Econometric Analysis of the Macroeconomy and Financial Causal Relationships between Japan, the US and China

日美中宏观经济与金融因果关系的计量分析

基本信息

批准号：
21530200
负责人：
YAO Feng
金额：
$ 2.66万
依托单位：
Kagawa University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2009
资助国家：
日本
起止时间：
2009 至 2012
项目状态：
已结题

项目摘要

In the four-year period of the project, we got the following main results.For a deep investigation of cointegration and causal relationships between nonstationary multiple time series, based on Pro FORTRAN for personal computer, we succeeded in getting an updated version of the FORTRAN program CCTW which was written by the author before. By use of the new developed program CCTW2012, calculation of the long-run and short-run causal measures of one-way effect at time domain and at frequency domain, and also the Wald test of the one-way effect causal measures has become easier. The FORTRAN programCCTW2012 makes it possible to investigating the complex causal relationships in details. We also confirmed that the calculation algorithm for analyzing high frequency financial time series with FORTRAN 95 based on personal computer is possible. For the empirical analysis of the Japanese, the US as well as the Chinese economy, we gathered many economic and financial market data, renewed and also enriched the time series data base which was constructed by the author before. Based on ECM for daily observations in stock markets before and after the 2008 financial crisis, we obtained the stock market dynamic causal characterizations between the United States and Japan, China, Korea, Hong Kong as well as Taiwan.For exchanging research ideas with other scholars all over the world, we take active part in the international academic conferences. In the project period we published 8 research papers and reported our research results at 12 academic conferences. Some of the new empirical results about the asymmetric causal characteristics of the spotlighted stock market composite indices of European and East Asian countries will be reported at the 11thConference of Eurasia Business and Economics Society which will be held in Ekaterinburg, Russia, on September 12-14, 2013

在该项目的四年期间，我们得到了以下主要结果。对于基于个人计算机的Pro Fortran，我们对非组织多个时间序列之间的协整和因果关系进行了深入研究，我们成功地获得了Fortran Program CCTW的更新版本，该计划是由作者撰写的。通过使用新开发的程序CCTW2012，计算时间域和频域下的单向效应的长期和短期因果关系，以及单向效应因果关系措施的WALD测试变得更加容易。 Fortran ProgramCCTW2012使得详细研究复杂的因果关系成为可能。我们还确认，可以根据个人计算机使用Fortran 95分析高频财务时间序列的计算算法。为了对日本，美国以及中国经济进行实证分析，我们收集了许多经济和金融市场数据，续签并丰富了以前由作者构建的时间序列数据库。基于ECM，我们在2008年金融危机之前和之后的股票市场进行日常观察，我们获得了股票市场动态的因果关系特征，在美国，日本，中国，韩国，香港以及台湾。在项目期间，我们发表了8篇研究论文，并在12个学术会议上报告了我们的研究结果。关于欧洲和东亚国家的股票市场综合指数不对称因果特征的一些新的经验结果将在2013年9月12日至14日在俄罗斯埃卡特林堡举行，欧亚大陆商业和经济学协会的11届会议将在欧亚大陆商业和经济学协会的第11会上举行。