{"id":130,"date":"2021-04-30T06:01:21","date_gmt":"2021-04-29T21:01:21","guid":{"rendered":"http:\/\/www.e.okayama-u.ac.jp\/en\/?page_id=130"},"modified":"2021-06-02T13:24:07","modified_gmt":"2021-06-02T04:24:07","slug":"sakemoto","status":"publish","type":"page","link":"https:\/\/www.e.okayama-u.ac.jp\/en\/research\/sakemoto","title":{"rendered":"Research Highlights \uff08Dr. Ryuta Sakemoto\uff09"},"content":{"rendered":"\n<h2 class=\"wp-block-heading\">1. Risk factors for currency portfolios<\/h2>\n\n\n\n<p>My first research agenda was to discover risk factors for currency portfolios widely used for investors. I extracted the risk factors using the statistical methods given in Byrne, Ibrahim, and Sakemoto (2018, 2019). Figure 1 illustrates the main concept of the methodology. Our studies indicated that our factors were successful in improving pricing errors of the currency portfolios.<\/p>\n\n\n\n<p class=\"has-text-align-center\">Figure 1. Extracting a common factor<br><img decoding=\"async\" src=\"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-content\/uploads\/2021\/04\/sakemoto1.png\" width=\"100%\"><\/p>\n\n\n\n<h2 class=\"wp-block-heading\">2. Commodity prices and macroeconomic fundamentals<\/h2>\n\n\n\n<p>My second research agenda was to reveal a relationship between commodity prices and macroeconomic fundamentals. Figure 2 is one of the findings in Byrne, Sakemoto, and Xu (2020). We noted that U.S. monetary policy had a time-varying impact on commodity price comovements.<\/p>\n\n\n\n<p class=\"has-text-align-center\">Figure 2.\u3000Response of the commodity price comovements to monetary policy shocks<br><img decoding=\"async\" src=\"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-content\/uploads\/2021\/04\/sakemoto2.png\" width=\"100%\"><\/p>\n\n\n\n<h2 class=\"wp-block-heading\">3. Portfolio risk management<\/h2>\n\n\n\n<p>I explored how to control risks in cryptocurrency portfolios. Figure 3 demonstrates that adopting forecast models and optimization techniques allowed us to obtain stable excess returns.<\/p>\n\n\n\n<p class=\"has-text-align-center\">Figure 3.\u3000Cumulative returns of cryptocurrency portfolios<br><img decoding=\"async\" src=\"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-content\/uploads\/2021\/04\/sakemoto3.png\" width=\"100%\"><br>Source\uff1aSakemoto (2020)<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">References<\/h3>\n\n\n\n<p>[1] Byrne, J.P., Ibrahim, B., and Sakemoto, R. (2018). Common Information in Carry Trade Risk Factors, Journal of International Financial Markets, Institutions and Money, Vol.52, 37-47<br>[2] Byrne, J.P., Ibrahim, B., and Sakemoto, R. (2019). Carry Trades and Commodity Risk Factors,Journal of International Money and Finance.Vol.96, 121-129.<br>[3] Byrne, J.P., Sakemoto, R., and Xu, B. (2020). Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals, European Review of Agricultural Economics. Vol 47, 499-528.<br>[4] Sakemoto, R. (2020). Economic Evaluation of Cryptocurrency Investment, SSRN3694404.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">Link<\/h3>\n\n\n\n<p>For further details, please refer to my personal webpage at:<br><a href=\"https:\/\/sites.google.com\/site\/rsakemotohomepage\/home\" target=\"_blank\" rel=\"noreferrer noopener\">https:\/\/sites.google.com\/site\/rsakemotohomepage\/home<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>1. Risk factors for currency portfolios My first research agenda was to discover risk factors for currency por [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"parent":107,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"page-lay3.php","meta":{"_acf_changed":false,"footnotes":""},"class_list":["post-130","page","type-page","status-publish","hentry"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-json\/wp\/v2\/pages\/130","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-json\/wp\/v2\/comments?post=130"}],"version-history":[{"count":2,"href":"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-json\/wp\/v2\/pages\/130\/revisions"}],"predecessor-version":[{"id":135,"href":"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-json\/wp\/v2\/pages\/130\/revisions\/135"}],"up":[{"embeddable":true,"href":"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-json\/wp\/v2\/pages\/107"}],"wp:attachment":[{"href":"https:\/\/www.e.okayama-u.ac.jp\/en\/wp-json\/wp\/v2\/media?parent=130"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}