THEORETICAL AND EMPIRICAL STUDIES ON INTERNATIONAL FINANCIAL MARKETS AND FINANCIAL REGULATION

国际金融市场与金融监管的理论与实证研究

• 批准号: 15530214
• 负责人: MAGHREBI Nabil
• 金额: $ 1.86万
• 依托单位: WAKAYAMA UNIVERSITY
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2003
• 资助国家: 日本
• 起止时间: 2003 至 2005
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-15530214/
• 关键词: FINANCIAL MARKETS; BANKING; HERDING BEHAVIOUR; STOCK MARKET VOLATILITY; FOREIGN EXCHANGE; DERIVATIVE SECURITIES; NONLINEAR MODELLING; IMPLIED VOLATILITY INDEX; 金融市場; 経常収支; オプション; 群集行動

The results achieved during this research program derive from four interrelated projects, which examine important issues related to the realignment towards interest rate parity, the herding behavior in the banking sector, and stock market volatility in its relationship with foreign exchange fluctuations and with implied volatility from options markets. The aggregate results shed light on international financial markets and institutions. From the perspective of economic integration, there is evidence of nonlinearities in the behavior of Asian real interest differentials in the sense that large shocks to real interest parity are more likely to lead to faster readjustments than smaller shocks (Holmes and Maghrebi, IREF, 2004). The results also provide evidence of asymmetric monetary-policy, which suggests that for many countries, linkages with respect to the U.S. are likely to be less prevalent in a regime of rising nominal interest rates and falling inflation (Holmes and Maghrebi, JIFMIM … More , forthcoming). Based on a new approach for assessing the degree of economic and financial integration between G7 countries, there is also evidence of stronger integration between the US and Canada and much weaker integration with Japan. There is no clear evidence of structural breakdown in conditional correlation associated with significant events such as the ERM crisis or the introduction of the Euro (Holmes and Maghrebi, EREF, 2005). From the perspective of behavioral finance, the results suggest the existence of herding behavior in the Japanese loan market with evidence of causality from city banks to regional banks, from long-term credit banks and trust banks to city banks. The evidence from a panel data of Japanese banks suggests the existence of a cyclical pattern of herding. The signs of irrational herding observed only in association with the financial bubble, suggest that the irrational bank behavior was contributive to the bad loan problems in the late 1980s (Nakagawa and Uchida, WP 2003 & Uchida and Nakagawa, WP 2005). As far as the relationship between financial markets is concerned, there is new evidence from dynamic covariance modelling that market volatility tends to be ceteris paribus, more responsive to bad news about equity than good news and to currency depreciation than appreciations. The results indicate that appreciations are conducive to lower volatility in currency markets than depreciation. Also, the association of bad news with currency depreciation is likely to increase the level of volatility in currency markets and affect the extent of leverage effects in equity markets. These empirical results may partly explain the aversion of Asian countries toward beggar-thy-neighbor policies of exchange rate (Maghrebi, Holmes and Pentecost RPBFMP, forthcoming). Finally, another, achievement of this research program is the development of a new benchmark of expected volatility in the Japanese stock market in order to aggregate anticipation of future volatility across options prices. The Nikkei 225 implied volatility is not available in financial databases and it is constructed following the methodology underlying the new VIX index disseminated by Chicago Board of Options Exchange. There is evidence that despite its upward bias, implied volatility is more reflective of changes in realized volatility than alternative GARCH models, which account for volatility persistence and the asymmetric impact of news. Given the higher out-of sample performance of implied volatility the evidence lend support to the rationale behind drawing inference about future stock market volatility from option prices and to the usefulness of the new implied volatility index (Nishina, Maghrebi and Kim, DP 2006). Less

