表題番号：2018S-182
日付：2019/04/02
研究課題近年の本邦金融市場の構造変化：海外ショック波及の規模拡大とその経路
| 研究者所属（当時） | 資格 | 氏名 | |
|---|---|---|---|
| （代表者） | 国際学術院 国際教養学部 | 講師 | 篠 潤之介 |
- 研究成果概要
- We in this project identify structural changes in spill-over mechanism through which overseas shocks affect domestic financial market or financial system. Particularly, we focus on Japanese and Canadian banks having been engaged in overseas business and construct Bayesian structural VAR models to identify which of the following mostly influences stock return of Japanese or Canadian banking sector: (i) overseas (= U.S.) yield shock, (ii) domestic yield shock, or (iii) exchange rate shock. Estimation results suggest that in recent years stock prices of the banking sector in these countries tend to be more vulnerable by U.S. yield shocks rather than domestic yields (proxies for domestic banking business) or exchange rate (proxies for corporate profits), both of which have been traditionally taken as major determinants of bank equity price before the great financial crisis. The result is consistent with recent efforts of Japanese and Canadian banking sector to expand their business in overseas markets such as the U.S. and suggests potential risk of vulnerabilities in the global financial system.