日本語
KEIO UNIVERSITY 
Faculty of Economics 
Department of Economics 

Professor 
ITO MIKIO 

http://econ.keio.ac.jp/staff/ito/lecture/  
http://http://www.math.hc.keio.ac.jp/  

Link to J-GLOBAL(Japanese Only) ]

Career
大学助手(経済学部)  1986/04-1992/03 
大学専任講師(経済学部)  1992/04-1994/03 
大学助教授(経済学部)  1994/04-2007/03 
大学准教授(経済学部)  2007/04-2016/03 
大学教授(経済学部)  2016/04-Present 

Academic Background
Keio University  Faculty of Economics  1980/03/31  Graduated 
Keio University  Graduate School, Division of Economics  Master's course  1982/03/31  Completed 
Keio University  Graduate School, Division of Economics  Doctoral course  1987/03/31  Withdrawal after completion of doctoral course requirements 

Profile Summary
My interest during the last decade is in time series modeling for analyzing financial data. In particular, I propose a new approach to examine the efficient market hypothesis by E.Fama. In recent days, employing the approach, I study financial systems such as stock markets, exchange markets and commodity futures market empirically. 

Message from the Faculty Member
The market system is a superb organization that human beings have ever created. Does it work as good as desired in our economy? If not so, why? Can we ameliorate such a situation? These are much tougher questions than many students expect. I hope that they challenge the questions by themselves. 
 

Research Areas
Money/ Finance 
Economic statistics 
Economic theory 

Research Keywords
time series analysis 
applied econometrics 
Market Efficiency 
Stock Market 
Commodity Futures Market 
Foreign exchange market 
Market Integration 

Research Themes
Time series analysis for financial data  Analyzing stock markets, foreign exchange markets and commodity futures markets using time-varying parameter models  2006/04/01-Present 
Solution to the risk free rate puzzle  Examined the risk free rate puzzle employing the generalized empirical likelihood method rather than the GMM, which has poor small sample properties.  2010/04/01-2011/09/01 
Bootstrap approach to estimation of state space modeling  2011/04/01-Present 
Market efficiency of spot and futures markets of rice in prewar Japan  2012/04/01-Present 
Study of time varying structure of foreign exchange market using a non-Bayesian time varying model.  2014/04/01-2017/03/31 

Funded Research Projects (Competitive Research Funds, etc.)
非ベイズ時変計量経済モデルを用いた外国為替市場の時変構造に関する研究  Research grant  日本学術振興会  Grant-in-Aid for Scientific Research  2014/04/01-2017/03/31 
非ベイズ時変ベクトル自己回帰モデルの構築と金融市場の国際連関の検証  Research grant  全国銀行学術研究振興財団  全国銀行学術研究振興財団学術研究助成  2013/04/01-2014/03/31 
近現代日本の米穀市場における時変効率性と情報完備性の計測と比較  Research grant  日本学術振興会  Grant-in-Aid for Scientific Research  2012/04/01-2015/03/31 
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Research Achievements (Books)
経済学とファイナンスのための基礎数学  伊藤 幹夫 戸瀬信之  共立出版  2008/11/25  978-4320018747  経済学とファイナンスの基礎で使われる数学,特に最適化に関する部分を中心に解説したテキスト. 
マクロ経済学の方法・理論と実証・政策  ITO MIKIO  第11章 政府支出の短期的効果と長期的効果  御茶の水書房  2002/03/26  978-4275019165  本塾経済学部神谷傳造教授の退任を記念する論文集。方法論・学説史研究、理論・実証研究、および政策研究で構成されている。(大平哲氏と共編) 
経済数学  伊藤 幹夫 戸瀬信之  エコノミスト社  1998/08  978-4873150000  経済学とファイナンスの基礎で使われる基礎的な解析,線形代数,微分方程式,線形計画法,非線形計画法を解説したテキスト. 
景気変動論  金指基  4章, 6章  八千代出版  1997/07  978-4842909929 
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Research Achievements (Original Articles and Commentaries)
Research paper (scholarly journal)  Joint  Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets (with Kiyotaka Maeda and Akihiko Noda)  ITO MIKIO  Financial History Review  Cambridge University Press  23/ 3, 325-346  2016  10.1017/S0968565017000014 
Research paper (scholarly journal)  The Evolution of Stock Market Efficiency in the U.S.: A Non- Bayesian Time-Varying Model Approach (with Akihio Noda and Tatsuma Wada)  ITO MIKIO  Applied Economics  Taylor & Francis  48/ 7, 621-635  2015  10.1080/00036846.2015.1083532 
Research paper (scholarly journal)  International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach (with Akihio Noda and Tatsuma Wada)  ITO MIKIO  Applied Economics  Taylor & Francis  46/ 23, 2744-2754  2014  10.1080/00036846.2014.909579 
Research paper (scholarly journal)  Joint  The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan (with Akihiko Noda)  ITO MIKIO  Applied Financial Economics  Taylor & Francis  22/ 5, 365-374  2012  10.1080/09603107.2011.613761 
Research paper (research society, symposium material, etc.)  Joint  The Evolution of Market Efficiency and its Periodicity (with Akihiko Noda)  ITO MIKIO  Proceedings of the 20th Nippon Financial Association Annual Meeting  Nippon Financial Association  2012/05 
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Research Achievements (Oral/Poster Presentations)
Oral presentation(general)  Market Efficiency and Price Stabilization Policy in Prewar Japanese Rice Markets (with Kiyotaka Maeda and Akihiko Noda) (scheduled)  Western Economic Association International 92th Annual Conference  2017/06/26 
Oral presentation(general)  Market Integration in the Prewar Japanese Rice Markets (with Kiyotaka Maeda and Akihiko Noda)  Japanese Economic Association 2016 Autumn Meeting  2016/09/11 
Oral presentation(general)  Time-Varying Comovement of Foreign Exchange Markets and Their Long-run Relationship (with Akihiko Noda and Tatsuma Wada)  Western Economic Association International 91th Annual Conference  2016/06/29 
Oral presentation(general)  Market Integration in the Prewar Japanese Rice Markets (with Kiyotaka Maeda and Akihiko Noda)  Western Economic Association International 91th Annual Conference  2016/06/29 
Oral presentation(general)  Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan (with Kiyotaka Maeda and Akihiko Noda)  Japanese Economic Association 2015 Autumn Meeting  2015/10/11 
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Courses in Charge of
INTERMEDIATE MACROECONOMICS 2A 
INTERMEDIATE MACROECONOMICS 2B 
マクロ経済学 
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Memberships in Academic Societies
The Socio-Economic History Society  2014/10/01-Present 
Japanese Economic Association  2013/08/01-Present 
Western Economic Association International  2012/04/30-Present 
Nippon Finance Association  1993/09/01-Present 
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  Link to KOARA(Japanese Only) About KOARA(KeiO Associated Repository of Academic resources)(Japanese Only)
  About KOARA(KeiO Associated Repository of Academic resources)(Japanese Only)