栗田高光

クリタタカミツ | Takamitsu Kurita

所属機関・部署：
職名：教授

研究分野 (2件)：経済統計 , 金融、ファイナンス

研究キーワード (6件)：時系列分析 , 多変量解析 , 共和分 , 為替レート , 金利 , 物価

競争的資金等の研究課題 (4件)：

論文 (36件)：

Kurita, T, James, P. The Canadian-US dollar exchange rate over the four decades of the post-Bretton Woods float: An econometric study allowing for structural breaks. Metroeconomica. 2022. 12384
Kurita, T. Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression. Communications in Statistics - Theory and Methods. 2021
Castle, J. L, Kurita, T. A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts. Journal of Economic Dynamics and Control. 2021. 104139
Kurita, T. Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data. Journal of Multivariate Analysis. 2020. 178. 104622
Kurita, T. Normalising cointegrating relationships subject to long-run exclusion. Economics Letters. 2020. 192. 109161

講演・口頭発表等 (54件)：

A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
(4th International Conference on Econometrics and Statistics, EcoSta 2021 (Online) 2021)
On the feasibility of yield curve control by lowering negative short-term interest rates
(第28回関西計量経済学研究会(オンライン) 2021)
A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
(日本経済学会2020年度春季大会(オンライン大会) 2020)
Johansen test with Fourier-type smooth non-linear trends in cointegrating relations
(第27回関西計量経済学研究会(一橋大学) 2020)
Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks
(International Conference on Research in Economics and Social Science, Shiga University (RESSU), Hikone 2019)

学歴 (2件)：

学位 (2件)：

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栗田 高光