st ce … More ntury were explored both theoretically and empirically. Third, the influences of currency fluctuations on economic growth in APEC countries were investigated and comparisons were made with EMU countries.It is often claimed that large fluctuations of an exchange rate cause serious problems in the economy. However, the detail of its mechanism is not obvious. This research investigated the functions of the international currency system by studying the introduction of EURO and the Asian currency crisis. Further, an econometric model to explain the relationship between the currency and the economic growth was constructed and the impacts of various economic policies were numerically evaluated. At the same time, some econometric methodologies were proposed to analyze the currency market empirically. The final report includes 21 research papers that were presented at the annual meeting of the Japan Statistical Society, the international symposium of the ISI and four research symposia for our project. Less

1997年的亚洲金融危机与以往发展中国家经历的危机有着不同的方面，堪称新世纪的危机。与以往相比，亚洲国家的宏观经济指标呈现出以下特点：（1）储蓄和投资占国内生产总值的比例都很高;（2）大多数国家的财政收支出现顺差;（3）通货膨胀率保持在较低水平。这些国家的外汇市场与美元占较大比重的货币篮子挂钩。1995年，日元对美元贬值，亚洲国家失去了竞争力。本研究的目的首先是定量分析主要货币汇率变动对欧洲货币联盟经济增长等宏观经济条件的短期和长期影响，然后在此基础上，对21世纪亚太经合组织国家的货币政策进行分析 ...更多信息 本文从理论和实证两个方面进行了探讨。第三，研究了APEC国家的汇率变动对经济增长的影响，并与欧洲货币联盟（EMU）国家进行了比较。然而，其机制的细节并不明显。本研究以欧元的引进和亚洲货币危机为研究对象，考察了国际货币体系的功能。此外，还构建了解释货币与经济增长关系的计量经济模型，并对各种经济政策的影响进行了数值评估。同时，提出了一些计量经济学方法来对货币市场进行实证分析。最终报告包括在日本统计学会年会、ISI国际研讨会和本项目的四个研究研讨会上发表的21篇研究论文。少

项目成果

FUKAO,Mitsuhiro: "Recapitalizing Japan's Banks : The Functions and problems of Financial Revitalization Act and Bank Recapitalization Act"Asian Development Bank Institute Conference, June 30. (1999)

FUKAO,Mitsuhiro：“日本银行资本重组：金融振兴法案和银行资本重组法案的功能和问题”亚洲开发银行研究所会议，6 月 30 日。（1999 年）

和合肇: "景気循環モデルにおける非対称性"貯蓄経済理論研究会年報. 第16巻. 205-238 (2001)

Hajime Wago：“经济周期模型中的不对称性”储蓄经济理论研究小组年度报告，第 16 卷，205-238 (2001)。

FUKAO,Mitsuhiro: "Financial Crisis in Japan"Economic Research Institute (Economic Planning Agency) International Symposium, "Financial Fragility in Transition Economies, " in Budapest on November 22-23. (1999)

FUKAO,Mitsuhiro：“日本的金融危机”经济研究所（经济计划厅）国际研讨会，“转型经济体中的金融脆弱性”，11 月 22 日至 23 日在布达佩斯举行。

和合肇: "景気循環モデルにおける非対称性"貯蓄経済理論研究会年報. 第16巻. 1-33 (2001)

Hajime Wago：“经济周期模型中的不对称性”储蓄经济理论研究小组年度报告，第 16 卷 1-33 (2001)。

和合 肇: "Gibbsサンプラーを用いたGRACHモデルのベイズ推定"貯蓄経済理論研究会年報. 15. 342-343 (2000)

Hajime Wago：“使用吉布斯采样器对 GRACH 模型进行贝叶斯估计”储蓄经济理论研究小组年度报告 15. 342-343 (2000)。