WADA Tatsuma 和田龍磨

Researcher Number	20756580
Other IDs	https://orcid.org/0000-0002-3699-4954
Affiliation (Current)	2024: 慶應義塾大学, 総合政策学部(藤沢), 教授
Affiliation (based on the past Project Information) *help	2018 – 2023: 慶應義塾大学, 総合政策学部(藤沢), 教授 2016 – 2017: 慶應義塾大学, 総合政策学部(藤沢), 准教授 2015: 慶應義塾大学, 総合政策学部, 准教授
Review Section/Research Field	Principal Investigator Economic policy / Basic Section 07040:Economic policy-related / Basic Section 07060:Money and finance-related Except Principal Investigator Money/ Finance
Keywords	Principal Investigator 為替レート / LASSO / 為替レート予測 / 周波数領域 / バンドスぺクトラル回帰 / 経常収支 / VAR / 状態空間モデル / 長期トレンド / フィルタリング … More / 時変係数モデル / 効率的な推定方法 / 確定トレンドの除去 / 仮説検定 / 国際マクロ経済 / ベイズ法に基づくモデル平均 / バンドスペクトラル回帰 / 予測精度の検証 / 予測精度 / 衝撃応答関数 / 非線形多変量モデル / 経済政策 / 非線形モデル / VARモデル / 鉱工業生産指数 / 原油価格 … More Except Principal Investigator 経済統計学 / 金融論 / ブートストラップ法 / 時変計量経済モデル / ベクトル誤差修正モデル / 先物プレミアムパズル / LASSO / 構造変化 / 仮想資産 / スパース回帰 / 市場調整速度 / バンドスペクトラル回帰 / スパース回帰モデル / 構造変化推定 / 為替レート予測 / 外国為替市場 Less

The analysis of the current account balance and exchange rates: A long-run perspectivePrincipal Investigator
- Principal Investigator
  
  和田龍磨
- Project Period (FY)
  2023 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07040:Economic policy-related
- Research Institution
  Keio University
The Effectiveness of Filtering, Frequency Domain Analysis, and LASSO on Forecasting Future Exchange RatesPrincipal Investigator
- Principal Investigator
  
  和田龍磨
- Project Period (FY)
  2020 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Keio University
A Study on the Relationship between Foreign Exchange Rates and Macroeconomy with Band Spectral RegressionPrincipal Investigator
- Principal Investigator
  
  WADA Tatsuma
- Project Period (FY)
  2017 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic policy
- Research Institution
  Keio University
Forecasting Exchange Rates using Time-Varying Econometric Models
- Principal Investigator
  
  Ito Mikio
- Project Period (FY)
  2017 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Keio University
Oil Prices and the Japanese Economy: From the Perspective of the Current Account and Export-Import IndustriesPrincipal Investigator
- Principal Investigator
  
  WADA Tatsuma
- Project Period (FY)
  2015 – 2016
- Research Category
  
  Grant-in-Aid for Research Activity Start-up
- Research Field
  
  Economic policy
- Research Institution
  Keio University

All 2022 2021 2020 2019 2018 2017 2016

All Journal Article Presentation

[Journal Article] An Alternative Estimation Method for Time-Varying Parameter Models2022
- Author(s)
  Mikio Ito, Akihiko Noda, and Tatsuma Wada
- Journal Title
  
  Econometrics
  
  Volume: 10(2) Issue: 2 Pages: 23-23
- DOI
  10.3390/econometrics10020023
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K13747, KAKENHI-PROJECT-20K01775
[Journal Article] Out-of-sample forecasting of foreign exchange rates: The band spectral regression and LASSO2022
- Author(s)
  Tatsuma Wada
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 128 Pages: 1-24
- DOI
  10.1016/j.jimonfin.2022.102719
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20K01775
[Journal Article] Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach2021
- Author(s)
  Mikio Ito, Akihiko Noda, Tatsuma Wada
- Journal Title
  
  Mathematics
  
  Volume: 9 Issue: 8 Pages: 1-13
- DOI
  10.3390/math9080849
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20K01775, KAKENHI-PROJECT-17K03709, KAKENHI-PROJECT-17K03809, KAKENHI-PROJECT-19K13747
[Journal Article] An Alternative Estimation Method of A Time-Varying Parameter Model2017
- Author(s)
  Mikio Ito, Akihiko Noda, and Tatsuma Wada
- Journal Title
  
  Statistical Methodology Papers, [arXiv:1707.06837]
  