该研究计划取得的成果来自四个相互关联的项目，这些项目研究了与利率平价调整、银行业的羊群行为以及股票市场波动与外汇波动和期权市场隐含波动的关系相关的重要问题。总体结果揭示了国际金融市场和机构的情况。从经济一体化的角度来看，有证据表明亚洲实际利差的行为存在非线性，即对实际利率平价的较大冲击比较小的冲击更有可能导致更快的调整（Holmes 和 Maghrebi，IREF，2004）。结果还提供了不对称货币政策的证据，这表明对于许多国家来说，在名义利率上升和通胀下降的体制中，与美国的联系可能不太普遍（Holmes 和 Maghrebi，JIFMIM … 更多，即将出版）。根据评估七国集团国家之间经济和金融一体化程度的新方法，还有证据表明美国和加拿大之间的一体化程度更高，而与日本的一体化程度则要弱得多。没有明确的证据表明与 ERM 危机或欧元引入等重大事件相关的条件相关性出现结构性崩溃（Holmes 和 Maghrebi，EREF，2005 年）。从行为金融学的角度来看，研究结果表明日本贷款市场存在羊群行为，并有证据表明从城市银行到地方银行、从长期信贷银行和信托银行到城市银行之间存在因果关系。日本银行的面板数据表明存在周期性羊群效应模式。仅在与金融泡沫相关的情况下观察到的非理性羊群效应表明，银行的非理性行为导致了 20 世纪 80 年代末的不良贷款问题（Nakakawa 和 Uchida，WP 2003 & Uchida 和 Nakakawa，WP 2005）。就金融市场之间的关系而言，动态协方差模型的新证据表明，在其他条件不变的情况下，市场波动往往对股票坏​​消息比好消息更敏感，对货币贬值比升值更敏感。结果表明，升值比贬值更有利于降低货币市场的波动性。此外，坏消息与货币贬值的关联可能会增加货币市场的波动程度，并影响股票市场的杠杆效应程度。这些实证结果可能部分解释了亚洲国家对以邻为壑的汇率政策的厌恶（Maghrebi、Holmes 和 Pentecost RPBFMP，即将出版）。最后，该研究计划的另一项成就是制定了日本股市预期波动性的新基准，以便汇总对期权价格未来波动性的预期。日经 225 隐含波动率在金融数据库中不可用，它是按照芝加哥期权交易所发布的新 VIX 指数的方法构建的。有证据表明，尽管隐含波动率存在向上偏差，但它比替代 GARCH 模型更能反映已实现波动率的变化，后者解释了波动率的持续性和新闻的不对称影响。鉴于隐含波动率的样本外表现较高，证据支持了从期权价格推断未来股票市场波动性的基本原理以及新隐含波动率指数的有用性（Nishina、Maghrebi 和 Kim，DP 2006）。较少的

项目成果

The Dynamics of Volatility Transmission in Real Interest Rates : How Integrated are the G7 Economies?

实际利率波动传导的动态：七国集团经济体的一体化程度如何？

• 发表时间: 2005
• 期刊: European Review of Economics and Finance 4
• 作者: Mark J.Holmes;Nabil Maghrebi
• 通讯作者: Nabil Maghrebi

Holmes M.J., N.Maghrebi: "The Integration of OECD Real interest Rates : Is there an Asymmetric Adjustment towards Long-Run Equilibrium?"Working Paper Series, Faculty of Economics, Wakayama University. 03-33. 1-20 (2003)

Holmes M.J.、N.Maghrebi：“经合组织实际利率的一体化：是否存在针对长期均衡的不对称调整？”工作论文系列，和歌山大学经济学院。

Stock Market Volatility and the Forecasting Accuracy of Implied Volatility Indices

股票市场波动性和隐含波动性指数的预测准确性

• 发表时间: 2006
• 期刊: Discussion Papers in Economics and Business, Graduate School of Economics and Osaka School of International Public Policy 06-09
• 作者: Kazuhiko Nishina;Nabil Maghrebi;Kim Moosung
• 通讯作者: Kim Moosung

Matsubayashi Y., S.Hamori: "Some international evidence on the stability of aggregate import demand Function"Applied Economics. 35. 1497-1504 (2003)

Matsubayashi Y.，S.Hamori：“关于总进口需求函数稳定性的一些国际证据”应用经济学。

Are international real interest rete linkages characterized by asymmetric adjustments?

国际实际利率联系是否具有不对称调整的特点？

• 发表时间: 2006
• 期刊: Journal of International Financial Markets,Institutions and Money forthcoming
• 作者: Mark J.Holmes;Nabil Maghrebi
• 通讯作者: Nabil Maghrebi