教員情報 - 栗田　高光 | 京都産業大学

クリタ　タカミツ Takamitsu Kurita
栗田　高光

所属

京都産業大学経済学部経済学科

職種教授

著書・論文歴
2025	論文	Getting back on track: Forecasting after extreme observations, International Journal of Forecasting (accepted for publication) (共著)
2025	論文	Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations, Econometric Reviews 44,1589-1616頁 (共著)
2024	論文	Stability between cryptocurrency prices and the term structure, Journal of Economic Dynamics and Control 165 (Article 104890) (共著)
2024	論文	The empirical modelling of house prices and debt revisited: A policy-oriented perspective, Empirical Economics 66,369-404頁 (共著)
2022	論文	Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression, Communications in Statistics - Theory and Methods 51,8349-8370頁 (単著)
2022	論文	The Canadian–US dollar exchange rate over the four decades of the post-Bretton Woods float: An econometric study allowing for structural breaks, Metroeconomica 73 (Article 12384) (共著)
2021	論文	A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts, Journal of Economic Dynamics and Control 128 (Article 104139) (共著)
2020	論文	Normalising cointegrating relationships subject to long-run exclusion, Economics Letters 192 (Article 109161) (単著)
2020	論文	Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data, Journal of Multivariate Analysis 178 (Article 104622) (単著)
2019	論文	A recursive Monte Carlo study of structural-break sensitivity of adjustment coefficients in cointegrated VAR systems, Journal of Quantitative Economics 17,251-270頁 (単著)
2019	論文	Modelling the real yen-dollar rate and inflation dynamics based on international parity conditions, Journal of Asian Economics 61,51-64頁 (共著)
2019	論文	Partial cointegrated vector autoregressive models with structural breaks in deterministic terms, Econometrics - special issue "Celebrated Econometricians: K. Juselius and S. Johansen" 7,1-35頁 (共著)
2019	論文	Separate cointegration in a VAR system subject to structural breaks, Economics Letters 179,19-23頁 (単著)
2018	論文	A note on potential one-way policy instruments in cointegrated VAR systems, Economic Analysis and Policy 58,55-59頁 (単著)
2016	論文	Markov-switching variance models and structural changes underlying Japanese bond yields: An inquiry into non-linear dynamics, Journal of Economic Asymmetries 13,74-80頁 (単著)
2016	論文	Modeling the dynamics of US monetary policy and inflation over the past quarter century, International Journal of Applied Business and Economic Research 14,373-402頁 (共著)
2015	論文	A monetary perspective on inflation dynamics in Norway, International Journal of Economic Research 12,583-606頁 (共著)
2014	論文	A simulation analysis of conditional tests for parameter stability in cointegrated VAR models, Journal of Simulation 8,335-347頁 (単著)
2014	論文	Dynamic characteristics of the daily yen-dollar exchange rate, Research in International Business and Finance 30,72-82頁 (単著)
2013	論文	Exploring the impact of multivariate GARCH innovations on hypothesis testing for cointegrating vectors, Communications in Statistics - Simulation and Computation 42,1785-1800頁 (単著)
2013	論文	Modelling time series data of monetary aggregates using I(2) and I(1) cointegration analysis, Bulletin of Economic Research 65,372-388頁 (単著)
2012	論文	Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models, Econometric Reviews 31,325-360頁 (単著)
2012	論文	Real interest parity, real exchange rate behavior and current account: Exploring Korea-US economic linkages, Journal of Korea Trade 16,1-23頁 (共著)
2012	論文	Shedding light on the underlying long-run price leadership: A study of US gasoline price data, Proceedings of the 10th International FLINS Conference 7,1167-1172頁 (単著)
2011	論文	A parsimonious econometric model of inflation-demand nexus in Japan, Advances and Applications in Statistical Sciences 6,153-173頁 (単著)
2011	論文	An empirical investigation of monetary interaction in the Korean economy, International Review of Economics and Finance 20,267-280頁 (共著)
2011	論文	An empirical model for Japan's business fixed investment, Journal of Economics and Business 63,107-120頁 (単著)
2011	論文	An I(2) cointegration model with piecewise linear trends, Econometrics Journal 14,131-155頁 (共著)
2011	論文	Local power of likelihood-based tests for cointegrating rank: Comparative analysis of full and partial systems, Journal of Time Series Analysis 32,672-679頁 (単著)
2011	論文	Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence, Mathematics and Computers in Simulation 81,1733-1740頁 (単著)
2010	論文	A forecasting model for Japan's unemployment rate, Eurasian Journal of Business and Economics 3,127-134頁 (単著)
2010	論文	Time series analysis of transatlantic market interactions: Evidence from crude oil and gasoline prices, International Journal of Business and Economics 9,157-173頁 (単著)
2010	論文	Investigating time series properties of a dynamic system for Japan's import demand, Economics Bulletin 30,450-460頁 (単著)
2010	論文	Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors, Mathematics and Computers in Simulation 80,2033-2039頁 (単著)
2010	論文	Empirical modeling of Japan's markup and inflation, 1976-2000, Journal of Asian Economics 21,552-563頁 (単著)
2010	論文	Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan, Economic Modelling 27,574-584頁 (単著)
2009	論文	Cointegrated vector autoregressive models with adjusted short-run dynamics, Quantitative and Qualitative Analysis in Social Sciences 3,43-77頁 (共著)
2009	論文	A note on small-sample correction for hypothesis testing on cointegrating vectors: Recursive Monte Carlo analysis, Economics Bulletin 29,1592-1599頁 (単著)
2009	論文	A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes, Economics Bulletin 29,575-587頁 (単著)
2007	論文	A dynamic econometric system for the real yen-dollar rate, Empirical Economics 33,115-149頁 (単著)