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日本学術振興会　科学研究費　基盤（C）（22K01424：2022年度ー2024年度）
研究テーマ：「金融システムのリスク管理と経済社会の持続可能性」

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日本学術振興会　科学研究費 基盤（Ａ）（17H00983：2017年度ー2020年度）
研究テーマ: 「データサイエンスのアプローチによる金融リスク管理とその波及メカニズムに関する研究」

研究成果
2021年
著作

• Tadahiro Nakajima, Shigeyuki Hamori, Xie He, Guizhou Liu, Wenting Zhang, Yulian Zhang, and Tiantian Liu. (2021) ESG Investment in the Global Economy. Springer.

論文

• Takuo Higashide, Katsuyuki Tanaka, Takuji Kinkyo, and Shigeyuki Hamori (2021) New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?, Journal of Risk and Financial Management, 14 (5) 215 (https://doi.org/10.3390/jrfm14050215)
• Tiantian Liu and Shigeyuki Hamori (2021) Does Investor Sentiment Affect Clean Energy Stock: Evidence from TVP-VAR-Based Connectedness Approach, Energies, 14(12), 3442 (https://doi.org/10.3390/en14123442)
• Xie He and Shigeyuki Hamori (2021) Is volatility spillover enough for investor decisions? A new viewpoint from higher moments, Journal of International Moneyn and Finance, 116, article number 102412.(https://doi.org/10.1016/j.jimonfin.2021.102412).
• Tiantian Liu, Tadahiro Nakajima, and Shigeyuki Hamori (2021) The Impact of Economic Uncertainty Caused by COVID-19 on Renewable Energy Stocks, Empirical Economics, 62, pp.1495-1515. (https://doi.org/10.1007/s00181-021-02087-3)
• Wang Chen, Zhiwen Zhang, Shigeyuki Hamori, and Takuji Kinkyo (2021) Not all bank systemic risks are alike: Deposit insurance and bank risk revisited, International Review of Financial Analysis, 77, #101855. (https://doi.org/10.1016/j.irfa.2021.101855)
• Lu Yang and Shigeyuki Hamori (2021) The role of the carbon market in relation to the cryptocurrency market: Only diversification or more?, International Review of Financial Analysis, 77, #101864. (https://doi.org/10.1016/j.irfa.2021.101864).
• Yulian Zhang and Shigeyuki Hamori (2021) Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach, Quarterly Review of Economics and Finance, 82, pp.145-162. (https://doi.org/10.1016/j.qref.2021.08.003)
• Jin Shang and Shigeyuki Hamori (2021) Do Crude Oil Prices and the Sentiment Index Influence Foreign Exchange Rates Differently in Oil-Exporting/Importing Countries? A Dynamic Connectedness Analysis, Resources Policy, 64, #102400. (https://doi.org/10.1016/j.resourpol.2021.102400).
• Wenting Zhang and Shigeyuki Hamori (forthcoming) The connectedness between the sentiment index and stock return volatility under COVID-19: a time-varying parameter vector autoregression approach, Singapore Economic Review.

2020年

著作

• Hamori, S. and Takiguchi, T. (2020) AI and Financial Markets, Basel: MDPI
• David A. Anderson and Hamori, S. (2020) Empiprical Analysis of Natural Gas Markets, Basel: MDPI

