慶應義塾研究者情報データベース

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• When does the Japan Empowering Women Index outperform its parent and the ESG Select Leaders Indexes?

  Aono K., Okimoto T.

  International Review of Financial Analysis （International Review of Financial Analysis）  85 2023年01月

  ISSN  10575219

  　概要を見る

  This paper examines and compares the performance of the Japan Empowering Women Index (WIN), Japan ESG Select Leaders Index (SLI), and their parent, the Japanese Investable Market Index (IMI) using data from April 2013 to October 2020. Without regime switching, our benchmark analysis suggests that none of the indexes outperforms the market on average. We also investigate the possible regime-dependent performance of each index to identify the periods when WIN outperforms the market, the IMI, and the SLI, if ever. Our results indicate regime-dependent performance of the WIN and IMI and regime-independent performance of the SLI. For example, when the market performance of the previous month is relatively poor, the WIN tends to outperform the market, while the IMI tends to underperform. Our results also show that, when the market volatility of the previous month is relatively small, the WIN outperforms the market. However, the WIN and IMI tend to underperform the market under the high market volatility regime.

  • Access to Document (DOI)

• Conditional capital surplus and shortfall across renewable and non-renewable resource firms

  Irawan D., Okimoto T.

  Energy Economics （Energy Economics）  112 2022年08月

  ISSN  01409883

  　概要を見る

  This study examines the conditional capital surplus and shortfall dynamics of renewable and non-renewable resource firms. To this end, this study uses the systemic risk index by Brownlees and Engle (2017) and considers two conditional systemic events, namely, a stock market crash and a commodity price crash. The results indicate that generally, companies in the resource sector tend to have conditional capital shortfall before 2000 and conditional capital surplus after 2000 owing to the boom of the commodity sector stocks and moderate capital structure management adopted by these companies. This finding is especially valid for resource firms in developed countries, whose observations dominate the dataset used in this study. Furthermore, the analysis using the panel vector autoregressive model indicates a positive influence of commodity price and geopolitical uncertainties on the conditional capital shortfall. These uncertainties have also been proven to increase the conditional failure probability of resource firms in the sample. Lastly, the performance analysis shows that potential capital shortfall is positively related to market returns, reflecting a high-risk high-return trade-off for the resource sector.

  • Access to Document (DOI)

• Uncertainty-dependent and sign-dependent effects of oil market shocks

  Nguyen B.H., Okimoto T., Tran T.D.

  Journal of Commodity Markets （Journal of Commodity Markets）  26 2022年06月

  ISSN  24058513

  　概要を見る

  This paper investigates the uncertainty-dependent and sign-dependent effects of the oil market fundamental shocks, namely supply, aggregate demand and oil-specific demand shocks. We do so by first proposing a novel oil uncertainty index that is measured by the stochastic volatility of the unpredictable component of oil prices. We then employ a nonlinear model and find that the all reactions of oil production, real price of oil, and global economic activity to the structural shocks are regime-dependent. Moreover, we extend the model to accommodate positive and negative oil market shocks to examine the possible asymmetric effects. In relation to real economic activity, the effects of oil supply shocks are asymmetric regardless of the state of the market, but oil-specific demand shocks are only asymmetric when oil price uncertainty is high.

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• The credit spread curve distribution and economic fluctuations in Japan

  Okimoto T., Takaoka S.

  Journal of International Money and Finance （Journal of International Money and Finance）  122 2022年04月

  ISSN  02615606

  　概要を見る

  Predicting the future economy is of great interest to practitioners and policymakers. In this study, we confront this problem by examining the relationship between credit spread curves and future economic activity. To this end, we construct a monthly empirical distribution of credit spread curves by calculating credit spreads of corporate bonds at the firm level in Japan and examine whether it can be used to predict a Japanese business cycle. We find that the credit spread curve information in higher deciles (implying lower credit quality) provides more predictive power for the future economy than the information of government bond yield curve or the credit spread index suggested by previous studies. In addition, the smooth-transition predictive regression analysis demonstrates that credit spread curves have more predictive power under the low uncertainty regime, and depict a significant predictive power for a short horizon for both regimes. Finally, our component-wise analysis shows that the credit spread curve information has robust predictive power for producer-side indicators under the low uncertainty regime and for labor market conditions, regardless of the regime.

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• How does unconventional monetary policy affect the global financial markets?

  Inoue T., Okimoto T.

  Empirical Economics （Empirical Economics）  62 （ 3 ） 1013 - 1036 2022年03月

  ISSN  03777332

  　概要を見る

  This paper examines the spillover effects of unconventional monetary policies (UMPs) by the Bank of Japan (BOJ) and the Federal Reserve (Fed) on the domestic and global financial markets, taking a possible regime change into account. Applying a smooth-transition global VAR model to ten countries and the Euro zone for the sample period between 2002–2015, we find that the BOJ’s expansionary UMPs have significantly increased the equity prices and depreciated the exchange rates, regardless of the regimes. Also, our results indicate that the BOJ’s UMPs have become more effective for the government and corporate bond prices in more recent years. In addition, we find that the Fed’s expansionary UMPs have had significant positive effects on their domestic financial markets throughout the sample period. Finally, our results suggest that the BOJ’s UMPs have rather limited effects on global financial markets and that the effects of the Fed’s UMPs are considerably larger.

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KOARA（リポジトリ）収録論文等 【 表示 ／ 非表示 】

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• 企業のESG評価と市場評価

  沖本, 竜義

  三田学会雑誌 （慶應義塾経済学会）  117 （ 2 ） 163 (29) - 182 (48) 2024年10月

  ISSN  00266760

• 企業のESG評価と市場評価の関係の定量分析

  沖本, 竜義

  学事振興資金研究成果実績報告書 （慶應義塾大学）  2023年

• 企業のESG評価と市場評価の関係の定量分析

  沖本, 竜義

  学事振興資金研究成果実績報告書 （慶應義塾大学）  2022年

担当授業科目 【 表示 ／ 非表示 】

担当授業科目 【 表示 ／ 非表示 】

• 研究会ｃ

  2025年度

• 研究会ｂ

  2025年度

• 研究会ａ

  2025年度

• 研究会（卒業論文）

  2025年度

• 計量経済学方法論

  2025年度

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