{"created":"2021-03-01T07:02:12.946393+00:00","id":42340,"links":{},"metadata":{"_buckets":{"deposit":"d00bb5a4-82f5-42fc-8df2-e6c016a6672d"},"_deposit":{"id":"42340","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42340"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042340","sets":["62:7433:7437","9:7435:7436"]},"item_8_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"High-frequency Contagion between the Exchange Rates and Stock Prices during the Asian Currency Crisis"}]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2005-02","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-J-124","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-J"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"本論文では、1997－99年のアジア８カ国の通貨・株価の日次データを用いて、為替レートと株価の連動性や通貨危機による影響に関して分析を行った。アジア危機（為替フロート）が株価にも影響をおよぼしたのかどうか、危機後の為替レートと株価変動の相互的な影響について、計量的に分析を試みている。危機の最中は金融市場においてショックの波及は非常に速く、かつフィードバック効果も見られるため、伝播の因果関係を明確にして分析することが難しい。この論文では、Ito and Hashimoto（2002）に従って、危機が震源から波及していくという仮説に基づき、危機における「震源」とその他の波及国を分類し、その波及効果の有意性を検証している。具体的にはFriction Model、Tobit Modelを用いて、ある閾値を設定し、それを越える場合を危機の伝播と定義する。分析の結果、危機の震源となる回数、伝播係数の有意性でみると、通貨危機の開始後には、為替同士あるいは為替から株価への影響だけでなく、株価同士の伝播効果も高まっていることから、株価も通貨危機の影響をうけていることが明らかにされている。","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"97472","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Ito, Takatoshi"}]},{"nameIdentifiers":[{"nameIdentifier":"97473","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Hashimoto, Yuko"}]}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cj124ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11451834","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"東京大学大学院経済学研究科"},{"subitem_text_value":"東洋大学経済学部"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"伊藤, 隆敏"}],"nameIdentifiers":[{"nameIdentifier":"97470","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"橋本, 優子"}],"nameIdentifiers":[{"nameIdentifier":"97471","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"JEL Classification Numbers: F31, G12, G15","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"アジア通貨・株価の伝播と連動性に関する分析","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"アジア通貨・株価の伝播と連動性に関する分析"}]},"item_type_id":"8","owner":"1","path":["7436","7437"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-06-03"},"publish_date":"2013-06-03","publish_status":"0","recid":"42340","relation_version_is_last":true,"title":["アジア通貨・株価の伝播と連動性に関する分析"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:27.098251+00:00"}