論文

• Tiantian Liu ,Xie He ,Tadahiro Nakajima and Shigeyuki Hamori (2020) Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe, Energies, 13(8), 1-20. (https://doi.org/10.3390/en13081900)
• Wenting Zhang and Shigeyuki Hamori (2020) Do machine learning techniques and dynamic methods help forecast US natural gas crises?, Energies, 13(9), pp.1-25.
• Yulian Zhang and Shigeyuki Hamori (2020) Forecasting crude oil market crashes using machine learning technologies, Energies,13(10), pp.1-14. ( https://doi.org/10.3390/en13102440 )
• Xue-Feng Shao, Kostas Gouliamos, Ben Nan-Feng Luo, Shigeyuki Hamori, Stephen Satchell, Xiao-Guang Yue, and Jane Qiu (2020 ) Diversification and Desynchronicity: An Organizational Portfolio Perspective on Corporate Risk Reduction, Risks, 8(2), pp.1-16, (https://doi.org/10.3390/risks8020051)
• Jin Shang, Shigeyuki Hamori (2020) The Response of U.S. Macroeconomic Aggregates to Price Shocks in Crude Oil vs. Natural Gas, Energies, 13(10), pp.1-18.(https://doi.org/10.3390/en13102603)
• Tiantian Liu and Shigeyuki Hamori (2020) Spillovers to renewable energy stocks in the US and Europe: Are they different? Energies, 13(12), pp.1-28. (https://doi.org/10.3390/en13123162 ).
• Lu Yang, Lei Yang, Kung-Cheng Ho, and Shigeyuki Hamori (2020) Dependence structures and risk spillover in China’s credit bond market: A copula-CoVaR approach, Journal of Asian Economics, 68(C), pp.1-12. (https://doi.org/10.1016/j.asieco.2020.101200)
• Youngho Chang, Zheng Fang, and Shigeyuki Hamori (2020) Energy and Human Capital: A Driver or Drag for Economic Growth, Singapore Economic Review, 65(3) pp.683-714. (https://doi.org/10.1142/S0217590817500163)
• Lu Yang and Shigeyuki Hamori (2020) Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach, Energies, 13(14), pp.1-27.(https://doi.org/10.3390/en13143700)
• Yijin He, Tadahiro Nakajima, and Shigeyuki Hamori (2020) Can BRICS’s currency be a hedge or a safe haven for energy portfolio?: An evidence from vine copula approach, Singapore Economic Review, 65(4), pp.805-836. (https://doi.org/10.1142/S0217590820500174)
• Kaiji Motegi, Xiaojing Cai, Shigeyuki Hamori, and Heifeng Xu (2020) Moving average threshold heterogeneous autoregressive (MAT-HAR) models, Journal of Forecasting, 39(7), pp.1035-1042.( https://doi.org/10.1002/for.2671)
• Xie He, Tetsuya Takiguch, Tadahiro Nakajim, and Shigeyuki Hamori (2020) Spillover Effects between Energies, Gold, and Stock: The United States versus China, Energy and Environment, 31(8), pp.1416-1447. (https://doi.org/10.1177/0958305X20907081)
• Shigeyuki Hamori, Kaiji Motegi, and Zheng Zhang (2020) Copula-based regression models with data missing at random, Journal of Multivariate Analysis, 180, 104654.
• Guifu Chen, Shan Zhan, and Shigeyuki Hamori (2020) The Influence of Quality and Variety of New Imports on Enterprise Innovation: Evidence from China, Sustainability,12(22),pp. 1-20. (https://doi.org/10.3390/su12229537)
• Yulian Zhang, Xie He, Tadahiro Nakajima, and Shigeyuki Hamori (2020) Oil, Gas, or Financial Conditions - Which One Has a Stronger Link with Growth? North American Journal of Economics and Finance, 54, 101220.(https://doi.org/10.1016/j.najef.2020.101220
• Lu Yang and Shigeyuki Hamori (2021) Systemic Risk and Economic Policy Uncertainty: International Evidence from the Crude Oil Market, Economic Analysis and Policy, 69, pp.142-158.(https://doi.org/10.1016/j.eap.2020.12.001)
• Lei Xu, Shigeyuki Hamori, and Takuji Kinkyo (forthcoming) Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates, North American Journal of Economics and Finance. (https://doi.org/10.1016/j.najef.2021.101360)
• Go Tamakoshi and Shigeyuki Hamori (2021) Environmental Policy and Sustainable Growth in Japan, Euston Quah and Renate Schubert ed., Sustainability and Environmental Decision Making, Springer (https://doi.org/10.1007/978-981-15-6093-4_3-1)
• Wenting Zhang and Shigeyuki Hamori (2021) Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany, International Review of Financial Analysis, 74, 101702. (https://doi.org/10.1016/j.irfa.2021.101702)
• Rio Murata and Shigeyuki Hamori (2021) ESG Disclosures and Stock Price Crash Risk, Journal of Risk and Financial Management, 14(2), 70. (https://doi.org/10.3390/jrfm14020070)
• Qian Chen,Xiang Gao,Shan Xie,Li Sun,Shuairu Tian, and Shigeyuki Hamori (2021) On the Predictability of China Macro Indicator with Carbon Emissions Trading, Energies, 14(5), 1271. (https://doi.org/10.3390/en14051271)

2019年
著作

• Hamori, S. ed., (2019) Empirical Finance, Basel: Mdpi AG.

