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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

在该项目的四年时间里，我们取得了以下主要成果：为了深入研究非平稳多重时间序列之间的协整和因果关系，基于个人电脑版Pro FORTRAN，我们成功得到了作者之前编写的FORTRAN程序CCTW的更新版本。通过使用新开发的程序CCTW2012，时域和频域单向效应的长期和短期因果测度的计算以及单向效应因果测度的Wald检验变得更加容易。 FORTRAN 程序CCTW2012 使得详细研究复杂的因果关系成为可能。我们还证实了基于个人计算机的FORTRAN 95分析高频金融时间序列的计算算法是可能的。为了对日本、美国以及中国经济进行实证分析，我们收集了大量的经济和金融市场数据，更新并丰富了作者之前构建的时间序列数据库。基于ECM对2008年金融危机前后股票市场的日常观察，我们获得了美国与日本、中国、韩国、香港和台湾股票市场的动态因果特征。为了与世界各地的其他学者交流研究思想，我们积极参加国际学术会议。项目期间，我们发表了8篇研究论文，并在12次学术会议上报告了我们的研究成果。关于欧洲和东亚国家重点股票市场综合指数的不对称因果特征的一些新的实证结果将在2013年9月12日至14日在俄罗斯叶卡捷琳堡举行的欧亚商业和经济学会第11届会议上报告