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Details about Shigeyuki Hamori

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Homepage:http://www.econ.kobe-u.ac.jp/~hamori/
Workplace:Faculty of Economics, Kobe University, (more information at EDIRC)

Access statistics for papers by Shigeyuki Hamori.

Last updated 2014-08-28. Update your information in the RePEc Author Service.

Short-id: pha320


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Working Papers

2013

  1. Financial Permeation and Economic Growth: Evidence from Sub-Saharan Africa
    MPRA Paper, University Library of Munich, Germany Downloads

2012

  1. Inflation targeting in Korea, Indonesia, Thailand, and the Philippines: the impact on business cycle synchronization between each country and the world
    IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO) Downloads View citations (1)
  2. Market efficiency of commodity futures in India
    IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO) Downloads
    See also Journal Article in Applied Economics Letters (2014)

2011

  1. Financial permeation as a role of microfinance: has microfinance actually been helpful to the poor?
    IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO) Downloads View citations (1)

2010

  1. Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Economics Bulletin (2012)
  2. The interdependence of Taiwanese and Japanese stock prices
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Economics Bulletin (2010)
  3. The size of the underground economy in Japan
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Economics Bulletin (2010)
  4. The sustainability of trade balances in Sub-Saharan Africa: panel cointegration tests with cross-section dependence
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Economics Letters (2012)

2009

  1. An Empirical Analysis of the Monetary Policy Reaction Function in India
    IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO) Downloads View citations (1)
  2. Empirical Analysis of Export Demand Behavior of LDCs: Panel Cointegration Approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Economics Bulletin (2009)
  3. Empirical Analysis of Import Demand Behavior of Least Developed Countries
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Economics Bulletin (2009)
  4. Energy prices and China’s international competitiveness
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Formal Employment, Informal Employment and Income Differentials in Urban China
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Globalization, Financial Depth, and Inequality in Sub-Saharan Africa
    Discussion Papers, Graduate School of Economics, Kobe University Downloads View citations (28)
    See also Journal Article in Economics Bulletin (2009)
  7. Microfinance and Inequality
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  8. Saving-Investment Relationship and Capital Mobility:Evidence from Chinese Provincial Data, 1980—2007
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Economics Bulletin (2009)
  9. What Explains Real and Nominal Exchange Rate Fluctuations? Evidence from SVAR Analysis for India
    IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO) Downloads
    See also Journal Article in Economics Bulletin (2009)

2008

  1. An empirical analysis of the money demand function in India
    IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO) Downloads View citations (4)
    See also Journal Article in Economics Bulletin (2009)

Journal Articles

2014

  1. Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach
    International Review of Economics & Finance, 2014, 31, (C), 105-113 Downloads
  2. Dependence structure between CEEC-3 and German government securities markets
    Journal of International Financial Markets, Institutions and Money, 2014, 29, (C), 109-125 Downloads
  3. Exchange Rate Flexibility and the Integration of the Securities Market in East Asia
    Journal of Reviews on Global Economics, 2014, 3, 293-309 Downloads
  4. Gold prices and exchange rates: a time-varying copula analysis
    Applied Financial Economics, 2014, 24, (1), 41-50 Downloads
  5. Macroeconomic impacts of oil prices and underlying financial shocks
    Journal of International Financial Markets, Institutions and Money, 2014, 29, (C), 1-12 Downloads
  6. Market efficiency of commodity futures in India
    Applied Economics Letters, 2014, 21, (8), 522-527 Downloads
    See also Working Paper (2012)
  7. Nonlinear adjustment between the Eonia and Euribor rates: a two-regime threshold cointegration analysis
    Applied Financial Economics, 2014, 24, (2), 139-143 Downloads
  8. On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads
    Research in International Business and Finance, 2014, 30, (C), 83-90 Downloads
  9. Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand
    Pacific-Basin Finance Journal, 2014, 26, (C), 145-155 Downloads
  10. Spillovers among CDS indexes in the US financial sector
    The North American Journal of Economics and Finance, 2014, 27, (C), 104-113 Downloads
  11. The Phillips Curve in the United States and Canada: A GARCHDCC Analysis
    Journal of Reviews on Global Economics, 2014, 3, 1-6 Downloads