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

論文

• Wang Chen, Shigeyuki Hamori, and Takuji Kinkyo (2019) Complexity of financial stress spillovers: Asymmetry and interaction effects of institutional quality and foreign bank ownership, The North American Journal of Economics and Finance, Vol.48, pp.567-581.
• Shigeyuki Hamori, Kaiji Motegi, and Zheng Zhang (2019) Calibration estimation of semiparametric copula models with data missing at random, Journal of Multivariate Analysis, Vol.173, pp.85-109.
• Tanaka, K., Higashide, T., Kinkyo, T., and Hamori, S. (forthcoming) Analyzing industry-level vulnerability by predicting financial bankruptcy, Economic Inquiry (https://doi.org/10.1111/ecin.12817).
• He, Y. and Hamori, S. (2019) Conditional Dependence between Oil Prices and Exchange Rates in BRICS Countries: An Application of the Copula-GARCH Model, Journal of Risk and Financial Management, 12(2), pp.1-26. (https://doi.org/10.3390/jrfm12020099)
• 長谷川博康・羽森茂之 (2019) 「アンサンブル学習とニューラルネットワーク："じゃらん"データを使った分析」『国民経済雑誌』第220巻 第3号 pp.17-29.
• He, Y., Nakajima, T., and Hamori, S.(2019) Connectedness Between Natural Gas Price and BRICS Exchange Rates: Evidence from Time and Frequency Domains, Energies, 12(20), pp.1-28. (https://doi.org/10.3390/en12203970)
• Yang, L., Yang, L., Ho, K.-C., and Hamori, S., (2019) Determinants of the Long-Term Correlation between Crude Oil and Stock Markets, Energies, 12(21), pp.1-15. (https://doi.org/10.3390/en12214123)
• Terada, I. and Hamori, S. (2020) Application of Network Analysis to Cryptocurrency in the Global Financial Market, Review of Integrative Business & Economics Research, Vol.9 (4), pp.19-35
• Cai, X-J., Hamori, S., Yang, L., and Tian, S. (2020) Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management, Energies, 13(2), pp.1-24. (https://doi.org/10.3390/en13020294)
• Xiao Jing Cai, Zheng Fang, Youngho Chang, Shuairu Tian & Shigeyuki Hamori(2020) Co-movements in commodity markets and implications in diversification benefits, Empirical Economics, 58(2), pp.393-425. (https://doi.org/10.1007/s00181-018-1551-3)
• Wenting Zhang, Xie He, Tadahiro Nakajima, Shigeyuki Hamori (2020) How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe, Energies, 13(3), pp.1-26 (https://doi.org/10.3390/en13030727)
• Hitoshi Hamori and Shigeyuki Hamori (2020) Does ensemble Learning Always Lead to Better Forecasts?, Applied Economics and Finance, 7 (2), pp.51-56. (https://doi.org/10.11114/aef.v7i2.4716)
• Wang, C., Hamori, S., and Kinkyo, T. (2020) Dynamic effects of financial spillovers on bank lending: Evidence from local-projection based impulse response, Applied Economics Letters, 27 (5), pp.400-405. (https://doi.org/10.1080/13504851.2019.1619011)
• Yuchen Zhang, Shigeyuki Hamori (2020) The Predictability of the Exchange Rate When Combining Machine Learning and Fundamental Models, Journal of Risk and Financial Management, 13(3), pp.1-16. (https://doi.org/10.3390/jrfm13030048) .
• Guizhou Liu, Shigeyuki Hamori, (2020) Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index? Energies, 13(5), pp.1-21. (https://doi.org/10.3390/en13051179)
• Kohei Matsuoka and Shigeyuki Hamori (2021) Forecasting WTI Futures Prices Using Recurrent Neural Networks, Review of Integrative Business & Economics Research, 10(1), pp.34-50.
• Kaiji Motegi, Xiaojing Cai, Shigeyuki Hamori, and Heifeng Xu (forthcoming) Moving average threshold heterogeneous autoregressive (MAT-HAR) models, Journal of Forecasting.( https://doi.org/10.1002/for.2671)
• Xie He, Tetsuya Takiguch, Tadahiro Nakajim, and Shigeyuki Hamori (forthcoming) Spillover Effects between Energies, Gold, and Stock: The United States versus China, Energy and Environment. (https://doi.org/10.1177/0958305X20907081)

国際学会での報告

• 2019年8月5日：「Return and Volatility Spillovers Across the Energy and Carbon Markets: New Evidence from the Time-Frequency Domain」Singapore Economic Review Conference 2019 (Singapore)、報告者：Xie He (Kobe University)
• 2019年8月5日：「Modeling the Dependence Between the Carbon Futures Market and Renewable Energy Stock Indices」Singapore Economic Review Conference 2019 (Singapore)、報告者：Guizhou Liu（Kobe University）
• 2019年8月7日：「Financial Hazard Map」Singapore Economic Review Conference 2019 (Singapore)、報告者：Shigeyuki Hamori （Kobe University, 招待講演）　
• 2019年7月4日：「Application of Network Analysis to Cryptocurrency in the Global Financial Market」SIBR 2019 OSAKA Conference on Interdisciplinary Business & Economics Research, (Ark Hotel Osaka, Japan)、 著者：Iori Terada (Kobe University), and Shigeyuki Hamori (Kobe University)、報告者：Shigeyuki Hamorii.
• 2020年1月11日：「Forecasting WTI Futures Prices Using Recurrent Neural Networks」SIBR 2020 Sydney Conference on Interdisciplinary Business & Economics Research, (Vibe Hotel Sydney (Australia))、著者：Kohei Matsuoka and Shigeyuki Hamori, 報告者：Shigeyuki Hamori

