和田 龍磨 (ワダ タツマ)

Wada, Tatsuma



総合政策学部 (湘南藤沢)





教員からのメッセージ 【 表示 / 非表示

  • 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。 

経歴 【 表示 / 非表示

  • 2000年04月

    慶應義塾普通部, 非常勤講師

  • 2006年08月

    ウェイン州立大学, 経済学部, 助教授

  • 2009年09月

    ダラス連邦準備銀行, 客員研究員

  • 2010年01月

    カリフォルニア大学デービス校, 経済学部, 客員准教授

  • 2013年08月

    ウェイン州立大学, 経済学部, 准教授・学部課程教育責任者

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学歴 【 表示 / 非表示

  • 1999年03月

    慶應義塾, 経済学部

    大学, 卒業

  • 1999年04月

    慶應義塾, 経済学研究科

    大学院, 修了, 修士

  • 2001年08月

    ボストン大学, 大学院 経済学研究科

    大学院, 修了, 博士

学位 【 表示 / 非表示

  • Ph.D. in Economics (Boston University, 2006), Boston University, 2006年05月

免許・資格 【 表示 / 非表示

  • 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年03月

  • 教育職員免許状専修(中学校社会科・高等学校公民科), 2001年03月


研究分野 【 表示 / 非表示

  • 理論経済学

  • 経済統計

  • 経済政策


論文 【 表示 / 非表示

  • 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年04月


    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

    和田 龍磨 Ito, Mikio ; Noda, Akihiko

    APPLIED ECONOMICS 48 ( 7 ) 621 - 635 2016年02月

    研究論文(学術雑誌), 共著

  • Measuring business cycles with structural breaks and outliers

    Perron Pierre, Wada Tatsuma

    Research in Economics 2015年11月

    研究論文(学術雑誌), 共著,  ISSN  1090-9443


    <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年09月

    研究論文(学術雑誌), 共著,  ISSN  0003-6846


    <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年02月

    研究論文(学術雑誌), 共著,  ISSN  0261-5606


    <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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KOARA(リポジトリ)収録論文等 【 表示 / 非表示

研究発表 【 表示 / 非表示

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

    和田 龍磨

    Western Economic Association Meeting, 2017年06月, 口頭(一般)

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

    和田 龍磨

    International Conference on Econometrics and Statistics, 2017年06月, 口頭(一般)

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

    和田 龍磨

    Midwest Econometrics Study Group Meeting, 2016年10月, 口頭(一般)

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

    和田 龍磨

    Bank of Canada, 2016年02月, 公開講演,セミナー,チュートリアル,講習,講義等

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

    和田 龍磨

    一橋大学, 2016年01月, 公開講演,セミナー,チュートリアル,講習,講義等

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競争的資金等の研究課題 【 表示 / 非表示

  • 為替レートの予測におけるフィルタリング、周波数領域、およびLASSOの有効性


    文部科学省・日本学術振興会, 科学研究費助成事業, 和田 龍磨, 基盤研究(C), 補助金,  代表

  • 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), 科学研究費補助金(文部科学省・日本学術振興会), 和田龍磨

  • 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, 科学研究費補助金(文部科学省・日本学術振興会), 和田龍磨, 補助金,  代表


担当授業科目 【 表示 / 非表示

  • 国際経済学概論


  • 研究会B


  • 研究会d


  • 研究会c


  • 研究会b


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担当経験のある授業科目 【 表示 / 非表示

  • 公民科

    慶應義塾普通部, 2018年度

  • Intermediate Macroeconomics (Undergraduate Honors, 2 sections)

    University of Western Ontario, 2018年度

  • Econometrics

    University of California, Davis, 2018年度

  • Intermediate Macroeconomics

    University of California, Davis, 2018年度

  • Elementary Mathematical Economics

    Boston University, 2018年度

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所属学協会 【 表示 / 非表示

  • 日本経済学会

  • 日本経済政策学会

  • American Economic Association

  • Econometric Society

  • Canadian Economic Association


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