Wada, Tatsuma

写真a

Affiliation

Faculty of Policy Management (Shonan Fujisawa)

Position

Professor

E-mail Address

E-mail address

Related Websites

External Links
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Message from the Faculty Member 【 Display / hide 】

  • 国際マクロ経済学および計量経済学をおもに研究しています。　

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Career 【 Display / hide 】

  • 2000.04
    -
    2001.03

    Keio Futsubu School, Part-time Leturer

  • 2006.08
    -
    2013.08

    Wayne State University, Department of Economics, Assistant Professor

  • 2009.09
    -
    2009.12

    Federal Reserve Bank of Dallas, Visitor

  • 2010.01
    -
    2010.07

    University of California, Davis, Department of Economics, Visiting Assistant Professor

  • 2013.08
    -
    2015.03

    Wayne State University, Department of Economics, Associate Professor and Director of Undergraduate Studies

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Academic Background 【 Display / hide 】

  • 1999.03

    Keio University, Faculty of Economics

    University, Graduated

  • 1999.04
    -
    2001.03

    Keio University, Graduate School of Economics

    Graduate School, Completed, Master's course

  • 2001.08
    -
    2006.05

    Boston University, Department of Economics, Graduate School of Arts and Sciences

    Graduate School, Completed, Doctoral course

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Academic Degrees 【 Display / hide 】

  • Ph.D. in Economics , Boston University, 2006.05

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Licenses and Qualifications 【 Display / hide 】

  • 教育職員免許状一種（中学校社会科・高等学校地理歴史科・高等学校公民科）, 1999.03

  • 教育職員免許状専修（中学校社会科・高等学校公民科）, 2001.03

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Research Areas 【 Display / hide 】

  • Humanities & Social Sciences / Economic theory

  • Humanities & Social Sciences / Economic statistics

  • Humanities & Social Sciences / Economic policy

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Papers 【 Display / hide 】

  • Out-of-sample forecasting of foreign exchange rates: The band spectral regression and LASSO

    Wada T.

    Journal of International Money and Finance (Journal of International Money and Finance)  128 2022.11

    ISSN  02615606

    　View Summary

    We propose to utilize the band spectral regression for out-of-sample forecasts of exchange rates. When one period ahead forecast is considered, there is some evidence that the band spectral regression improves its accuracy, especially when the Taylor rule fundamentals model is employed. However, when the forecasting horizon increases, the purchasing power parity (PPP) fundamentals model is found to be powerful, and we can improve the out-of-sample forecast by selecting appropriate frequency bands. Bayesian model averaging shows that placing a large weight on the business cycle frequency improves the accuracy of the out-of-sample forecasting of the PPP model (as well as the monetary fundamentals model) when a longer forecasting horizon is our focus. Without specifying the frequency bands prior to applying the regression, LASSO can provide better out-of-sample exchange rate forecasts for many cases – most patently for the PPP fundamentals model – and provide information about the dynamic relationship between forecasting variables and exchange rates. The frequency domain approach not only improves the accuracy of exchange rate forecast but provides insights for understanding why the PPP fundamentals act as a powerful predictor when the forecasting horizon increases and there is a possible improvement in the time domain regression forecast.

  • An Alternative Estimation Method for Time-Varying Parameter Models

    Ito M., Noda A., Wada T.

    Econometrics (Econometrics)  10 ( 2 )  2022.06

    　View Summary

    A multivariate, non-Bayesian, regression-based, or feasible generalized least squares (GLS)-based approach is proposed to estimate time-varying VAR parameter models. Although it has been known that the Kalman-smoothed estimate can be alternatively estimated using GLS for univariate models, we assess the accuracy of the feasible GLS estimator compared with commonly used Bayesian estimators. Unlike the maximum likelihood estimator often used together with the Kalman filter, it is shown that the possibility of the pile-up problem occurring is negligible. In addition, this approach enables us to deal with stochastic volatility models, models with a time-dependent variance–covariance matrix, and models with non-Gaussian errors that allow us to deal with abrupt changes or structural breaks in time-varying parameters.

  • Time-varying comovement of foreign exchange markets: A gls-based time-varying model approach

    Ito M., Noda A., Wada T.