  Volume: なし
- Data Source
  KAKENHI-PROJECT-17K03809
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2022
- Author(s)
  Tatsuma Wada
- Organizer
  97th Annual Conference of the Western Economic Association International
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K01775
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2022
- Author(s)
  Tatsuma Wada
- Organizer
  56th Annual Canadian Economics Association Meetings
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K01775
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2022
- Author(s)
  Tatsuma Wada
- Organizer
  Canadian Economic Association Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K01775
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2022
- Author(s)
  Tatsuma Wada
- Organizer
  Western Economic Association International Annual Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K01775
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2020
- Author(s)
  Tatsuma Wada
- Organizer
  28th Symposium of the Society for Nonlinear Dynamics and Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2020
- Author(s)
  Tatsuma Wada
- Organizer
  28th Symposium of the Society for Nonlinear Dynamics and Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K01775
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2020
- Author(s)
  Tatsuma Wada
- Organizer
  The Econometric Society/Bocconi University World Congress 2020
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K01775
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2020
- Author(s)
  Tatsuma Wada
- Organizer
  The Econometric Society/Bocconi University World Congress 2020
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2019
- Author(s)
  Tatsuma Wada
- Organizer
  Canadian Econometrics Study Group
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] Out-of-Sample Forecasing of Foreign Exchange Rates: The Band Spectral Regression and LASSO2019
- Author(s)
  Tatsuma Wada
- Organizer
  The 27th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] Out-of-Sample Forecasing of Foreign Exchange Rates: The Band Spectral Regression and LASSO2019
- Author(s)
  Tatsuma Wada
- Organizer
  Western Economic Association International 94th Annual Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03809
[Presentation] Out-of-Sample Forecasing of Foreign Exchange Rates: The Band Spectral Regression and LASSO2019
- Author(s)
  Tatsuma Wada
- Organizer
  Canadian Econometric Study Group Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03809
[Presentation] Out-of-Sample Forecasing of Foreign Exchange Rates: The Band Spectral Regression and LASSO2019
- Author(s)
  Tatsuma Wada
- Organizer
  Boston University 2019 Pi-day Econometrics Conference in Honor of Pierre Perron
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2019
- Author(s)
  Tatsuma Wada
- Organizer
  Western Economic Association International Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] An Alternative Estimation Method for Time-Varying Parameter Models2018
- Author(s)
  Tatsuma Wada
- Organizer
  2nd International Conference on Econometrics and Statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] Out-of-Sample Forecasing of Foreign Exchange Rates: The Band Spectral Regression and LASSO2018
- Author(s)
  Tatsuma Wada
- Organizer
  慶應義塾大学経済学部計量経済学ワークショップ
- Invited
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] The Band Spectral Regression and Exchange Rate Puzzles2018
- Author(s)
  Tatsuma Wada
- Organizer
  93rd Annual Conference of the Western Economic Association International
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] An Alternative Estimation Method for Time-Varying Parameter Models2018
- Author(s)
  Tatsuma Wada
- Organizer
  2nd International Conference on Econometrics and Statistics (国際学会) (Hongkong, China)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03809
[Presentation] An Alternative Estimation Method for Time-Varying Parameter Models2018
- Author(s)
  Tatsuma Wada
- Organizer
  Wayne State University Department of Mathematics
- Invited
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] An Alternative Estimation Method for Time-Varying Parameter Models2017
- Author(s)
  Tatsuma Wada
- Organizer
  Macro Reading Group Workshop
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03709
[Presentation] An Alternative Estimation Method of A Time-Varying Parameter Model2017
- Author(s)
  Mikio Ito, Akihiko Noda, and Tatsuma Wada
- Organizer
  The 1st International Conference on Econometrics and Statistics at The Hong Kong University of Science and Technology (Hong Kong, China)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03809
[Presentation] Time-Varying Comovement of Foreign Exchange Markets2017
- Author(s)
  Mikio Ito, Akihiko Noda, and Tatsuma Wada
- Organizer
  Western Economic Association International 92nd Annual Conference (San Diego, U.S.)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03809
[Presentation] An Alternative Estimation Method of A Time-Varying Parameter Model2017
- Author(s)
  Mikio Ito, Akihiko Noda, and Tatsuma Wada
- Organizer
  Western Economic Association International 92nd Annual Conference (San Diego, U.S.)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03809
[Presentation] Time-Varying Comovement of Foreign Exchange Market2016
- Author(s)
  和田龍磨
- Organizer
  Midwest Econometrics Group
- Place of Presentation
  アメリカ・イリノイ州・シャンペーン
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15H06585

1. Ito Mikio (70184695)

# of Collaborated Projects: 1 results

# of Collaborated Products: 4 results
2. 野田顕彦 (80610112)

# of Collaborated Projects: 1 results

# of Collaborated Products: 5 results

WADA Tatsuma 和田 龍磨

Research Projects

Research Products

Co-Researchers

The analysis of the current account balance and exchange rates: A long-run perspectivePrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

The Effectiveness of Filtering, Frequency Domain Analysis, and LASSO on Forecasting Future Exchange RatesPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

A Study on the Relationship between Foreign Exchange Rates and Macroeconomy with Band Spectral RegressionPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Forecasting Exchange Rates using Time-Varying Econometric Models

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Oil Prices and the Japanese Economy: From the Perspective of the Current Account and Export-Import IndustriesPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] An Alternative Estimation Method for Time-Varying Parameter Models2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Out-of-sample forecasting of foreign exchange rates: The band spectral regression and LASSO2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach2021

Author(s)

Journal Title

DOI

Data Source

[Journal Article] An Alternative Estimation Method of A Time-Varying Parameter Model2017

Author(s)

Journal Title

Data Source

[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2022

Author(s)

Organizer

Data Source

[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2022

Author(s)

Organizer

Data Source

[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2022

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Organizer

Data Source

[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2022

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Organizer

Data Source

[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2020

Author(s)

Organizer

Data Source

[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2020

Author(s)

Organizer

Data Source

[Presentation] Out-of-Sample Forecasting of Foreign Exchange Rates: The Band Spectral Regression and LASSO2020

Author(s)

Organizer

WADA Tatsuma 和田龍磨