Contagion effects : evidence from the foreign exchange market risk

传染效应：来自外汇市场风险的证据

• 批准号: 21530206
• 负责人: NAGAYASU Jun
• 金额: $ 2.58万
• 依托单位: University of Tsukuba
• 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 2011
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-21530206/
• 关键词: 外国為替レート; リスク; 伝播効果; ファクター・モデル; 為替相場; ファクターモデル

This project attempts to clarity the relative importance of common risks factors in foreign exchange markets. We provide evidence of the relative importance of common factors in all counties. Their importance is underlined particularly in small countries, unveiling the vulnerability of these countries in response to exogenous shocks. Furthermore, regardless of their geographical location, these common factors are found to be influenced largely by economic developments in the USA. And finally, during recent crisis periods non-stationary elements in the risks are reported to be more significant.

该项目试图阐明外汇市场中常见风险因素的相对重要性。我们提供了所有县中共同因素相对重要性的证据。它们的重要性尤其在小国中得到强调，揭示了这些国家应对外来冲击的脆弱性。此外，无论地理位置如何，这些共同因素在很大程度上受到美国经济发展的影响。最后，据报道，在最近的危机时期，风险中的非平稳因素更为重要。

项目成果

Common factors of the exchange risk premium in emerging European markets

欧洲新兴市场汇率风险溢价的共同因素

• 期刊: Bulletin of Economic Research
• 影响因子: 0.8
• 作者: Byrne;Joseph P.;Jun Nagayasu
• 通讯作者: Jun Nagayasu

The threshold nonstionary panel data approach to forward premiums

远期保费的阈值非固定面板数据方法

• 发表时间: 2011
• 期刊: Universi ty Library of Munich, Germany
• 作者: 野田哲夫;丹生晃隆;永易淳
• 通讯作者: 永易淳

The common component in the forward premium : evidence from the Asia-Pacific region

远期保费的共同组成部分：来自亚太地区的证据

• DOI: 10.1111/j.1467-9396.2011.00979.x
• 发表时间: 2011
• 期刊: eview of International Economics
• 作者: Nagayasu;Jun
• 通讯作者: Jun

Empirical analysis of the risk premium : evidence from the Asia-Pacific region

风险溢价的实证分析：来自亚太地区的证据

• 发表时间: 2009
• 作者: 永易淳;Josehp P Byrne;Hideki MURAKAMI;依田高典;野田哲夫・丹生晃隆・シェーン コークラン;永易淳
• 通讯作者: 永易淳

The threshold nonstationary panel data approach to forward premiums, MPRA Paper 34265

远期保费的阈值非平稳面板数据方法，MPRA 论文 34265

• 发表时间: 2012
• 期刊: University Library of Munich, Germany
• 作者: Nagayasu;Jun
• 通讯作者: Jun