Updated on 2024/02/03

写真b

 
YAMAMOTO Shugo
 
*Items subject to periodic update by Rikkyo University (The rest are reprinted from information registered on researchmap.)
Affiliation*
College of Economics Department of Accounting and Finance
Graduate School of Economics Master's Program in Economics
Title*
Associate Professor
Degree
博士(経済学) ( 神戸大学 )
Research Theme*
  • 国際資本移動、外国為替相場、マクロ変数の相互の関係について実証分析を基に研究している。特に、アジア通貨危機、世界金融危機、欧州金融財政危機などのように、国際金融市場では多くの危機が頻発しているが、頑健な国際金融システムの構築に貢献できるような研究成果を目指している。

  • Research Interests
  • 国際マクロ経済学

  • 国際金融論

  • Campus Career*
    • 4 2021 - Present 
      College of Economics   Department of Accounting and Finance   Associate Professor
    • 4 2021 - Present 
      Graduate School of Economics   Master's Program in Economics   Associate Professor
     

    Research Areas

    • Humanities & Social Sciences / Money and finance

    Awards

    • 2 2018  
      大阪銀行協会  平成29年度大銀協フォーラム研究支援 特別賞 
       
      山本周吾

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    • 2 2011  
      大阪銀行協会  平成23年度大銀協フォーラム研究支援 優秀賞 
       
      山本周吾

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    Papers

    • Banking Network Multiplier effects on cross-border bank inflows Peer-reviewed

      Shugo Yamamoto

      INTERNATIONAL REVIEW OF ECONOMIC & FINANCE70   493 - 507   11 2020

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      Publishing type:Research paper (scientific journal)   Publisher:Elsevier BV  

      DOI: 10.1016/j.iref.2020.06.003

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    • Transmission of US financial and trade shocks to Asian economies: Implications for spillover of the 2007-2009 US financial crisis Peer-reviewed

      Shugo Yamamoto

      NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE27   88 - 103   1 2014

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      Language:English   Publishing type:Research paper (scientific journal)   Publisher:ELSEVIER SCIENCE INC  

      This paper describes an investigation of the transmission of US shocks to Asian economies with consideration of financial linkages and trade linkages. Using the sign restriction vector autoregression (VAR) approach during 2000-2012, our empirical results can be summarized as follows. First, both US financial and trade linkages exert a significant impact on production in Asian economies. Second, through both financial and trade linkages, US spillover shocks account for around 50% of the production fluctuation in Asian economies. Third, during the episodes of 2007-2009 US financial crisis, the impact of financial shocks is greater than that of trade shocks. Results suggest that (i) Asian economies are not decoupled with US; and (ii) different from conventional findings, financial linkages between US and Asian economies are strong, especially for highly developed Asian economies. Therefore, investors and policymakers of Asian economies should take account of US financial conditions. (C) 2013 Elsevier Inc. All rights reserved.

      DOI: 10.1016/j.najef.2013.12.002

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    • Structural Change in the External Balances Response to Macroeconomic Policies: Perspective from a Two-Sector New Open Economy Macroeconomic Model Peer-reviewed

      Shugo Yamamoto

      REVIEW OF INTERNATIONAL ECONOMICS21 ( 5 ) 1021 - 1031   11 2013

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      Language:English   Publishing type:Research paper (scientific journal)   Publisher:WILEY-BLACKWELL  

      The response of the Japanese trade balance against expansionary macroeconomic policy shocks changed from positive to negative in the 1990s. With consideration of intratemporal (between tradable and nontradable goods) and intertemporal elasticity of substitutions, we investigate this cause using two-sector new open economy macroeconomics (NOEM). Empirical methods, considering structural change, were applied and show that before the break, intratemporal elasticity of substitution dominates, but subsequently the relation inverted and intertemporal elasticity became predominant and hence, the theoretical response of trade balance changed. Finally, we verify this theoretical implication empirically by impulse response analysis of structural vector auto regression.

      DOI: 10.1111/roie.12087

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    • Sudden stop and trade balance reversal after Asian crisis: Investment drought impact versus exchange rate depreciation Peer-reviewed

      Shugo Yamamoto

      JOURNAL OF POLICY MODELING35 ( 5 ) 750 - 765   9 2013

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      Language:English   Publishing type:Research paper (scientific journal)   Publisher:ELSEVIER SCIENCE INC  

      After the Asian crisis in 1997, the respective trade balances of Indonesia, Korea, Malaysia, and Thailand reversed suddenly from deficit to surplus. By particularly addressing the sudden cessation of investment caused by the financial crisis, it is demonstrated that the IS balance adjustment dominates real exchange rate depreciation, indicating that to reform the large external imbalance of Asian countries, which is a major component of global imbalance, policymakers should target domestic absorption. Furthermore, it can be demonstrated that the large trade balance surplus of Asian countries will decrease along with recovery. Finally, policy implications related to the recent Euro crisis are provided. (C) 2013 Society for Policy Modeling. Published by Elsevier Inc. All rights reserved.