2018年

論文

• Hamori, S., Motegi, K., and Zhang, Z. (forthcoming) Calibration estimation of semiparametric copula models with data missing at random, Journal of Multivariate Analysis.
• Luo, Z., Cai,X.J., Tanaka,K., Takiguchi, T., Kinkyo, T., and Hamori, S. (2019) Can we forecast daily oil futures prices? Experimental evidence from convolutional neural networks, Journal of Risk and Financial Management, 12(1), pp.1-13. (https://doi.org/10.3390/jrfm12010009).
• Luo, Z., Chen, J., Cai,X.J., Tanaka,K., Takiguchi, T., Kinkyo, T., and Hamori, S. (2018) Oil Price Forecasting Using Supervised GANs with Continuous Wavelet Transform Features, Proceedings - International Conference on Pattern Recognition, pp.830-835.
• Tanaka, K., Kinkyo, T., and Hamori, S. (2018) Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model, Sustainability, 10(5), pp.1-18. (https://doi.org/10.3390/su10051530l)
• Miyazaki, T. and Hamori, S. (2018) The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach, Annals of Financial Economics, Vol.13, Issue 1, pp.1-25. ( http://dx.doi.org/10.1142/S2010495218500045)
• Yang, L., Tian, S., , Yang, W., Xu, M., and Hamori, S. (2018) Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach, North American Journal of Economics and Finance, Vol.45, pp.116-137.
• Yang, L. and Hamori, S. (2018) Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries, International Review of Financial Analysis, Vol.59, pp.19-34.
• Yang, L. and Hamori, S. (2018) Modeling the dynamics of international agricultural commodity prices: A comparison of GARCH and stochastic volatility models. Annals of Financial Economics, Vol. 13, No. 3, pp.1-20. (DOI: 10.1142/S2010495218500100)
• Cai, X.-J., Fang, Z., Chang, Y., Tian, S., and Hamori, S. (forthcoming) Co-movements in commodity markets and implications in diversification benefits, Empirical Economics. (https://doi.org/10.1007/s00181-018-1551-3)
• Chen, W., Hamori, S., and Kinkyo, T. (forthcoming) Complexity of financial stress spillovers: Asymmetric impacts and intersection effects of institutional quality and foreign bank ownership, Journal, North American Journal of Economics and Finance. (https://doi.org/10.1016/j.najef.2018.07.015)
• Hamori, S., Motegi, K., and Zhang, Z. (2018) Calibration Estimation of Semiparametric Copula Models with Data Missing at Random (revised version) SSRN (http://dx.doi.org/10.2139/ssrn.3029508 )
• Liu,G., Cai, X.J., and Hamori, S. (2018) Modeling the Dependence Structure of Share Prices among Three Chinese City Banks, Journal of Risk and Financial Management, Vol.11(4), 57; pp.1-18. (https://doi.org/10.3390/jrfm11040057)
• Hamori, S. and Kume, T. (2018) Artificial Intelligence and Economic Growth, Advances in Decision Sciences, pp.1-22.
• Toyoshima, Y. and Hamori, S. (2018) Measuring the time-frequency dynamics of return and volatility connectedness in global crude oil markets, Energies, Vol.11, 2893, pp.1-20. (https://doi.org/10.3390/en11112893)
• Xu,L., Kinkyo,T., and Hamori, S. (2018) Predicting currency crises: a novel approach combining random forests and wavelet transform, Journal of Risk and Financial Management, 11(4), pp.1-11. ( https://doi.org/10.3390/jrfm11040086 )
• He, X., Cai, X.J., and Hamori, S. (2018) Bank Credit and Housing Price in China: Evidence from a TVP-VAR Model with Stochastic Volatility, Journal of Risk and Financial Mamnagement, 11(4), pp.1-16. ( https://doi.org/10.3390/jrfm11040090 )

