Details about Shigeyuki Hamori

Access statistics for papers by Shigeyuki Hamori.

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Short-id: pha320

Working Papers

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)
2. Market efficiency of commodity futures in India
   IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO)

2011

3. 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)

2010

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

2009

8. An Empirical Analysis of the Monetary Policy Reaction Function in India
   IDE Discussion Papers, Institute of Developing Economies, Japan External Trade Organization(JETRO) View citations (1)
9. Empirical Analysis of Export Demand Behavior of LDCs: Panel Cointegration Approach
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in Economics Bulletin (2009)
10. Empirical Analysis of Import Demand Behavior of Least Developed Countries
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article in Economics Bulletin (2009)
11. Energy prices and China’s international competitiveness
    MPRA Paper, University Library of Munich, Germany
12. Formal Employment, Informal Employment and Income Differentials in Urban China
    MPRA Paper, University Library of Munich, Germany
13. Globalization, Financial Depth, and Inequality in Sub-Saharan Africa
    Discussion Papers, Graduate School of Economics, Kobe University View citations (11)
    See also Journal Article in Economics Bulletin (2009)
14. Microfinance and Inequality
    MPRA Paper, University Library of Munich, Germany View citations (2)
15. Saving-Investment Relationship and Capital Mobility:Evidence from Chinese Provincial Data, 1980—2007
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article in Economics Bulletin (2009)
16. 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)
    See also Journal Article in Economics Bulletin (2009)

2008

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

Journal Articles

2013

1. An asymmetric DCC analysis of correlations among bank CDS indices
   Applied Financial Economics, 2013, 23, (6), 475-481
2. Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore
   Journal of Asian Economics, 2013, 24, (C), 117-123
3. Dynamic linkages among cross-currency swap markets under stress
   Applied Economics Letters, 2013, 20, (4), 404-409
4. 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
5. 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 View citations (1)

2012

6. 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 View citations (1)
7. 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
8. Exploring the dynamic interdependence between gold and other financial markets
   Economics Bulletin, 2012, 32, (1), 37-50
9. How has financial deepening affected poverty reduction in India? Empirical analysis using state-level panel data
   Applied Financial Economics, 2012, 22, (5), 395-408 View citations (1)
10. Informational roles of commodity prices for monetary policy: evidence from the Euro area
    Economics Bulletin, 2012, 32, (2), 1282-1290
11. Panel cointegration analysis of co-movement between interest rate swap and treasury markets
    Applied Economics Letters, 2012, 19, (15), 1483-1486
12. Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity
    Economics Bulletin, 2012, 32, (3), 2353-2365
    See also Working Paper (2010)
13. The sustainability of trade balances in sub-Saharan Africa: panel cointegration tests with cross-section dependence
    Applied Economics Letters, 2012, 19, (2), 161-165 View citations (1)
    See also Working Paper (2010)
14. 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

2011

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

2010

22. Bivariate probit analysis of differences between male and female formal employment in urban China
    Journal of Asian Economics, 2010, 21, (5), 494-501
23. 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 View citations (7)
24. Dynamic linkages of stock prices among G7 countries: effects of the American financial crisis
    Economics Bulletin, 2010, 30, (4), 2656-2667
25. The Interdependence of Taiwanese and Japanese Stock Prices
    Economics Bulletin, 2010, 30, (1), 879-892
    See also Working Paper (2010)
26. The efficiency of the Chinese stock market and the role of market liberalization
    Economics Bulletin, 2010, 30, (3), 2524-2532
27. The size of the underground economy in Japan
    Economics Bulletin, 2010, 30, (1), 893-902
    See also Working Paper (2010)

2009

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

2008

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

2007

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

2006

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

2005

58. An Empirical Analysis of FDI Competitiveness in Sub-Saharan Africa and Developing Countries
    Economics Bulletin, 2005, 6, (20), 1-8
59. Causality in variance and the type of traders in crude oil futures
    Energy Economics, 2005, 27, (3), 527-539 View citations (5)
60. Import Demand Function: Some Evidence from Madagascar and Mauritius
    Journal of African Economies, 2005, 14, (3), 411-434 View citations (7)

2004

61. 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 View citations (4)
62. Information Flow between Price Change and Trading Volume in Gold Futures Contracts
    International Journal of Business and Economics, 2004, 3, (1), 45-56 View citations (3)
63. The link between inflation and inflation uncertainty: Evidence from G7 countries
    Empirical Economics, 2004, 29, (4), 825-853 View citations (10)

2003

64. Alternative characterization of the volatility in the growth rate of real GDP
    Japan and the World Economy, 2003, 15, (2), 223-231 View citations (7)
65. Some international evidence on the stability of aggregate import demand function
    Applied Economics, 2003, 35, (13), 1497-1504 View citations (4)

2002

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

2001

67. An empirical analysis on the stability of Japan's aggregate import demand function
    Japan and the World Economy, 2001, 13, (2), 135-144 View citations (11)
68. SEASONAL INTEGRATION FOR DAILY DATA
    Econometric Reviews, 2001, 20, (2), 187-200
69. Seasonal cointegration and the money demand function: some evidence from Japan
    Applied Economics Letters, 2001, 8, (5), 305-310 View citations (5)
70. Seasonality and stock returns: some evidence from Japan
    Japan and the World Economy, 2001, 13, (4), 463-481 View citations (1)

2000

71. A theory of quality signaling in the marriage market
    Japan and the World Economy, 2000, 12, (3), 229-242 View citations (3)
72. An empirical analysis of economic fluctuations in Japan: 1885-1940
    Japan and the World Economy, 2000, 12, (1), 11-19
73. International transmission of stock prices among G7 countries: LA-VAR approach
    Applied Economics Letters, 2000, 7, (9), 613-618 View citations (10)
74. Seasonal integration and Japanese aggregate data
    Applied Economics Letters, 2000, 7, (9), 591-594 View citations (2)
75. The transmission mechanism of business cycles among Germany, Japan, the UK and the USA
    Applied Economics, 2000, 32, (4), 405-410 View citations (5)
76. 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 View citations (7)

1999

77. Government consumption and fiscal policy: some evidence from Japan
    Applied Economics Letters, 1999, 6, (9), 551-555 View citations (4)
78. Habit formation and durability and consumption: some evidence from income quintile groups in Japan
    Applied Economics Letters, 1999, 6, (6), 397-402 View citations (1)
79. Stability of the money demand function in Germany
    Applied Economics Letters, 1999, 6, (5), 329-332 View citations (5)

1998

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

1997

83. A simple method to test the Fisher effect
    Applied Economics Letters, 1997, 4, (8), 477-479
84. 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 View citations (2)
85. Testing for a unit root in the presence of a variance shift1
    Economics Letters, 1997, 57, (3), 245-253 View citations (36)
86. The characteristics of the business cycle in Japan
    Applied Economics, 1997, 29, (9), 1105-1113 View citations (3)

1996

87. Consumption growth and the intertemporal elasticity of substitution: some evidence from income quintile groups in Japan
    Applied Economics Letters, 1996, 3, (8), 529-532 View citations (6)

1993

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

1992

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

1989

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