2013

  1. An asymmetric DCC analysis of correlations among bank CDS indices
    Applied Financial Economics, 2013, 23, (6), 475-481 Downloads
  2. An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis
    The European Journal of Finance, 2013, 19, (10), 939-950 Downloads
  3. An empirical analysis of the relationship between economic development and population growth in China
    Applied Economics, 2013, 45, (33), 4651-4661 Downloads View citations (2)
  4. Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore
    Journal of Asian Economics, 2013, 24, (C), 117-123 Downloads View citations (1)
  5. Crude oil hedging strategy: new evidence from the data of the financial crisis
    Applied Financial Economics, 2013, 23, (12), 1033-1041 Downloads
  6. Dependence structure among international stock markets: a GARCH--copula analysis
    Applied Financial Economics, 2013, 23, (23), 1805-1817 Downloads View citations (2)
  7. Dynamic Linkages among Foreign Exchange, Stock, and Commodity Markets in Northeast Asian Countries: Effects from Two Recent Crises
    Journal of Reviews on Global Economics, 2013, 2, 278-290 Downloads
  8. Dynamic linkages among cross-currency swap markets under stress
    Applied Economics Letters, 2013, 20, (4), 404-409 Downloads View citations (1)
  9. EU Accession, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets
    Transition Studies Review, 2013, 20, (2), 179-189 Downloads View citations (2)
  10. FORMAL AND INFORMAL EMPLOYMENT AND INCOME DIFFERENTIALS IN URBAN CHINA
    Journal of International Development, 2013, 25, (7), 987-1004 Downloads
  11. Financial permeation as a role of microfinance: has microfinance actually been a viable financial intermediary for helping the poor?
    Applied Financial Economics, 2013, 23, (20), 1567-1578 Downloads View citations (1)
  12. Testing causal relationships between wholesale electricity prices and primary energy prices
    Energy Policy, 2013, 62, (C), 869-877 Downloads
  13. Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’
    Applied Financial Economics, 2013, 23, (1), 27-40 Downloads
  14. Volatility and mean spillovers between sovereign and banking sector CDS markets: a note on the European sovereign debt crisis
    Applied Economics Letters, 2013, 20, (3), 262-266 Downloads View citations (5)

2012

  1. A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis
    Economics Bulletin, 2012, 32, (1), 437-448 Downloads View citations (5)
  2. Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market
    Journal of International Financial Markets, Institutions and Money, 2012, 22, (2), 381-394 Downloads View citations (1)
  3. Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis
    Journal of Asian Economics, 2012, 23, (4), 344-352 Downloads View citations (3)
  4. Economic Openness and Growth in China and India: A Comparative Study
    Journal of Reviews on Global Economics, 2012, 1, 139-149 Downloads
  5. Exploring the dynamic interdependence between gold and other financial markets
    Economics Bulletin, 2012, 32, (1), 37-50 Downloads View citations (1)
  6. How has financial deepening affected poverty reduction in India? Empirical analysis using state-level panel data
    Applied Financial Economics, 2012, 22, (5), 395-408 Downloads View citations (4)
  7. Informational roles of commodity prices for monetary policy: evidence from the Euro area
    Economics Bulletin, 2012, 32, (2), 1282-1290 Downloads
  8. Panel cointegration analysis of co-movement between interest rate swap and treasury markets
    Applied Economics Letters, 2012, 19, (15), 1483-1486 Downloads
  9. Real Oil Prices, Real Economic Activity, Real Interest Rates, and the US Dollar: A Cointegration Analysis with Structural Breaks
    Journal of Reviews on Global Economics, 2012, 1, 41-46 Downloads
  10. Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity
    Economics Bulletin, 2012, 32, (3), 2353-2365 Downloads
    See also Working Paper (2010)
  11. The effect of financial deepening on inequality: Some international evidence
    Journal of Asian Economics, 2012, 23, (4), 353-359 Downloads View citations (1)
  12. The sustainability of trade balances in sub-Saharan Africa: panel cointegration tests with cross-section dependence
    Applied Economics Letters, 2012, 19, (2), 161-165 Downloads View citations (2)
    See also Working Paper (2010)
  13. Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach
    Applied Financial Economics, 2012, 22, (11), 849-862 Downloads View citations (1)