国際学会等での研究報告

• 2019年3月21日：「Improving Stock Return Density Forecasts using Regular Vine Copulas」Western Economic Association International, (Keio University, Japan)、 著者：ShuairuTian (Shanghai Business School), Xiao Jing Cai (Kobe University), and Shigeyuki Hamori (Kobe University)」、報告者：Xiao-Jing Cai.
• 2019年1月12日：「Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model」Shanghai Business School, Research Center of Finance (RCF), Academic Seminar Series (Shanghai, China), 著者：Katsuyuki Tanaka, Takuji Kinkyo, and Shigeyuki Hamori, 報告者：Shigeyuki Hamori.
• 2018年12月10日－11日：「Muti-horizon dependence between oil (gold) and East Asian stock markets: Implications for risk management」The 2nd INFINITI Conference on International Finance ASIA-PACIFIC (University of Sydney, Australia), 著者：Xiao-Jing Cai and Shigeyuki Hamori, 報告者：Xiao-Jing Cai.
• 2018年9月29日：「Artificial Intelligence and Its Application to Economic Analysis: A Case of Data Concerning Economic Growth 」SIBR 2018 HONG KONG CONFERENCE ON INTERDISCIPLINARY BUSINESS & ECONOMICS RESEARCH (Hong Kong) 著者：Shigeyuki Hamori & Takahiro Kume (Kobe University)、報告者：Takahiro Kume.
• 2018年9月29日：「Modeling the Dependence Structure of Share Prices Among Three Chinese City Banks」SIBR 2018 HONG KONG CONFERENCE ON INTERDISCIPLINARY BUSINESS & ECONOMICS RESEARCH (Hong Kong) 著者：Guizhou Liu, Xiao Jing Cai, and Shigeyuki Hamori、報告者：Guizhou Liu.
• 2018年8月28日：「Calibration Estimation of Semiparametric Copula Models with Data Missing at Random」, Workshop at Institute of Statistics and Big Data, Renmin University of China, (Beijing, China),著者：Shigeyuki Hamori, Kaiji Motegi, and Zheng Zhang, 報告者：Kaiji Motegi.
• 2018年8月20日ー24日：「Oil Price Forecasting Using Supervised GANs with Continuous Wavelet Transform Features」2018 24th International Conference On Pattern Recognition (ICPR), (Beijing, China), 著者：Zhaojie Luo, Jinhui Chen, Xiao Jing Cai, Katsuyuki Tanaka, Tetsuya Takiguchi, Takuji Kinkyo, Shigeyuki Hamori,　報告者：Zhaojie Luo and Xiao Jing Cai
• 2018年6月29日ー30日：「Financial Hazard Map : Financial Vulnerability Predicted by a Random Forests Classification Model」The 3rd International Conference on Economics and Management Innovations 2018 (ICEMI2018), (Taichung, Taiwan),　Keynote Speech (invited), 著者：Tanaka,K., Kinkyo,T., and Hamori, S., 報告者：Shigeyuki Hamori
• 2018年5月10日ー11日：「Artificial Intellingence and Its Appication to Economic Analysis: The Case of Economic Growth Data」The Second International Forum on East Asia Macroeconomic Studies, (Xiamen, China) 著者：Hamori, S. and T. Kume, 報告者：Shigeyuki Hamori.

国際Workshop等

• 2018年12月18日：3rd Workshop on Big Data and Computational Sciences, 於：神戸大学経済学研究科（兵庫県神戸市）
• 2018年12月18日：Workshop on Big Data and Machine Learning, 於：神戸大学経済学研究科（兵庫県神戸市）
• 2018年7月25日：2nd Workshop on Big Data and Computational Sciences, 於：神戸大学経済学研究科（兵庫県神戸市）
• 2018年7月12日：Workshop on Big Data and Computational Sciences, 於：神戸大学経済学研究科（兵庫県神戸市）

2017年
著作

• Tamakoshi, G. and Hamori, S. (2018) Credit Default Swap Markets in the Global Economy: An empirical analysis, London: Routledge.謝辞有

論文

• Hamori, Shigeyuki and Motegi, Kaiji and Zhang, Zheng, Calibration Estimation of Semiparametric Copula Models with Data Missing at Random (March 28, 2018). Available at SSRN: https://ssrn.com/abstract=3029508
• Yang, L., Tian, S., , Yang, W., Xu, M., and Hamori, S. (forthcoming) Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach, North American Journal of Economics and Finance.
• Yang, L., Cai, X.J., Hamori, S. (2018) What determines the long-term correlation between oil prices and exchange rates? North American Journal of Economics and Finance, Vol.44, pp.140-152. (https://doi.org/10.1016/j.najef.2017.12.003)
• Yang, L., Ma, J. Z., and Hamori, S., (2018) Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach, Sustainability, Vol.10, No.2, 324, pp.1-23. (doi:10.3390/su10020324 )
• Tanaka, K., Higashide, T., Kinkyo, T., and Hamori, S. (2017) Forecasting the Vulnerability of Industrial Economic Activities: Predicting the Bankruptcy of Companies, Journal of Management Information and Decision Sciences, Vol.20, Issue. 1, (Special Issue), pp.1-23.
• Chang, Y., Fang, Z., and Hamori, S. (2017) Volatility and Causality in Strategic Commodities: Characteristics, Myth and Evidence, International Journal of Economics and Finance, Vol.9, No.8, pp.162-178.
• Tanaka, K., Kinkyo, T. and Hamori, S. (2017) Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model, Graduate School of Economics, Kobe University, Discussion Paper, No.1720.

