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Econometric Methods for Financial Markets and Its Applications to Japanese Economy

金融市场计量经济学方法及其在日本经济中的应用

基本信息

批准号：
04301071
负责人：
KUNITOMO Naoto
金额：
$ 2.3万
依托单位：
Faculty of Economics, University of Tokyo
依托单位国家：
日本
项目类别：
Grant-in-Aid for Co-operative Research (A)
财政年份：
1992
资助国家：
日本
起止时间：
1992 至 1993
项目状态：
已结题

项目摘要

The main purpose of this project was to re-examine the existing statistical and econometric methods commonly used in analyzing the financial data and develop some new econometric methods. The other purpose of the project was to apply the methods we developed in this project to the financial data in the Japanese economy.Initially, T.Yamamoto investigated the problem of estimation of the regression model when the regressors follow the non-stationary stochastic processes and explore its relation to the estimation problem of co-integrationg processes. His work has stimulated several members in the project. N.Kunimoto has considered the tests of co-integration and pointed out that the problem is mathematically equivalent to the testing over-identification in econometrics. H.Wago has also developed a test of unit root and the cointegrating relation from the Baysian point of view. He applied his test procedure to the analysis of the Yen-Dollar exchange rate. K.Morimune has investigated the ef … More fects of mis-specification of lags in the multivariate time series analysis when we want to test the hypotheses of unit roots and co-integrating relations.Some progress has also been made on the analyzes of the financial data in the Japanese economy. M.Ikeda has investigated the valuation problem of swap contracts, which have been enoumously popular recently in the Japanese banking system. Also T.Shiba developed a time series model with seasonal unobservable factors and compare its performance for the purpose of predicting the assets prices in the Japanese economy.By the financial support from this project, we have held two conferences on the project topic. We have invited a number of distinguished reserachers in the related areas in Japan and exchanged the recent research results as well as research ideas for the future.In conclusion, we have acomplished the most important objectives of this project. The members participated in this project has written a large number of academic papers and also stimulated a large number of researchers in the related fields through two conferences. We thank The Ministry of Education, Science and Culture for giving the generous support to our ambitious project. Less

本项目的主要目的是重新审查在分析金融数据时常用的现有统计和计量方法，并开发一些新的计量方法。这个项目的另一个目的是将我们在这个项目中开发的方法应用到日本经济中的金融数据中。最初，T.Yamamoto研究了当回归变量服从非平稳随机过程时回归模型的估计问题，并探索了它与协整过程估计问题的关系。他的工作激励了该项目的几名成员。N.Kurimoto考虑了协整检验，并指出这个问题在数学上等同于计量经济学中的检验过度识别。H.Wago还从贝叶斯的角度发展了单位根检验和协整关系。他将自己的测试程序应用于日元兑美元汇率的分析。K.Morimune已经调查了EF…当我们要检验单位根假设和协整关系时，多变量时间序列分析中的滞后错误说明的影响更多了。在对日本经济中的金融数据的分析中也取得了一些进展。池田研究了掉期合约的估值问题，这类合约最近在日本银行体系中非常流行。此外，T.Shiba还建立了一个包含季节性不可观测因素的时间序列模型，并将其性能进行了比较，以预测日本经济中的资产价格。在该项目的资金支持下，我们已经就该项目主题举行了两次会议。我们邀请了日本相关领域的一些著名研究人员，交流了最近的研究成果和未来的研究思路。总而言之，我们完成了这个项目最重要的目标。参与该项目的成员撰写了大量的学术论文，也通过两次会议激发了大量相关领域的研究人员。我们感谢文部科学文化部对我们雄心勃勃的项目的慷慨支持。较少