Wada, Tatsuma



Faculty of Policy Management (Shonan Fujisawa)



E-mail Address

E-mail address

Message from the Faculty Member 【 Display / hide

  • 国際マクロ経済学および計量経済学をおもに研究しています。 

Career 【 Display / hide

  • 2000.04

    Keio Futsubu School, Part-time Leturer

  • 2006.08

    Wayne State University, Department of Economics, Assistant Professor

  • 2009.09

    Federal Reserve Bank of Dallas, Visitor

  • 2010.01

    University of California, Davis, Department of Economics, Visiting Assistant Professor

  • 2013.08

    Wayne State University, Department of Economics, Associate Professor and Director of Undergraduate Studies

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Academic Background 【 Display / hide

  • 1999.03

    Keio University, Faculty of Economics

    University, Graduated

  • 1999.04

    Keio University, Graduate School of Economics

    Graduate School, Completed, Master's course

  • 2001.08

    Boston University, Department of Economics, Graduate School of Arts and Sciences

    Graduate School, Completed, Doctoral course

Academic Degrees 【 Display / hide

  • Ph.D. in Economics, Boston University, 2006.05

Licenses and Qualifications 【 Display / hide

  • 教育職員免許状一種(中学校社会科・高等学校地理歴史科・高等学校公民科), 1999.03

  • 教育職員免許状専修(中学校社会科・高等学校公民科), 2001.03


Research Areas 【 Display / hide

  • Economic theory

  • Economic statistics

  • Economic policy


Papers 【 Display / hide

  • Time-varying comovement of foreign exchange markets: A gls-based time-varying model approach

    Ito M., Noda A., Wada T.

    Mathematics (Mathematics)  9 ( 8 )  2021.04

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    How strongly are foreign exchange markets linked in terms of their similarities in long-run fluctuations? Are they cointegrating? To analyze such “comovements,” we present a time-varying cointegration model for the foreign exchange rates of the currencies of Canada, Japan, and the UK vis-à-vis the U.S. dollar from May 1990 through July 2015. Unlike previous studies, we allow the loading matrix in the vector error-correction (VEC) model to be varying over time. Because the loading matrix in the VEC model is associated with the speed at which deviations from the long-run relationship disappear, we propose a new degree of market comovement based on the time-varying loading matrix to measure the strength or robustness of the long-run relationship over time. Since exchange rates are determined by macrovariables, cointegration among exchange rates implies these variables share common stochastic trends. Therefore, the proposed degree measures the degree of market comovement. Our main finding is that the market comovement has become stronger over the past quarter-century, but at a decreasing rate with two major turning points: one in 1995 and the other one in 2008.

  • The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach

    WADA TATSUMAIto, Mikio ; Noda, Akihiko

    APPLIED ECONOMICS 48 ( 7 ) 621 - 635 2016.02

    Research paper (scientific journal), Joint Work

  • Measuring business cycles with structural breaks and outliers

    Perron Pierre, Wada Tatsuma

    Research in Economics  2015.11

    Research paper (scientific journal), Joint Work,  ISSN  1090-9443

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    <p>This paper first generalizes the trend-cycle decomposition framework of Perron and Wada (2009) based on unobserved components models with innovations having a mixture of normals distribution, which is able to handle sudden level and slope changes to the trend function as well as outliers. We investigate how important are the differences in the implied trend and cycle compared to the popular decomposition based on the Hodrick and Prescott (HP) (1997) filter. Our results show important qualitative and quantitative differences in the implied cycles for both real GDP and consumption series for the G7 countries. Most of the differences can be ascribed to the fact that the HP filter does not handle well slope changes, level shifts and outliers, while our method does so. Then, we reassess how such different cycles affect some so-called "stylized facts" about the relative variability of consumption and output across countries.</p>