国際学会等での研究報告

• 2018年1月11日：「Interdependence between Oil and East Asian Stock Markets: Evidence from Wavelet Coherence Analysis」著者：Cai, X.J.・Tian, S.・Yuan, N.・Hamori, S.、報告者：羽森茂之、Western Economic Association International (New Castle, Australia)
• 2018年1月11日：「Modelling Interdependence between East Asian Stock Markets and the Prices of Oil and Gold: A Wavelet Based Approach」著者：Cai, X. J., and Hamori,S., 報告者：Xiao-Jing Cai 、Western Economic Association International (New Castle, Australia)　
• 2018年1月12日：「Forecasting the Vulnerability of Industrial Economic Activities: Predicting the Bankruptcy of Companies」著者：Tanaka, K., Higashide, T., Kinkyo, T., and Hamori, S.、報告者：東出卓朗、Western Economic Association International (New Castle, Australia)　
• 2017年8月2日： 「Interdependence between Oil and East Asian Stock markets: Evidence from Wavelet Coherence Analysis」著者：Cai, X.J.・Tian, S.・Yuan, N.・Hamori, S.、報告者：羽森茂之、Singapore Economic Review Conference 2017 (Singapore)
• 2017年8月2日：「Modeling Interdependence between East Asian Stock Markets and the Prices of Oil and Gold: A Wavelet based Approach」著者：Cai, X. J., and Hamori, S., 報告者：Xial Jing Cai、Singapore Economic Review Conference 2017, (Singapore)
• 2017年4月15日：「Interdependence between Oil and East Asian Stock Markets: Evidence from Wavelet Coherence Analysis」著者：Cai, X.J.・Tian, S.・Yuan, N.・Hamori, S.、報告者：羽森茂之、Workshp on Statistics and Big Data, Renmin University of China (北京, China）

国際Workshop等

• 2017年12月12日：Workshop on Risk and Financial Management 於：神戸大学経済学研究科（兵庫県神戸市）
• 2017年12月12日：Workshop on Big Data and Machine Learning 於:神戸大学経済学研究科（兵庫県神戸市）

研究成果

2018年度

論文

• Yao, W and Hamori, S. (2019) The long-run relationship between farm size and productivity: A re-examination based on Chinese panel data, China Agricultural Economic Review, Vol.11(2), pp.373-386. (https://doi.org/10.1108/CAER-05-2017-0103).
• Luo, Z., Cai,X.J., Tanaka,K., Takiguchi, T., Kinkyo, T., and Hamori, S. (2019) Can we forecast daily oil futures prices? Experimental evidence from convolutional neural networks, Journal of Risk and Financial Management, 12(1), pp.1-13. (https://doi.org/10.3390/jrfm12010009).
• Luo, Z., Chen, J., Cai,X.J., Tanaka,K., Takiguchi, T., Kinkyo, T., and Hamori, S. (2018) Oil Price Forecasting Using Supervised GANs with Continuous Wavelet Transform Features, Proceedings - International Conference on Pattern Recognition, pp.830-835.
• Tanaka, K., Kinkyo, T., and Hamori, S. (2018) Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model, Sustainability, 10(5), pp.1-18. (https://doi.org/10.3390/su10051530l)
• Hamori, S., Motegi, K., and Zhang, Z. (2018) Calibration Estimation of Semiparametric Copula Models with Data Missing at Random (revised version) SSRN (http://dx.doi.org/10.2139/ssrn.3029508 )
• Liu,G., Cai, X.J., and Hamori, S. (2018) Modeling the Dependence Structure of Share Prices among Three Chinese City Banks, Journal of Risk and Financial Management, Vol.11(4), 57; pp.1-18. (https://doi.org/10.3390/jrfm11040057)
• Yang, L. and Hamori, S. (2018) Modeling the dynamics of international agricultural commodity prices: A comparison of GARCH and stochastic volatility models. Annals of Financial Economics, Vol. 13, No. 3, pp.1-20. (DOI: 10.1142/S2010495218500100)
• Hamori, S. and Kume, T. (2018) Artificial Intelligence and Economic Growth, Advances in Decision Sciences, pp.1-22.
• Toyoshima, Y. and Hamori, S. (2018) Measuring the time-frequency dynamics of return and volatility connectedness in global crude oil markets, Energies, Vol.11, 2893, pp.1-20. (https://doi.org/10.3390/en11112893)
• Chang, Y., Fang, Z., Hamori, S., and Chow, D. (2018) A Sustainable Metropolis: Perspectives of Population, Productivity and Parity, Sustainability, 10(11), pp.1-17. (https://doi.org/10.3390/su10114264)
• Xu,L., Kinkyo,T., and Hamori, S. (2018) Predicting currency crises: a novel approach combining random forests and wavelet transform, Journal of Risk and Financial Management, 11(4), pp.1-11. ( https://doi.org/10.3390/jrfm11040086 )
• He, X., Cai, X.J., and Hamori, S. (2018) Bank Credit and Housing Price in China: Evidence from a TVP-VAR Model with Stochastic Volatility, Journal of Risk and Financial Mamnagement, 11(4), pp.1-16. ( https://doi.org/10.3390/jrfm11040090 )

