Itou, Mikio

写真a

Affiliation

Faculty of Economics (Mita)

Position

Professor

Related Websites

External Links

Message from the Faculty Member 【 Display / hide

  • 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.

Profile Summary 【 Display / hide

  • 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.

Career 【 Display / hide

  • 1986.04
    -
    1992.03

    大学助手(経済学部)

  • 1992.04
    -
    1994.03

    大学専任講師(経済学部)

  • 1994.04
    -
    2007.03

    大学助教授(経済学部)

  • 2007.04
    -
    2016.03

    大学准教授(経済学部)

  • 2016.04
    -
    Present

    大学教授(経済学部)

Academic Background 【 Display / hide

  • 1980.03

    Keio University, Faculty of Economics

    University, Graduated

  • 1982.03

    Keio University, Graduate School, Division of Economics

    Graduate School, Completed, Master's course

  • 1987.03

    Keio University, Graduate School, Division of Economics

    Graduate School, Withdrawal after completion of doctoral course requirements, Doctoral course

Academic Degrees 【 Display / hide

  • 博士( 経済学), 慶應義塾大学, Dissertation, 2015.05

    Non-Bayesian Time-Varying Parameter Regression Models: Estimation and Applications

 

Research Areas 【 Display / hide

  • Money/ Finance

  • Economic statistics

  • Economic theory

Research Keywords 【 Display / hide

  • Commodity Futures Market

  • Foreign exchange market

  • Market Efficiency

  • Market Integration

  • applied econometrics

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Research Themes 【 Display / hide

  • Study of forecasting of foreign exchange rates using a time varying econometric model., 

    2017.04
    -
    2020.03

  • Study of time varying structure of foreign exchange market using a non-Bayesian time varying model., 

    2014.04
    -
    2017.03

  • Market efficiency of spot and futures markets of rice in prewar Japan, 

    2012.04
    -
    Present

  • Bootstrap approach to estimation of state space modeling, 

    2011.04
    -
    Present

  • Solution to the risk free rate puzzle, 

    2010.04
    -
    2011.09

     View Summary

    Examined the risk free rate puzzle employing the generalized empirical likelihood method rather than the GMM, which has poor small sample properties.

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Books 【 Display / hide

  • 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

     View Summary

    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, 御茶の水書房, 2002.03

    Scope: 第11章 政府支出の短期的効果と長期的効果

     View Summary

    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

     View Summary

    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, 八千代出版, 1997.07

    Scope: 4章, 6章

Papers 【 Display / hide

  • The Futures Premium and Rice Market Efficiency in Prewar Japan (with Kiyotaka Maeda and Akihiko Noda)

    ITO MIKIO

    Economic History Review (Wiley-Blackwell)  71 ( 3 ) 909 - 937 2018

    Research paper (scientific journal), Joint Work, Accepted,  ISSN  00130117

     View Summary

    © Economic History Society 2017 This article studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non-Bayesian time-varying model approach to the fundamental equation for spot returns and the futures premium, we detect when efficiency reductions in the two major rice markets occurred. We also examine how government interventions affected the rice markets in Japan, which colonized Taiwan and Korea before the Second World War, and argue that the function of rice futures markets crucially depended on the differences in the structure of rice spot markets. Initially the increased volume of imported rice of a different variety from domestic rice disrupted the rice futures markets. Then, government intervention in the rice futures markets failed to improve the disruption. Changes in colonial rice cropping successfully mitigated the disruption, and colonial rice was promoted in order to unify the different varieties of inland and colonial rice.

  • 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

    Research paper (scientific journal), Joint Work, Accepted

  • 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

    Research paper (scientific journal), Accepted

  • 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

    Research paper (scientific journal), Accepted

  • 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

    Research paper (research society, symposium materials, etc.), Joint Work, Except for reviews

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Papers, etc., Registered in KOARA 【 Display / hide

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Presentations 【 Display / hide

  • An Estimation Method for State-Space Models using Generalized LASSO Techniques

    Mikio Ito

    Western Economic Association International 94th Annual Conference (San Francisco, CA, USA) , 2019.06, Oral Presentation(general), Western Economic Association International

  • Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914–1939 (with Kiyotaka Maeda and Akihiko Noda)

    ITO MIKIO

    18th World Economic History Conference (Boston, Massachusetts, US) , 2018.08, Oral Presentation(general)

  • An Alternative Estimation Method for Time-Varying Parameter Models (with Akihiko Noda and Tatsuma Wada)

    ITO MIKIO

    Western Economic Association International 92th Annual Conference (San Diego) , 2017.06, Oral Presentation(general)

  • Market Efficiency and Price Stabilization Policy in Prewar Japanese Rice Markets (with Kiyotaka Maeda and Akihiko Noda)

    ITO MIKIO

    Western Economic Association International 92th Annual Conference (San Diego) , 2017.06, Oral Presentation(general)

  • Market Efficiency and Integration in Foreign Exchange Markets: A Non-Bayesian Time-Varying Model Approach(with Akihiko Noda and Tatsuma Wada)

    ITO MIKIO

    Western Economic Association International 92th Annual Conference (San Diego) , 2017.06, Oral Presentation(general)

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Research Projects of Competitive Funds, etc. 【 Display / hide

  • 時変計量経済モデルを用いた為替レート予測に関する研究

    2017.04
    -
    2020.03

    日本学術振興会, Grant-in-Aid for Scientific Research, Mikio Ito, Research grant, Principal Investigator

  • 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

    2014.04
    -
    2017.03

    日本学術振興会, Grant-in-Aid for Scientific Research, Mikio Ito, Research grant, Principal Investigator

  • 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

    2013.04
    -
    2014.03

    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, Akihiko Noda, Research grant, Co-investigator

  • 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

    2012.04
    -
    2015.03

    日本学術振興会, Grant-in-Aid for Scientific Research, Akihiko Noda, Research grant, Co-investigator

 

Courses Taught 【 Display / hide

  • SEMINAR IN SPECIAL TOPICS

    2020

  • RESEARCH SEMINAR D

    2020

  • RESEARCH SEMINAR C

    2020

  • RESEARCH SEMINAR (THESIS)

    2020

  • MACROECONOMICS

    2020

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Courses Previously Taught 【 Display / hide

  • ファイナンス数学

    慶應義塾大学経済学部, 2018

  • マクロ経済学中級

    慶應義塾大学経済学部, 2018

  • マクロ経済学初級

    慶應義塾大学経済学部, 2018

  • マクロ経済学上級

    慶應義塾大学大学院経済学研究科, 2018

  • 経済数学入門

    慶應義塾大学経済学部, 2018

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Memberships in Academic Societies 【 Display / hide

  • The Socio-Economic History Society, 

    2014.10
    -
    Present
  • Japanese Economic Association, 

    2013.08
    -
    Present
  • Western Economic Association International, 

    2012.04
    -
    Present
  • Nippon Finance Association, 

    1993.09
    -
    Present