  • The evolution of stock market efficiency in the US

    Ito Mikio, Noda Akihiko, Wada Tatsuma

    Applied Economics  2015.09

    Research paper (scientific journal), Joint Work,  ISSN  0003-6846

     View Summary

    <p>A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading environment over time. With new methodologies and a new measure of the degree of market efficiency, we examine whether the US stock market evolves over time. In particular, a time-varying autoregressive (TV-AR) model is employed. Our main findings are: (i) the US stock market has evolved over time and the degree of market efficiency has cyclical fluctuations with a considerably long periodicity, from 30 to 40 years; and (ii) the US stock market has been efficient with the exception of four times in our sample period: during the long recession of 1873–1879; the recession of 1902–1904; the New Deal era; and the recession of 1957–1958 and soon after it. It is then shown that our results are partly consistent with the view of behavioural finance.</p>

  • Asymmetries in the response of economic activity to oil price increases and decreases?

    Herrera Ana María, Lagalo Latika Gupta, Wada Tatsuma

    Journal of International Money and Finance 50   108 - 133 2015.02

    Research paper (scientific journal), Joint Work,  ISSN  0261-5606

     View Summary

    <p>It has been common to assume that the relationship between economic activity and oil prices is asymmetric. Theoretical underpinnings for this asymmetry include costly sectoral reallocation, partial equilibrium models of irreversible investment, and some version of precautionary savings. Yet, recent studies that use new methodologies to test for asymmetries in U.S. data have cast some doubts on that premise. In this paper, we use state-of-the-art techniques to evaluate the presence of asymmetries for a set of OECD countries containing both oil exporters and oil importers. We find very little support for the hypothesis that the response of industrial production to oil price increases and decreases is asymmetric. Our results have important implications for theoretical models of the transmission of oil price shocks: they point towards the importance of direct-supply and direct-demand transmission channels, as well as indirect transmission channels that imply a symmetric response.</p>

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Papers, etc., Registered in KOARA 【 Display / hide

Presentations 【 Display / hide

  • An Alternative Estimation Method for Time-Varying Parameter Models (with Mikio Ito and Akihiko Noda)


    Western Economic Association Meeting, 2017.06, Oral Presentation(general)

  • An Alternative Estimation Method for Time-Varying Parameter Models (with Mikio Ito and Akihiko Noda)


    International Conference on Econometrics and Statistics, 2017.06, Oral Presentation(general)

  • Time-Varying Comovement of Foreign Exchange Market (with Mikio Ito and Akihiko Noda)


    Midwest Econometrics Study Group Meeting, 2016.10, Oral Presentation(general)

  • Asymmetries in the Response of Economic Activity to Oil Price Increases and Decreases? (with Ana Maria Herrera and Latika Gupta Lagalo)


    Bank of Canada, 2016.02, Public discourse, seminar, tutorial, course, lecture and others

  • Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data (with Pierre Perron)


    Hitotsubashi University, 2016.01, Public discourse, seminar, tutorial, course, lecture and others

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Research Projects of Competitive Funds, etc. 【 Display / hide

  • The Effectiveness of Filtering, Frequency Domain Analysis, and LASSO on Forecasting Future Exchange Rates


    MEXT,JSPS, Grant-in-Aid for Scientific Research, 和田 龍磨, Grant-in-Aid for Scientific Research (C), Principal Investigator

  • バンドスペクトラル回帰分析を用いた為替レートと実体経済変数の関係に関する研究


    基盤研究(C), Grant-in-Aid for Scientific Research, Tatsuma Wada, No Setting

  • 経常収支と輸出入産業からみる原油価格の変化と日本経済


    研究活動スタート支援, Grant-in-Aid for Scientific Research, 和田龍磨, Research grant, Principal Investigator


Courses Taught 【 Display / hide











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Courses Previously Taught 【 Display / hide

  • 公民科

    慶應義塾普通部, 2018

  • Intermediate Macroeconomics (Undergraduate Honors, 2 sections)

    University of Western Ontario, 2018

  • Econometrics

    University of California, Davis, 2018

  • Intermediate Macroeconomics

    University of California, Davis, 2018

  • Elementary Mathematical Economics

    Boston University, 2018

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Memberships in Academic Societies 【 Display / hide

  • Japanese Economic Association

  • Japan Economic Policy Association

  • American Economic Association

  • Econometric Society

  • Canadian Economic Association


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