金融市場とマクロ経済は密接に関連しているため，金融資産価格動向を経済活動予測に用いる実証研究は世界金融危機以降，更なる展開を示している．従前より，株価や国債イールドの期間構造が経済活動の予測に役立つことを実証した論文は多数ある．本稿は，金融資産価格のなかでも，クレジットスプレッド，とりわけ社債クレジットスプレッドに焦点を置いて，景気予測への有用性を示した実証研究を展望する．はじめに，金融市場とマクロ経済の関連，そして，クレジットスプレッドと景気循環との関連について，主要な先行研究結果を概観する．その後，クレジットスプレッドの決定要因を大別して実証分析研究を説明し，具体的な米国・欧州・日本クレジットスプレッド指標を用いた経済活動予測の応用例を紹介する．最後に，景気循環の構成要素への予測力と時変性を入れたモデルについて言及する．

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資産配分の文脈において，各資産の価格変動を横断的に説明する共通因子を構成し，これを介して資産配分を決定するアプローチが注目されている．このような価格変動の共通因子はリスクファクターと呼ばれる．特に，マルチアセット市場(multi-asset market) を説明するリスクファクターはマクロ経済的な概念と紐づけて解釈されることが多く，マクロファクターとも呼ばれる．リスクファクターの構成手法としては主成分分析が広く用いられている．しかし，主成分分析によって構成されるリスクファクターは上位のものを除き，その解釈が困難であるという問題点がある．リスクファクターを介して資産配分を決定するアプローチにおいては，より多くのリスクファクターを解釈できることが望ましく，このような主成分分析の性質は実務上重大な問題である．本研究では上に掲げた主成分分析の問題点を解決する次元削減手法を提案し，人工データ及びマルチアセット市場データを用いた実験によってその有効性を示す．マルチアセット市場データを用いた実験では，提案手法によって構成されたマクロファクターを貿易，金融政策，外交政策など，相異なるマクロ経済的な概念と紐づけて解釈する．

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近年、注目が集まっているFinTechの証券業界における活用事例として代表的なサービスがロボアドバイザーである。ロボアドバイザーとは、個人の投資家がいくつかの質問に答えると、プログラムによってその人の志向に応じ、最適なポートフォリオを提案し投資を支援するサービスである。本研究では、複数のロボアドバイザーの性能等の比較、および、投資未経験者がロボアドバイザーを使った際に投資に対する意識がどのように変化するのか考察する。

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Today, many of oil and gas companies are putting tight reins on capital spending. High international oil price for the past few years allow E&P Sector to invest in the project which requires innovative technical solutions such as deep water, unconventional and integrated LNG project throughout the world. At the same time, these are well known as high capital intensive project with high level of uncertainty and risk. But oil price has been declining from middle of 2014. The plunge was sharpest since 2008 Lehman Shock and it hasn't shown signs to rise back. The high volatility of the oil price exerts significant impact on the E&P Sector. It affects not only Total global oil and gas supply/demand growth but also numerous distinct Investment activities. Resulting stock price decline, experience of substantial pressure related to credit facilities, downward pressure of credit rating from agency, slow down of merger and acquisition (M&A) etc. This paper addresses multiple challenges that E&P companies and industry are facing by the declining of oil price. Furthermore, describes business model in one of largest “Sogo Shosha” in Japan to survive low commodity price environment.

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This paper examines the Subprime Mortgage Crisis as a Minsky Crisis by reexamining Minsky's Financial Instability Hypothesis. The fundamental proposition of the Financial Instability Hypothesis is that "Stability is destabilizing". When we re-examine the process of endogenous destabilization of the financial structure in the capitalist economy from the point of view of financial innovation, it reveals that financial innovations deploy "speculative finance" and "Ponzi finance." Increasing investment to specific capital assets requires new financial products that overcome regulation constraints. New financial products also must have acceptable yield and maturity both for lenders and borrowers. Financial instability develops in periods of "tranquility" when decreasing liquidity preferences attracts economic entities to obtain alternative assets with high interests instead of cash and demand deposits. In this process financial innovations are carried out and a pyramiding of liquid assets is built. However, the chain of financial contracts made in pyramiding of liquid assets increases likelihood of a serious liquidity crisis by the liquidity shortage of central financial institutions or financial markets. It means that financial innovation endogenously increase financial instability. Since 2000s, a huge pyramiding of liquid assets which is called the Originate-to-Distribute (OTD) Model had been created. In the OTD model, subprime mortgages loan originated by commercial banks were converted into CDO. Off-balance sheet entities of commercial banks and hedge funds bought the majority of AAA tranches. Re-securitization made it possible for them to produce large amounts of short-term financial assets from long-term financial assets and to raise funds from MMMF and Securities Lenders in short term using such as repo and ABCP. MMMF raised funds from selling the shares to households and firms. Securities Lenders raised funds from long-term savings of the household sector. However, the downgrading of subprime MBS by rating agencies since June 2007 invoked liquidity crisis in the CP market and the repo market. It made it impossible for off-balance sheet entities of commercial banks and hedge funds to raise funds in those markets. Money center banks which provided liquidity support to off-balance sheet entities and investment banks which provided fund to hedge funds through repo and prime brokerage made losses. Collapse of Lehman Brothers in September 2008 caused run on MMMF and Securities Lenders. The run reduced investment and exacerbated the liquidity crisis further. In short, the OTD Model which constituted of banks, off-balance entities, hedge funds, MMF and Securities Lenders formed a chain of financial contracts to earn interests from the interest gaps. This scheme made financial structure vulnerable to liquidity shortage. The chain of financial contracts was collapsed by downgrading of subprime MBS. This entailed huge liquidity crisis and severe depression. I conclude from the point of endogenous destabilization that Subprime Mortgage Crisis is one of a Minsky Crisis.

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