NODA AKIHIKO
   Department   Undergraduate School  , School of Commerce
   Position   Associate Professor
Research Period 2014/04~2017/03
Research Topic A Study for the Time-Varying Structure of Foreign Exchange Markets using Non-Bayesian Time-Varying Econometric Models
Research Type KAKENHI Research
Consignor Japan Society for the Promotion of Science
Research Program Type Grant-in-Aid for Scientific Research (C)
KAKENHI Grant No. 26380397
Responsibility Research Contributor
Representative Person ITO Mikio
Details The objective of this study is to elucidate what causes the futures premium puzzle (FPP), one of the famous longtime unsolved problems on interest parity of foreign exchange markets, with the help of non-Bayesian time-varying econometric models proposed by Ito et. al (2014). In particular, we first developed a non-Bayesian time-varying vector error correction model. We secondly examined the time-varying structure of co-movement among various exchange rates applying the model to data of foreign exchange markets. Then, we found that the above co-movement have varied over time for the past quarter-century and that it has been one of the cause of FPP.