      DOI: 10.1016/j.jpolmod.2013.04.002

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    • 日本におけるバラッサ・サミュエルソン効果の構造変化 Peer-reviewed

      山本周吾

      金融経済研究 ( 35 ) 1 - 15   4 2013

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      Language:Japanese   Publishing type:Research paper (scientific journal)  

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    Misc.

    Books and Other Publications

    • グローバル・マネーフローの実証分析

      山本周吾( Role: Contributor ,  ユーロ圏の隠れた救済メカニズム(第4章))

      ミネルヴァ書房  4 2014 

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    Presentations

    • IFABS 2019 Angers Conference International conference

      山本周吾

      30 6 2019 

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      Language:English   Presentation type:Oral presentation (general)  

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    • 第92回 Western Economic Association International International conference

      山本周吾

      30 6 2017 

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      Language:English   Presentation type:Oral presentation (general)  

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    Professional Memberships

    Research Projects

    • 邦銀のドル調達問題に着眼したグローバル流動性の不安定性の解明

      日本学術振興会  科学研究費助成事業 基盤研究(C) 

      山本 周吾

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      4 2021 - 3 2025

      Grant number:21K01580

      Authorship:Principal investigator 

      Grant amount:\4030000 ( Direct Cost: \3100000 、 Indirect Cost:\930000 )

      2021年度は文献の整理と収集を主におこなった。また、2022年度から実際にデータベースを基に実証分析を開始するが、必要なデータベースに関する調査もおこなった。具体的には、CRANE DATA を使用する予定である。このデータベースにはMMFに関する詳細なデータが含まれている。この研究のテーマである「邦銀のドル調達問題」を考える上でMMFは重要な要である。
      通常、邦銀はドルを調達する際に、ドル建ての預金で調達ができなかったギャップをドルの短期金融市場で調達する。そして、MMFはドルの短期金融市場において、重要な資金提供者となっている。しかし、2007-8年の世界金融危機以降の国際金融規制によって、邦銀はMMFからのドルの調達が困難になった。そのために、邦銀は為替スワップ市場に過度に依存するようになって、カバー金利平価が成立しなくなったのである。
      多くの先行研究は世界金融危機以降の国際金融規制の影響や、ドルの調達問題を実証分析するために上記のデータベースを使用しており、本研究もそれに倣い、このCRANE DATAを使用する予定である。

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    • 新型コロナ危機の緊急経済対策による「生活娯楽関連サービス」への影響に関する調査

      全国銀行学術研究振興財団 

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      2 2022 - 2 2024

      Authorship:Principal investigator 

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    • The Empirical Analysis of Cross Border Bank Flows from Network Perspective

      Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) 

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      4 2018 - 3 2022

      Grant number:18K01689

      Authorship:Principal investigator 

      Grant amount:\4290000 ( Direct Cost: \3300000 、 Indirect Cost:\990000 )

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    • Global imbalance, global liquidity and stabilization of international financial system

      Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research Grant-in-Aid for Young Scientists (B) 

      Yamamoto Shugo

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      4 2014 - 3 2018

      Grant number:26780186

      Authorship:Principal investigator 

      Grant amount:\2730000 ( Direct Cost: \2100000 、 Indirect Cost:\630000 )

      Correlation of cross-border bank inflows across countries has increased remarkably since the mid-1990s. By applying a spatial econometric model, whether an intrinsic shock has Global push or Local pull factors, we demonstrate that once cross-border bank inflows of a certain country increase, self-propagation effects amplify the cross-border bank inflows of other countries to a considerable degree. We defined this effect as the Banking Network Multiplier (BNM) effect. Results show that most of the BNM distribution is concentrated in a few countries such as the United Kingdom and the United States. A strong core–periphery structure was confirmed. Therefore, a large share of cross-border bank inflows is not determined by the economic fundamentals of the receiving country. To smooth the rapid boom and bust wave trends of cross-border bank inflows, we demonstrate that financial restrictions on core countries are effective.

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    • グローバルインバランスは政策的に制御可能か

      科学研究費補助金(基盤B) 

      藤田誠一

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      4 2012 - 3 2014

      Grant type:Competitive

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