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

在项目的四年时间里，我们取得了以下主要成果。为了深入研究非平稳多时间序列之间的协整和因果关系，我们成功地获得了作者之前编写的FORTRAN程序CCTW的更新版本。利用新开发的CCTW2012程序，在时域和频域计算单向效应的长期和短期因果测度，以及单向效应因果测度的Wald检验变得更加容易。FORTRAN程序cctw2012使详细调查复杂的因果关系成为可能。并证实了在个人计算机上用FORTRAN 95分析高频金融时间序列的计算算法是可行的。为了对日本、美国和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，更新和丰富了笔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测，我们获得了美国与日本、中国、韩国、香港和台湾股市的动态因果特征。积极参加国际学术会议，与世界各国学者交流研究思想。在项目期间，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。2013年9月12日至14日在俄罗斯叶卡捷琳堡举行的第11届欧亚商业经济学会会议上，将报告一些关于欧洲和东亚国家重点股票市场综合指数不对称因果特征的新实证结果

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