2011

  1. An empirical analysis of real exchange rate movements in the euro
    Applied Economics, 2011, 43, (10), 1187-1191 Downloads View citations (1)
  2. An empirical analysis on the efficiency of the microfinance investment market
    Economics Bulletin, 2011, 31, (3), 2725-2735 Downloads
  3. Estimating the import demand function in the autoregressive distributed lag framework: The case of China
    Economics Bulletin, 2011, 31, (2), 1576-1591 Downloads View citations (4)
  4. Impact of subsidy policies on diffusion of photovoltaic power generation
    Energy Policy, 2011, 39, (4), 1958-1964 Downloads View citations (4)
  5. Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan
    Economics Bulletin, 2011, 31, (3), 2674-2682 Downloads
  6. The Sustainability of Trade Balances in China
    Economics Bulletin, 2011, 31, (3), 2090-2097 Downloads
  7. Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis
    Economics Bulletin, 2011, 31, (4), 3339-3353 Downloads View citations (1)

2010

  1. Bivariate probit analysis of differences between male and female formal employment in urban China
    Journal of Asian Economics, 2010, 21, (5), 494-501 Downloads
  2. Change in consumer sensitivity to electricity prices in response to retail deregulation: A panel empirical analysis of the residential demand for electricity in the United States
    Energy Policy, 2010, 38, (5), 2470-2476 Downloads View citations (10)
  3. Dynamic linkages of stock prices among G7 countries: effects of the American financial crisis
    Economics Bulletin, 2010, 30, (4), 2656-2667 Downloads
  4. The Interdependence of Taiwanese and Japanese Stock Prices
    Economics Bulletin, 2010, 30, (1), 879-892 Downloads
    See also Working Paper (2010)
  5. The efficiency of the Chinese stock market and the role of market liberalization
    Economics Bulletin, 2010, 30, (3), 2524-2532 Downloads
  6. The size of the underground economy in Japan
    Economics Bulletin, 2010, 30, (1), 893-902 Downloads
    See also Working Paper (2010)

2009

  1. An Empirical Analysis of Chinese Rural Labour Migration Using a Multinomial Logit Model
    Applied Econometrics and International Development, 2009, 9, (1) Downloads
  2. An Empirical Analysis of the Money Demand Function in India
    Economics Bulletin, 2009, 29, (2), 1224-1245 Downloads View citations (1)
    See also Working Paper (2008)
  3. Business Cycle Transmission Between Madagascar, Seychelles,and Their Major Economic Partners
    The IUP Journal of Applied Economics, 2009, VIII, (1), 7-19
  4. Economic returns to schooling in urban China: OLS and the instrumental variables approach
    China Economic Review, 2009, 20, (2), 143-152 Downloads View citations (18)
  5. Empirical analysis of export demand behavior of LDCs: Panel cointegration approach
    Economics Bulletin, 2009, 29, (3), 1990-1999 Downloads
    See also Working Paper (2009)
  6. Empirical analysis of import demand behavior of least developed countries
    Economics Bulletin, 2009, 29, (2), 1443-1458 Downloads View citations (2)
    See also Working Paper (2009)
  7. Globalization, financial depth, and inequality in Sub-Saharan Africa
    Economics Bulletin, 2009, 29, (3), 2025-2037 Downloads View citations (22)
    See also Working Paper (2009)
  8. International term structure of interest rates in the Euro area
    Applied Economics Letters, 2009, 16, (11), 1113-1116 Downloads
  9. On the Sustainability of Budget Deficits in the Euro Area
    Economics Bulletin, 2009, 29, (1), 56-66 Downloads
  10. Price and Wage Setting in Japan: An Empirical Investigation
    Economics Bulletin, 2009, 29, (1), 38-50 Downloads
  11. Saving-Investment Relationship and Capital Mobility: Evidence from Chinese Provincial Data, 1980—2007
    Economics Bulletin, 2009, 29, (3), 1981-1989 Downloads
    See also Working Paper (2009)
  12. Solution to the Dilemma of the Migrant Labor Shortage and the Rural Labor Surplus in China
    China & World Economy, 2009, 17, (4), 53-71 Downloads View citations (2)
  13. The sustainability of trade accounts of the G-7 countries
    Applied Economics Letters, 2009, 16, (17), 1691-1694 Downloads View citations (6)
  14. Volatility transmission between Japan, UK and USA in daily stock returns
    Empirical Economics, 2009, 36, (1), 27-54 Downloads View citations (7)
  15. What Explains Real and Nominal Exchange Rate Fluctuations?: Evidence from SVAR Analysis for India
    Economics Bulletin, 2009, 29, (4), 2803-2815 Downloads View citations (1)
    See also Working Paper (2009)

