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インフレーションおよび日米の金利差がドル/円為替レートへ与える影響に関する検証 : ベイズモデルとAI シミュレーションを用いた実証分析
https://wako.repo.nii.ac.jp/records/5034
https://wako.repo.nii.ac.jp/records/5034c4ab5675-2e17-46ab-aa29-52363ddee766
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wk5503-05.pdf (7.6 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2023-05-31 | |||||
| タイトル | ||||||
| タイトル | インフレーションおよび日米の金利差がドル/円為替レートへ与える影響に関する検証 : ベイズモデルとAI シミュレーションを用いた実証分析 | |||||
| タイトル | ||||||
| タイトル | An Examination of the Impact of Inflation and Interest Rate Differentials between Japan and the United States on Dollar-yen Exchange Rates : An Empirical Analysis Using Bayesian Model and AI Simulation | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | jpn | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | AI | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | 金融市場 | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | インフレーション | |||||
| 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 | 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 | As an economic policy response to the COVID-19 pandemic that has been ongoing since early 2020, many countries in the world have been providing a variety of financial resources, including grants and benefits, since late 2020. As a result, the monetary base has expanded rapidly. The expansion of the monetary base supported the world economy by increasing demand. However, the supply of funds to the market became excessive and concerns about inflation grew. As of January 2023, including the impact of Russia’s invasion of Ukraine in February 2022, inflation fears have intensified globally. The U.S. shifted to a tight monetary policy in May 2022 to control inflation. As a result, the interest rate differential between Japan and the U.S. widened and the dollar-yen exchange rate depreciated rapidly in the second half of 2022. However, concerns about inflation are growing in Japan as well, and more than six months after the U.S. shift to tighter monetary policy, Japan is also entering a phase of rising interest rates. As of January 2023, the dollar-yen exchange rate has shifted toward a stronger yen to the 128-yen level. Thus, global financial markets continue to be in turmoil. This paper provides an overview of the trends in the financial markets, which have been disrupted by unpredictable events such as the COVID-19 global pandemic and Russia’s invasion of Ukraine, based on fluctuations in the dollar-yen exchange rate. At the same time, we attempted to analyze them using statespace models and AI simulations. In particular, we focus on the expansion of interest rate differentials and the progression of inflation due to the reversal of monetary policy in Japan and the U.S., and clarify the actual situation in which the expansion of interest rate differentials and inflation rate differentials affect the rapid fluctuation of the dollar/yen exchange rate, based on the results of the state-space model and AI simulation analysis. |
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| 書誌情報 |
和光経済 en : Wako Keizai 巻 55, 号 3, p. 23-46, 発行日 2023-03 |
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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 | |||||
