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アイテム
急速な円安進行による株価指数の変動に関するベイズモデルを用いた実証分析
https://wako.repo.nii.ac.jp/records/4981
https://wako.repo.nii.ac.jp/records/4981bf987c7f-3f40-48da-a428-b7a45f2d9111
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wk5502-08.pdf (6.3 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2023-02-01 | |||||
| タイトル | ||||||
| タイトル | 急速な円安進行による株価指数の変動に関するベイズモデルを用いた実証分析 | |||||
| 言語 | ja | |||||
| タイトル | ||||||
| タイトル | An Empirical Analysis Using a Bayesian Model on Fluctuations of Stock Index Caused by a Rapid Depreciation of the Yen\n | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | jpn | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | 株式市場 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | 内外金利差 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | ドル円為替レート | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | COVID-19 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | ベイズ | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | 状態空間モデル | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | MCMC | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| 著者 |
小林, 稔
× 小林, 稔 |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The global pandemic of COVID-19 continues in September 2022, and socioeconomic activities are in great turmoil. In Japan, various socioeconomic activities were restricted due to the declaration of a state of emergency and measures to prevent the spread of the virus four times, and the flow of people was curbed. The domestic economy was in a slump, and domestic GDP fell significantly in the second quarter of 2020. However, the government and the Bank of Japan implemented large-scale monetary easing policies, special fixed-price benefits, temporary leave support and benefits in response to the new coronavirus infection, employment adjustment subsidies, and other support policies, and the monetary base expanded rapidly. As a result, domestic GDP has shown a moderate recovery trend since the third quarter of 2020. United States is in a similar situation, with a temporary economic downturn early in the COVID-19 pandemic. However, the monetary base expanded rapidly due to economic policies centered on cash transfers, and the economy continued to recover from the third quarter of 2020. Turning to the stock market, the Nikkei 225 Stock Average temporarily topped 30,000 yen, the highest price since the collapse of the bubble economy. In U.S. stock market, the Dow Jones Industrial Average hit an all-time high, and the sense of overheating increased. In Japan, the Bank of Japan has been continuing its monetary easing policy to date in order to achieve its price stability target. In U.S., however, the economy has been recovering and the consumer price index has risen sharply, increasing the sense of caution about inflation, and the Federal Reserve Board has shifted to a tighter monetary policy. Due to the reversal of monetary policy between Japan and U.S., the interest rate differential has widened and the dollar/yen exchange rate has rapidly shifted to depreciation of the yen. This paper attempts to analyze and examine fluctuations in the Nikkei Stock Average in an environment where the dollar/yen exchange rate shifts to depreciation of the yen. Specifically, we construct a state-space model from the data of the Nikkei Stock Average, the dollar/yen exchange rate, and the Dow Jones Industrial Average, solve the model using MCMC, and discuss the results. | |||||
| 書誌情報 |
和光経済 en : Wako Keizai 巻 55, 号 2, p. 15-31, 発行日 2022-12 |
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| 出版者 | ||||||
| 出版者 | 和光大学社会経済研究所 | |||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 02865866 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AN00258120 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 著者版フラグ | ||||||
| 出版タイプ | VoR | |||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