国際学会等での研究報告

• 2019年3月21日：「Improving Stock Return Density Forecasts using Regular Vine Copulas」Western Economic Association International, (Keio University, Japan)、 著者：ShuairuTian (Shanghai Business School), Xiao Jing Cai (Kobe University), and Shigeyuki Hamori (Kobe University)」、報告者：Xiao-Jing Cai.
• 2019年1月12日：「Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model」Shanghai Business School, Research Center of Finance (RCF), Academic Seminar Series (Shanghai, China), 著者：Katsuyuki Tanaka, Takuji Kinkyo, and Shigeyuki Hamori, 報告者：Shigeyuki Hamori.　
• 2018年12月10日－11日：「Muti-horizon dependence between oil (gold) and East Asian stock markets: Implications for risk management」The 2nd INFINITI Conference on International Finance ASIA-PACIFIC (University of Sydney, Australia), 著者：Xiao-Jing Cai and Shigeyuki Hamori, 報告者：Xiao-Jing Cai.
• 2018年9月29日：「Artificial Intelligence and Its Application to Economic Analysis: A Case of Data Concerning Economic Growth 」SIBR 2018 HONG KONG CONFERENCE ON INTERDISCIPLINARY BUSINESS & ECONOMICS RESEARCH (Hong Kong) 著者：Shigeyuki Hamori & Takahiro Kume (Kobe University)、報告者：Takahiro Kume.
• 2018年9月29日：「Modeling the Dependence Structure of Share Prices Among Three Chinese City Banks」SIBR 2018 HONG KONG CONFERENCE ON INTERDISCIPLINARY BUSINESS & ECONOMICS RESEARCH (Hong Kong) 著者：Guizhou Liu, Xiao Jing Cai, and Shigeyuki Hamori、報告者：Guizhou Liu.
• 2018年8月28日：「Calibration Estimation of Semiparametric Copula Models with Data Missing at Random」, Workshop at Institute of Statistics and Big Data, Renmin University of China, (Beijing, China), 著者：Shigeyuki Hamori, Kaiji Motegi, and Zheng Zhang, 報告者：Kaiji Motegi.
• 2018年8月20日ー24日：「Oil Price Forecasting Using Supervised GANs with Continuous Wavelet Transform Features」2018 24th International Conference On Pattern Recognition (ICPR), (Beijing, China), 著者：Zhaojie Luo, Jinhui Chen, Xiao Jing Cai, Katsuyuki Tanaka, Tetsuya Takiguchi, Takuji Kinkyo, Shigeyuki Hamori,　報告者：Zhaojie Luo and Xiao Jing Cai
• 2018年6月29日ー30日：「Financial Hazard Map : Financial Vulnerability Predicted by a Random Forests Classification Model」The 3rd International Conference on Economics and Management Innovations 2018 (ICEMI2018), (Taichung, Taiwan) , Keynote Speech (invited) , 著者：Tanaka,K., Kinkyo,T., and Hamori, S., 報告者：Shigeyuki Hamor

国際Workshop等

• 2018年9月14～15日：The 4rd Annual International Conference on Applied Econometrics, (Honolulu, USA)

2017年
著書

• Tamakoshi, G. and Hamori, S. (2018) Credit Default Swap Markets in the Global Economy: An empirical analysis, Routledge.謝辞有

