羽　森　研　究　室
Top研究業績授業関係学部ゼミ大学院ゼミ「ベーシック計量 経済学」の部屋Link

著書紹介

  • Inoue, T. and Hamori, S. (2019) Financial Inclusion, Remittance Inflows, Economic Growth and Poverty Reduction: Evidence from Macro Empirical Analysis, World Scientific.

Many empirical analyses have demonstrated that financial inclusion and remittance inflows both indicate the potential of finance to resolve issues of growth and poverty in developing countries. Based on a wide-ranging review of prior research and empirical analyses from a new perspective, this book aims to systematically clarify the relations between financial inclusion, remittance inflows, economic growth, and poverty reduction in developing countries, revealing a new role for development finance.

  • Hamori, S. ed., (2019) Empirical Finance, MDPI.


There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of "Empirical Finance" and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.


実証分析を行うために必要最小限の内容に絞り,ベクトルや行列を用いずに簡潔に解説。回帰分析と時系列分析を中心に,豊富な例題や練習問題で自学自習できると好評テキストの最新版！


This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.


Besides export expansion, a growing middle class in Asia has contributed to the area's economic expansion, providing Asian countries with a window of opportunity to leap from low/middle income levels to high income levels. It may sound easy for these countries to run up the ladder of economic growth, but the potential risks of quickly shifting from low/middle to high income levels are often overlooked. Careful studies in history reveal that the experience of moving up the ladder of economic growth has varied among countries.

This book explores (1) the current state of Asian economies and 2) the conditions or policy counter-measures that lead to higher income levels under changing external circumstances. This is illustrated through case studies on five Asian economies, with emphasis on their structural problems. It also aims to paint a comprehensive picture of necessary policies, which will encourage Asian countries to move up the ladder of growth.


http://www.tandfonline.com/toc/mree20/52/3

The purpose of this book is to empirically analyse the multifaceted nature of financial linkages in East Asia and to discuss the key policy challenges faced by the region's economies. Although the emphasis is placed on East Asia, some of the chapters cover a broader area of countries depending on the aim of the study. Particular areas of focus in these studies include: the evolution of cross-border financial linkages in East Asia; long-run economic consequences of remittance inflows and natural resource dependence; and policy priorities for the financial integration and management of resource-rich economies.

　　Amazon

The global financial crisis saw many Eurozone countries bearing excessive public debt. This led the government bond yields of some peripheral countries to rise sharply, resulting in the outbreak of the European sovereign debt crisis. The debt crisis is characterized by its immediate spread from Greece, the country of origin, to its neighboring countries and the connection between the Eurozone banking sector and the public sector debt. Addressing these interesting features, this book sheds light on the impacts of the crisis on various financial markets in Europe. This book is among the first to conduct a thorough empirical analysis of the European sovereign debt crisis. It analyzes, using advanced econometric methodologies, why the crisis escalated so prominently, having significant impacts on a wide range of financial markets, not just limited to government bond markets. The book also allows one to understand the consequences and the overall impact of such a debt crisis, enabling investors and policymakers to formulate diversification strategies, and create suitable regulatory frameworks.
Amazon
India's financial sector has undergone significant changes following the start of the economic liberalization in the early 1990s. In addition to providing important information on monetary and financial issues in India, this book also provides examples to analyze a developing economy by using macro-financial data. The book also focuses on three main topics, that is, monetary policy, financial markets and finance-poverty nexus, and provides new insights into these issues by applying some recently developed quantitative techniques.

　Amazon

This book studies some important issues in China’s labor market, such as rural labor migration, employment and wage discrimination, the new dual labor market, and economic returns on schooling, using the newer and representative data and advanced estimation models. This approach has yielded many interesting results, including a solution to the dilemma of two ongoing crises since 2004: the rural labor surplus and severe shortage of migrant labor. While male workers generally received less favorable treatment and consequently enjoyed a lower average employment probability than female workers in 1996, they also received preferential treatment over female workers, who otherwise had identical worker characteristics in 2005. We provide new estimates for male-female hourly wage differentials in urban China, and our results indicate that the hourly wage differentials and the unexplained part of the hourly wage differentials are smaller than the differentials obtained by ignoring the sample selection bias. We study China’s new dual labor market, which is shifting from a rural migration versus urban workers setup to informal workers versus formal workers setup, and present some interesting results. Our study is the first to adopt the IV methodology and the Heckman (1979) two-step procedure simultaneously for the estimation of economic returns on schooling in China.

　Amazon

With increased resilience in the financial systems, emerging Asian economies were less affected by the recent global financial crisis, recovering more quickly from the crisis than major advanced economies. Yet, Asian financial systems remain underdeveloped. More open and efficient financial systems continue to be a key priority for Asia’s development strategy. Emerging Asian economies need to tackle the new challenges to macroeconomic and financial stability posed by financial globalization. This book identifies the key challenges to Asia’s financial development in an era of rapid financial globalization and discusses their policy implications for financial reforms and regional cooperation in East Asia. Particular areas of focus include: the impact of financial globalization on economic stability and inequality in East Asian economies; the progress of Asia’s regional financial cooperation and lessons from the recent European economic crisis; and the priority of financial reforms in individual Asian economies. Combining advanced econometric methods and in-depth case studies, this book provides rigorous and contextual analyses of the most critical issues for Asia’s financial development. It offers a comprehensive and useful guide for students, academics, and policymakers interested in the current state and future prospects of Asian financial systems.

In the wake of the global financial crisis, leading industrialized countries have managed to show only a gradual recovery, while East Asian economies have surged ahead. In particular, China achieved growth in excess of 10 per cent in 2010 and is expected to continue growing at a rapid pace. It appears that in the coming years, East Asia will play an even greater role as a growth center leading global economic expansion. Following the Asian currency crisis of 1997 - 98, consumption and investment in the region decreased considerably, and East Asian economies recovered on the strength of exports. Presently, however, amid a less-than-robust recovery in the US and Europe, the sustainability of East Asia's reliance on export-led growth has been called into question. The region's transition to growth based on a balance of foreign and domestic demand is important for both building a stronger foundation for sustainable growth and buttressing global economic expansion. Moreover, the rebalancing of demand in East Asia holds the key to rectifying global current account imbalances - the disadvantage of uneven international capital flows. This unique volume illuminates policy issues involved in the efforts to promote the rebalancing of demand in East Asia.

  • Hamori, S. and Hamori, N. (2009) Introduction of the Euro and the Monetary Policy of the European Central Bank (World Scientific)

The Euro area is an extremely unique and important currency area for two reasons. First, it is the single largest currency area to be created in an industrialized region and is important as a test case for regions contemplating the establishment of new currency areas, such as East Asia and North America. Second, it was established by sovereign states working as peers, which, despite various challenges, peacefully and autonomously decided to create a single currency area. Marking the 10th anniversary of the creation of the European Central Bank (Ecb) and the Euro, this invaluable book analyzes the monetary policy of the Ecb - the guardian of the Euro - by using recently developed econometric methods. The analysis performed in this book marks a substantial contribution toward understanding the significance of the Euro area as well as the future of the Euro from an international perspective.
  • 羽森茂之（2000年）「ベーシック計量経済学」（中央経済社）

実証分析を行う際に必要な内容を、回帰分析と時系列分析を中心にできる限りベクトルや行列を使わないで、簡潔にわかりやすく解説。豊富な例題や練習問題(解答付)で自学自習できるテキストの決定版。