2008

  1. A new approach to analysing comovement in European equity markets
    Studies in Economics and Finance, 2008, 25, (1), 4-20 Downloads
  2. Demand for money in the Euro area
    Economic Systems, 2008, 32, (3), 274-284 Downloads View citations (7)
  3. Do Chinese employers discriminate against females when hiring employees ?
    Economics Bulletin, 2008, 10, (14), 1-17 Downloads View citations (1)
  4. Empirical Analysis of the Money Demand Function in Sub-Saharan Africa
    Economics Bulletin, 2008, 15, (4), 1-15 Downloads View citations (8)
  5. Information content of commodity futures prices for monetary policy
    Economic Modelling, 2008, 25, (2), 274-283 Downloads View citations (11)
  6. Trade Balances and the Terms of Trade in G-7 Countries: Penal Cointegration Approach
    Applied Econometrics and International Development, 2008, 8, (2), 13-22 Downloads View citations (5)

2007

  1. An Empirical Analysis about Population, Technological Progress, and Economic Growth in Taiwan
    Economics Bulletin, 2007, 15, (23), 1-13 Downloads View citations (1)
  2. Co-movement in the price of risk of aggregate equity markets
    Economic Systems, 2007, 31, (3), 256-271 Downloads View citations (1)
  3. International Capital Flows and the Frankel-Dooley-Mathieson Puzzle
    Economics Bulletin, 2007, 15, (19), 1-12 Downloads
  4. Sources of Real and Nominal Exchange Rate Movements for the Euro
    Economics Bulletin, 2007, 6, (32), 1-10 Downloads View citations (3)
  5. The information role of commodity prices in formulating monetary policy: some evidence from Japan
    Economics Bulletin, 2007, 5, (13), 1-7 Downloads View citations (3)

2006

  1. Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange
    Asia-Pacific Financial Markets, 2006, 13, (1), 1-9 Downloads View citations (1)
  2. Empirical investigation on the relationship between Japanese and Asian emerging equity markets
    Applied Financial Economics Letters, 2006, 2, (2), 77-86 Downloads View citations (2)
  3. Linkages among agricultural commodity futures prices: some further evidence from Tokyo
    Applied Economics Letters, 2006, 13, (8), 535-539 Downloads View citations (4)
  4. On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods
    Statistical Papers, 2006, 47, (1), 109-124 Downloads View citations (2)

2005

  1. An Empirical Analysis of FDI Competitiveness in Sub-Saharan Africa and Developing Countries
    Economics Bulletin, 2005, 6, (20), 1-8 Downloads View citations (2)
  2. Causality in variance and the type of traders in crude oil futures
    Energy Economics, 2005, 27, (3), 527-539 Downloads View citations (8)
  3. Import Demand Function: Some Evidence from Madagascar and Mauritius
    Journal of African Economies, 2005, 14, (3), 411-434 View citations (9)

2004

  1. Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework
    Economics Letters, 2004, 82, (2), 157-165 Downloads View citations (4)
  2. Information Flow between Price Change and Trading Volume in Gold Futures Contracts
    International Journal of Business and Economics, 2004, 3, (1), 45-56 Downloads View citations (4)
  3. The link between inflation and inflation uncertainty: Evidence from G7 countries
    Empirical Economics, 2004, 29, (4), 825-853 Downloads View citations (14)

2003

  1. Alternative characterization of the volatility in the growth rate of real GDP
    Japan and the World Economy, 2003, 15, (2), 223-231 Downloads View citations (14)
  2. Some international evidence on the stability of aggregate import demand function
    Applied Economics, 2003, 35, (13), 1497-1504 Downloads View citations (4)