論文

• Tembata, K., and Takeuchi, K., 2017. "Collective Decision Making under Drought: An Empirical Study of Water Resource Management in Japan," Water Resources and Economics, forthcoming.
• Ito, N., Takeuchi, K., and Managi, S., 2017. "Do Battery-Switching Systems Accelerate the Adoption of Electric Vehicles? A Stated Preference Study," Economic Analysis and Policy, forthcoming.
• Kato, S., and Takeuchi, K., 2017. "A CGE Analysis of a Rate-based Policy for Climate Change Mitigation," Journal of the Japanese and International Economies, 43, 88-95.
• Ma, T., and Takeuchi, K., 2017. "Technology Choice for Reducing NOx Emissions: An Empirical Study of Chinese Power Plants," Energy Policy, 102, 362-376.
• Inoue, T., (2018) Financial development, remittances, and poverty reduction: Empirical evidence from a macroeconomic viewpoint, Journal of Economics and Business, Vol. 96, pp.59-68. DOI:10.1016/j.jeconbus.2017.12.001
• Fukumoto, Y. and Tomoko Kinugasa, T.(2017) Age Structure and Trade Openness: An Empirical Investigation, World Economy, Vol. 40, Issue 6, pp. 1247-1263. DOI: 10.1111/twec.12464
• 姚万軍・衣笠智子 (2017) 「中国における畜産物生産の地域区分と技術効率性ークラスター分析および確率的フロンティア生産関数分析による実証的研究」『 国民経済雑誌』第215巻第5号　pp. 79-92
• Luo,K., Kinugasa, T., and Kajitani, K. (2018) "Dynamic efficiency in world economy," Discussion Paper (Graduate School of Economics, Kobe University), No.1801.
• Luo, K. and Kinugasa, T. (2018) "Do natural disasters influence long-term saving?: Assessing the impact of the 2008 Sichuan earthquake on household saving rates using synthetic control" Discussion Paper (Graduate School of Economics, Kobe University), No. 1804.
• Luo, K. and Kinugasa, T. (2018) "Counterintuitive facts regarding household saving in China: the saving glut" Discussion Paper (Graduate School of Economics, Kobe University), No. 1815.
• 岡田修一・衣笠智子・山口三十四 (2017）「市町村の人口と財政支出に関する計量的考察」『経済政策ジャーナル』近刊（査読有）
• Yang, L., Ma, J. Z., and Hamori, S., (2018) Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach, Sustainability, Vol.10, No.2, 324, pp.1-23. (doi:10.3390/su10020324 )
• Tanaka, K., Higashide, T., Kinkyo, T., and Hamori, S. (2017) Forecasting the Vulnerability of Industrial Economic Activities: Predicting the Bankruptcy of Companies, Journal of Management Information and Decision Sciences, Vol.20, Issue. 1, (Special Issue), pp.1-23.
• Tanaka, K., Kinkyo, T. and Hamori, S. (2017) Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model, Graduate School of Economics, Kobe University, Discussion Paper No.1720.
• Fang Z., Chang, Y. and Hamori, S. (2017) Energy and Human Capital: A Driver or Drag for Economic Growth, Singapore Economic Review, forthcoming.
• 姚万軍・羽森茂之 (2017) 「農家規模と土地生産性の非線形関係に関する計量的分析ー中国のパネルデータ分析に基づいて」『国民経済雑誌』第216巻 第4号 pp.15-25.

国際学会等での報告

• 2018年1月11日：「Financial Inclusion and Poverty Reduction in India」報告者：井上武, Western Economic Association International (New Castle, Australia).
• 2017年9月27日：「The Effects of Age Structure on Trade Openness by Geographic Region」報告者：衣笠智子、2nd KU-FTU Cooperation Symposium (Kobe)、国際学会
• 2018年1月14日：「The Effects of Age Structure on Trade Openness by Geographic Region」報告者：衣笠智子、Western Economic Association International (New Castle, Australia)、国際学会
• 2017年11月13日：「Interdependence between Oil and East Asian Stock Markets: Evidence from Wavelet Coherence Analysis」著者：Cai, X.J.・Tian, S.・Yuan, N.・Hamori, S.、報告者：羽森茂之、CMR Seminar, Xiamen University (厦門, China)

国際Workshop等

• 2017年9月10～11日：The 3rd Annual International Conference on Applied Econometrics, (Honolulu, USA)

研究成果

Hamori, S., Kawai, M., Kume, T., Murakami, Y., and Watanabe, C., (2018) Ensemble learning or deep learning? Application to default risk analysis, Journal of Risk and Financial Management, Vol.11, pp.1-14. (doi:10.3390/jrfm11010012)

研究成果

2017年

• Yang, L., Cai, X.J., and Hamori, S. (2017) Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis, International Review of Economics & Finance, Vol.49, pp.536-547. (https://doi.org/10.1016/j.iref.2017.03.015)
• 羽森茂之 (2017) 「株式収益率の相互依存関係について：連続型ウェーブレット変換の応用」『経済学論究』第71巻 第２号 pp.39-57

研究成果

2016年

• Yang, L., Cai, X.J., Zhang, H., and Hamori,S., (2016) Interdependence of foreign exchange markets: A wavelet coherence analysis, Economic Modelling, Vol.55, pp.6-14. (https://doi.org/10.1016/j.econmod.2016.01.022)

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