Cai Xiaojing 蔡暁静

Researcher Number	90822908
Other IDs
Affiliation (Current)	2025: 岡山大学, 社会文化科学学域, 准教授
Affiliation (based on the past Project Information) *help	2025: 岡山大学, 社会文化科学学域, 准教授 2021 – 2022: 岡山大学, 社会文化科学学域, 准教授 2019 – 2020: 岡山大学, 社会文化科学研究科, 准教授 2018: 神戸大学, 経済学研究科, 経済学研究科研究員
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related / 0107:Economics, business administration, and related fields
Keywords	Principal Investigator リスク波及効果 / 金融市場と実体経済 / MIDAS-CoVaR / Risk spillover / Wavelet Analysis / Macroeconomic shocks / Quantile regression / Wavelet analysis / CoVaR / MIDAS … More / wavelet-copula / 金価格 / 石油価格 / 東アジア株式市場 / コピュラモデル / スケール別依存関係 Less

金融市場間のリスク波及効果がマクロ経済に与える影響Principal Investigator
- Principal Investigator
  
  蔡暁静
- Project Period (FY)
  2025 – 2028
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Okayama University
Risk spillover from international financial markets and macroeconomic activitiesPrincipal Investigator
- Principal Investigator
  
  Cai Xiaojing
- Project Period (FY)
  2019 – 2022
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Okayama University
Multi-horizon dependence between oil, gold and East Asian stock markets and implications in risk managementPrincipal Investigator
- Principal Investigator
  
  Cai Xiaojing
- Project Period (FY)
  2018
- Research Category
  
  Grant-in-Aid for Research Activity Start-up
- Review Section
  
  0107:Economics, business administration, and related fields
- Research Institution
  Kobe University

All 2023 2022 2021 2020 2019 2018

All Journal Article Presentation

[Journal Article] The interactive CNY-CNH relationship: A wavelet analysis2023
- Author(s)
  Tian, S., Gao, X., Cai, X.
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 133 Pages: 102829-102829
- DOI
  10.1016/j.jimonfin.2023.102829
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13738
[Journal Article] Does ESG investment reduce carbon emissions in China?2022
- Author(s)
  Cong, Y., Zhu, C., Hou, Y., Tian, S., and Cai, X.
- Journal Title
  
  Frontiers in Environmental Science
  
  Volume: 10 Pages: 977094-977094
- DOI
  10.3389/fenvs.2022.977049
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13738
[Journal Article] El Nino and Commodity Prices: New Findings From Partial Wavelet Coherence Analysis.2022
- Author(s)
  Cai, X. and Sakemoto, R.
- Journal Title
  
  Frontiers in Environmental Science
  
  Volume: 10 Pages: 893879-893879
- DOI
  10.3389/fenvs.2022.893879
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K13738
[Journal Article] Risk spillover from international financial markets and China’s macro-economy: A MIDAS-CoVaR-QR model2022
- Author(s)
  Yang, L., Cui X., Yang, L., Hamori, S., Cai, X.
- Journal Title
  
  International Review of Economics and Finance
  
  Volume: 84 Pages: 55-64
- DOI
  10.1016/j.iref.2022.11.006
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13738
[Journal Article] COVID-19 and the forward-looking stock-bond return relationship2021
- Author(s)
  Xiaojing Cai, Yingnan Cong, Ryuta Sakemoto
- Journal Title
  
  Applied Economics Letters
  
  Volume: 1 Issue: 3 Pages: 1-5
- DOI
  10.1080/13504851.2021.1985060
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13738
[Journal Article] Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management2020
- Author(s)
  Cai,X., Hamori, S., Yang, L., Tian, S.
- Journal Title
  
  Energies
  
  Volume: 13 Issue: 2 Pages: 294-318
- DOI
  10.3390/en13020294
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13738, KAKENHI-PROJECT-17H00983
[Journal Article] Moving average threshold heterogeneous autoregressive (MAT‐HAR) models2020
- Author(s)
  Motegi, K., Cai, X., Hamori, S., Xu, H.
- Journal Title
  