2002

  1. Some International Evidence on the Seasonality of Stock Prices
    International Journal of Business and Economics, 2002, 1, (1), 79-86 Downloads View citations (1)

2001

  1. An empirical analysis on the stability of Japan's aggregate import demand function
    Japan and the World Economy, 2001, 13, (2), 135-144 Downloads View citations (12)
  2. SEASONAL INTEGRATION FOR DAILY DATA
    Econometric Reviews, 2001, 20, (2), 187-200 Downloads
  3. Seasonal cointegration and the money demand function: some evidence from Japan
    Applied Economics Letters, 2001, 8, (5), 305-310 Downloads View citations (10)
  4. Seasonality and stock returns: some evidence from Japan
    Japan and the World Economy, 2001, 13, (4), 463-481 Downloads View citations (1)

2000

  1. A theory of quality signaling in the marriage market
    Japan and the World Economy, 2000, 12, (3), 229-242 Downloads View citations (3)
  2. An empirical analysis of economic fluctuations in Japan: 1885-1940
    Japan and the World Economy, 2000, 12, (1), 11-19 Downloads View citations (1)
  3. International transmission of stock prices among G7 countries: LA-VAR approach
    Applied Economics Letters, 2000, 7, (9), 613-618 Downloads View citations (11)
  4. Seasonal integration and Japanese aggregate data
    Applied Economics Letters, 2000, 7, (9), 591-594 Downloads View citations (2)
  5. The transmission mechanism of business cycles among Germany, Japan, the UK and the USA
    Applied Economics, 2000, 32, (4), 405-410 Downloads View citations (5)
  6. Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan
    Japan and the World Economy, 2000, 12, (2), 143-152 Downloads View citations (12)

1999

  1. Government consumption and fiscal policy: some evidence from Japan
    Applied Economics Letters, 1999, 6, (9), 551-555 Downloads View citations (7)
  2. Habit formation and durability and consumption: some evidence from income quintile groups in Japan
    Applied Economics Letters, 1999, 6, (6), 397-402 Downloads View citations (1)
  3. Stability of the money demand function in Germany
    Applied Economics Letters, 1999, 6, (5), 329-332 Downloads View citations (5)

1998

  1. A numerical analysis of the monetary aspects of the Japanese economy: the cash-in-advance approach
    Applied Financial Economics, 1998, 8, (1), 51-59 Downloads View citations (2)
  2. Defying the conventional wisdom: US consumers are found to be more risk averse than those of Japan
    Economic Modelling, 1998, 15, (2), 217-235 Downloads View citations (1)
  3. Money, exchange rates and international business cycle between Japan and the United States
    Applied Economics Letters, 1998, 5, (1), 31-35 Downloads View citations (2)

1997

  1. A simple method to test the Fisher effect
    Applied Economics Letters, 1997, 4, (8), 477-479 Downloads
  2. Risk premiums and conditional covariances in tests of asset pricing models: Some evidence from Japan
    Japan and the World Economy, 1997, 9, (3), 413-430 Downloads View citations (2)
  3. Testing for a unit root in the presence of a variance shift1
    Economics Letters, 1997, 57, (3), 245-253 Downloads View citations (44)
  4. The characteristics of the business cycle in Japan
    Applied Economics, 1997, 29, (9), 1105-1113 Downloads View citations (3)

1996

  1. Consumption growth and the intertemporal elasticity of substitution: some evidence from income quintile groups in Japan
    Applied Economics Letters, 1996, 3, (8), 529-532 Downloads View citations (10)

1993

  1. Test of the international equity integration of Japan
    Economics Letters, 1993, 42, (1), 71-76 Downloads View citations (3)

1992

  1. On the structural stability of preference parameters obtained from Japanese financial market data
    Economics Letters, 1992, 40, (4), 459-464 Downloads View citations (2)
  2. Test of C-CAPM for Japan: 1980-1988
    Economics Letters, 1992, 38, (1), 67-72 Downloads View citations (5)

1989

  1. Information Costs, Learning Process and the Effectiveness of Monetary Policy
    Scandinavian Journal of Economics, 1989, 91, (3), 535-46 View citations (1)
 
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