    Mathematics (Mathematics)  9 ( 8 )  2021.04

    　View Summary

    How strongly are foreign exchange markets linked in terms of their similarities in long-run fluctuations? Are they cointegrating? To analyze such “comovements,” we present a time-varying cointegration model for the foreign exchange rates of the currencies of Canada, Japan, and the UK vis-à-vis the U.S. dollar from May 1990 through July 2015. Unlike previous studies, we allow the loading matrix in the vector error-correction (VEC) model to be varying over time. Because the loading matrix in the VEC model is associated with the speed at which deviations from the long-run relationship disappear, we propose a new degree of market comovement based on the time-varying loading matrix to measure the strength or robustness of the long-run relationship over time. Since exchange rates are determined by macrovariables, cointegration among exchange rates implies these variables share common stochastic trends. Therefore, the proposed degree measures the degree of market comovement. Our main finding is that the market comovement has become stronger over the past quarter-century, but at a decreasing rate with two major turning points: one in 1995 and the other one in 2008.

  • The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach

    WADA TATSUMAIto, Mikio ; Noda, Akihiko

    APPLIED ECONOMICS 48 ( 7 ) 621 - 635 2016.02

    Research paper (scientific journal), Joint Work

  • Measuring business cycles with structural breaks and outliers

    Perron Pierre, Wada Tatsuma

    Research in Economics  2015.11

    Research paper (scientific journal), Joint Work,  ISSN  1090-9443

    　View Summary

    <p>This paper first generalizes the trend-cycle decomposition framework of Perron and Wada (2009) based on unobserved components models with innovations having a mixture of normals distribution, which is able to handle sudden level and slope changes to the trend function as well as outliers. We investigate how important are the differences in the implied trend and cycle compared to the popular decomposition based on the Hodrick and Prescott (HP) (1997) filter. Our results show important qualitative and quantitative differences in the implied cycles for both real GDP and consumption series for the G7 countries. Most of the differences can be ascribed to the fact that the HP filter does not handle well slope changes, level shifts and outliers, while our method does so. Then, we reassess how such different cycles affect some so-called "stylized facts" about the relative variability of consumption and output across countries.</p>

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

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Presentations 【 Display / hide 】

  • Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO

    Tatsuma Wada

    97th Annual Conference of the Western Economic Association International , 

    2022.06
    -
    2022.07
    , 

    Oral presentation (general)

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

    WADA TATSUMA

    Western Economic Association Meeting, 

    2017.06
    , 

    Oral presentation (general)

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

    WADA TATSUMA

    International Conference on Econometrics and Statistics, 

    2017.06
    , 

    Oral presentation (general)

  • Time-Varying Comovement of Foreign Exchange Market (with Mikio Ito and Akihiko Noda)

    WADA TATSUMA

    Midwest Econometrics Study Group Meeting, 

    2016.10
    , 

    Oral presentation (general)

  • Asymmetries in the Response of Economic Activity to Oil Price Increases and Decreases? (with Ana Maria Herrera and Latika Gupta Lagalo)

    WADA TATSUMA

    Bank of Canada, 

    2016.02
    , 

    Public lecture, seminar, tutorial, course, or other speech

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

  • The analysis of the current account balance and exchange rates: A long-run perspective

    2023.04
    -
    2026.03

    基盤研究(C), Principal investigator

  • The Effectiveness of Filtering, Frequency Domain Analysis, and LASSO on Forecasting Future Exchange Rates

    2020.04
    -
    2023.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Principal investigator

  • バンドスペクトラル回帰分析を用いた為替レートと実体経済変数の関係に関する研究

    2017.04
    -
    2020.03

    基盤研究（C）, Grant-in-Aid for Scientific Research, Tatsuma Wada, No Setting, No Setting

  • 経常収支と輸出入産業からみる原油価格の変化と日本経済

    2015.08
    -
    2017.03

    研究活動スタート支援, Grant-in-Aid for Scientific Research, Research grant, Principal investigator

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Courses Taught 【 Display / hide 】

  • TOPICS ON INTERNATIONAL ECONOMICS

    2024

  • SEMINAR ON ECONOMIC THEORY

    2024

  • SEMINAR B

    2024

  • RESEARCH SEMINAR D

    2024

  • RESEARCH SEMINAR C

    2024

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Courses Previously Taught 【 Display / hide 】

  • Microeconomics 2

    Keio University

    2017.04
    -
    2018.03
    , 

    Spring Semester, Lecture

  • Macroeconomics 2

    Keio University

    2017.04
    -
    2018.03
    , 

    Spring Semester, Lecture

  • International Finance

    Keio University

    2016.04
    -
    2017.03
    , 

    Autumn Semester, Lecture

  • Econometrics

    Keio University

    2016.04
    -
    2017.03
    , 

    Autumn Semester, Lecture

  • Microeconomics 2

    Keio University

    2016.04
    -
    2017.03
    , 

    Spring Semester, Lecture

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Memberships in Academic Societies 【 Display / hide 】

  • Japanese Economic Association

    　

  • Japan Economic Policy Association

    　

  • American Economic Association

    　

  • Econometric Society

    　

  • Canadian Economic Association

    　

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