  Journal of Forecasting
  
  Volume: 1 Issue: 7 Pages: 1-8
- DOI
  10.1002/for.2671
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13738, KAKENHI-PROJECT-17H00983
[Journal Article] Modeling the Dependence Structure of Share Prices among Three Chinese City Banks2018
- Author(s)
  Liu Guizhou、Cai Xiao-Jing、Hamori Shigeyuki
- Journal Title
  
  Journal of Risk and Financial Management
  
  Volume: 11(4) Issue: 4 Pages: 1-18
- DOI
  10.3390/jrfm11040057
- NAID
  120006551683
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00983, KAKENHI-PROJECT-18H05682, KAKENHI-PROJECT-17K18564
[Journal Article] What determines the long-term correlation between oil prices and exchange rates?2018
- Author(s)
  Yang, L., Cai, X.J., and Hamori, S.
- Journal Title
  
  North American Journal of Economics and Finance
  
  Volume: 44 Pages: 140-152
- DOI
  10.1016/j.najef.2017.12.003
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00983, KAKENHI-PROJECT-18H05682
[Journal Article] Co-movements in commodity markets and implications in diversification benefits2018
- Author(s)
  Cai Xiao Jing、Fang Zheng、Chang Youngho、Tian Shuairu、Hamori Shigeyuki
- Journal Title
  
  Empirical Economics
  
  Volume: 印刷中 Issue: 2 Pages: 1-33
- DOI
  10.1007/s00181-018-1551-3
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00983, KAKENHI-PROJECT-18H05682
[Presentation] Risk spillover from international financial markets and China’s macro-economy: A MIDAS-CoVaR-QR model2022
- Author(s)
  Xiaojing Cai
- Organizer
  2022 SERC
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13738
[Presentation] Risk spillover from international financial markets and China’s macro-economy: A MIDAS-CoVaR-QR model2022
- Author(s)
  Xiaojing Cai
- Organizer
  2022 WEAI Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13738
[Presentation] Dynamic conditional causality between the carbon and energy markets: A multiple-timescale perspective2021
- Author(s)
  Xiaojing Cai
- Organizer
  International conference on prevention of financial risks
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13738
[Presentation] Improve stock return density forecasts using regular vine copulas2019
- Author(s)
  Cai Xiaojing
- Organizer
  WEAI 15th International Conference Tokyo
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H05682
[Presentation] Multi-horizon dependence between oil (gold) and East Asian stock markets: implications for risk management2018
- Author(s)
  Cai Xiaojing
- Organizer
  INFINITI 2018 Asia-Pacific
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H05682

1. Yang Lu

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
2. Hamori Shigeyuki

# of Collaborated Projects: 1 results

# of Collaborated Products: 3 results

Cai Xiaojing 蔡 暁静

Research Projects

Research Products

Co-Researchers

金融市場間のリスク波及効果がマクロ経済に与える影響Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Risk spillover from international financial markets and macroeconomic activitiesPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Multi-horizon dependence between oil, gold and East Asian stock markets and implications in risk managementPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

[Journal Article] The interactive CNY-CNH relationship: A wavelet analysis2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Does ESG investment reduce carbon emissions in China?2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] El Nino and Commodity Prices: New Findings From Partial Wavelet Coherence Analysis.2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Risk spillover from international financial markets and China’s macro-economy: A MIDAS-CoVaR-QR model2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] COVID-19 and the forward-looking stock-bond return relationship2021

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Moving average threshold heterogeneous autoregressive (MAT‐HAR) models2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Modeling the Dependence Structure of Share Prices among Three Chinese City Banks2018

Author(s)

Journal Title

DOI

NAID

Data Source

[Journal Article] What determines the long-term correlation between oil prices and exchange rates?2018

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Co-movements in commodity markets and implications in diversification benefits2018

Author(s)

Journal Title

DOI

Data Source

[Presentation] Risk spillover from international financial markets and China’s macro-economy: A MIDAS-CoVaR-QR model2022

Author(s)

Organizer

Data Source

[Presentation] Risk spillover from international financial markets and China’s macro-economy: A MIDAS-CoVaR-QR model2022

Author(s)

Organizer

Cai Xiaojing 蔡暁静