Updated on 2025/07/31

写真a

 
CAI Xiaojing
 
Organization
Faculty of Humanities and Social Sciences Associate Professor
Position
Associate Professor
External link

Degree

  • 博士（経済学） ( 神戸大学 )

  • 修士（経済学） ( 神戸大学 )

Research Areas

  • Humanities & Social Sciences / Economic statistics

  • Humanities & Social Sciences / Money and finance

Education

  • 神戸大学 大学院経済学研究科博士課程後期課程修了    

    - 2017.3

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Papers

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MISC

  • Hybrid deep learning approaches for high-frequency carbon prices forecasting

    Yingnan Cong, Wenting Zhang, Xiaojing Cai, Shuairu Tian

    SSRN Electronic Journal   2024.11

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  • Does Innovation-driven Policy Optimize Urban-Energy-Consumption Structure? Evidence from National Innovation-driven City Pilot Policies

    Yingnan Cong, Yufei Hou, Yuan Ji, Xiaojing Cai

    SSRN Electronic Journal   2024.11

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    Authorship：Corresponding author  

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  • How Geopolitical Crises Influence BRICS Financial Markets and Macroeconomic Growth: Insights from the Russia-Ukraine War Using GARCH MIDAS and Quantile Regression

    Wenting Zhang, Shigeyuki Hamori, Xiaojing Cai

    SSRN Electronic Journal   2024.11

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    Authorship：Corresponding author  

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  • Global foreign exchange volatility, ambiguity, and currency carry trades

    Takao Asano, Xiaojing Cai, Ryuta Sakemoto

    SSRN Electronic Journal   2024.10

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  • Time-Varying Ambiguity Shocks and Business Cycles

    Takao Asano, Xiaojing Cai, Ryuta Sakemoto

    SSRN Electronic Journal   2023

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    Publisher：Elsevier BV  

    DOI： 10.2139/ssrn.4547772

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Research Projects

  • Risk spillover from international financial markets and macroeconomic activities

    Grant number：19K13738  2019.04 - 2023.03

    日本学術振興会  科学研究費助成事業  若手研究

    蔡 暁静

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    Grant amount：\4290000 （ Direct expense: \3300000 、 Indirect expense：\990000 ）

    The article investigates how risk spillover from the global financial market affects real economic activity in China. We develop a MIDAS-CoVaR-QR (Mixed Data Sampling-Conditional Value at Risk-Quantile Regression) approach that combines different frequencies of data to demonstrate the possibility of risk spillover from outside markets and forecast domestic macroeconomic shocks. Further, we provide evidence that risk spillovers can forecast economic shocks in China, and their predictive power increases as the time scales increase. The empirical findings also demonstrate that risk spillovers from the global stock and commodity markets have a strong negative effect on future macro-economy. Our conclusions provide meaningful information for government and policy-makers.

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

    Grant number：18H05682  2018.08 - 2019.03

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Research Activity Start-up

    Cai Xiaojing, Yang Lu, Hamori Shigeyuki

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    Grant amount：\1560000 （ Direct expense: \1200000 、 Indirect expense：\360000 ）

    This paper investigates the time-varying dependence and tail dependence between stock and the prices of oil and gold across different time scales with East Asian stock markets. We also assess the risk and downside risk hedging benefits of oil and gold to East Asian stock markets.
    Our results provide strong evidence of time-varying dependence and tail dependence between oil (gold) and stock markets at different time scales.Specifically, the oil (gold)-stock dependence and tail dependence increase as the time-scale increases.
    Based on the analysis of the risk reduction of Portfolio Variance and Expected Shortfall, we investigate the risk and tail risk hedging performance of oil and gold to stock portfolios. We find strong evidence that the hedging effectiveness vary over time and differ in terms of investment horizons. Specifically, all PV and ES risk reduction values are bigger than zero, suggesting that both oil and gold are useful in diversifying the East Asian stock portfolio.

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Class subject in charge

  • Graduation Research Seminar （2024academic year） 1st and 2nd semester  - その他7～8

  • Graduation Research Seminar （2024academic year） 3rd and 4th semester  - その他7～8

  • Seminar （2024academic year） 1st and 2nd semester  - 木7～8

  • Seminar （2024academic year） 3rd and 4th semester  - 木7～8

  • International Finance （2024academic year） Prophase  - 水2

  • International Finance （2024academic year） Prophase  - その他

  • International Finance I （2024academic year） 1st and 2nd semester  - 木5～6

  • International Finance II （2024academic year） 3rd and 4th semester  - 木5～6

  • Seminar on International Finance （2024academic year） Late  - 水2

  • Seminar on International Finance 1 （2024academic year） Prophase  - その他

  • Seminar on International Finance 2 （2024academic year） Late  - その他

  • Basic Seminar （2024academic year） Fourth semester  - 金7～8

  • Seminar （2024academic year） 3rd and 4th semester  - 金10

  • Practical Studies of Economy and Management （2024academic year） 1st and 2nd semester  - 水5～6

  • Challenge Seminar 2(Division of Economic Theory and Policy) （2024academic year） Prophase  - その他

  • Challenge Seminar4(Division of Economic Theory and Policy) （2024academic year） Prophase  - その他

  • Graduation Research Seminar （2023academic year） 1st and 2nd semester  - その他7～8

  • Graduation Research Seminar （2023academic year） 3rd and 4th semester  - その他7～8

  • Seminar （2023academic year） 1st and 2nd semester  - 木7～8

  • Seminar （2023academic year） 3rd and 4th semester  - 木7～8

  • International Finance （2023academic year） Prophase  - 水2

  • International Finance （2023academic year） 1st and 2nd semester  - 木9

  • International Finance （2023academic year） special  - その他

  • International Finance （2023academic year） Prophase  - 水2

  • International Finance(Common Subject) （2023academic year） 1st and 2nd semester  - 木9

  • International Finance I （2023academic year） 1st and 2nd semester  - 木5～6

  • International Finance II （2023academic year） 3rd and 4th semester  - 木5～6

  • Seminar on International Finance （2023academic year） Late  - 月2

  • Seminar on International Finance 1 （2023academic year） Prophase  - その他

  • Seminar on International Finance 2 （2023academic year） special  - その他

  • Basic Seminar （2023academic year） Fourth semester  - 金7～8

  • Practical Studies of Economy and Management （2023academic year） 1st and 2nd semester  - 水5～6

  • Challenge Seminar3(Division of Economic Theory and Policy) （2023academic year） Prophase  - その他

  • Graduation Research Seminar （2022academic year） 1st and 2nd semester  - その他

  • Graduation Research Seminar （2022academic year） 3rd and 4th semester  - その他

  • Seminar （2022academic year） 1st and 2nd semester  - 木7～8

  • Seminar （2022academic year） 3rd and 4th semester  - 木7～8

  • International Finance （2022academic year） Prophase  - 水2

  • International Finance （2022academic year） 3rd and 4th semester  - 水10

  • International Finance （2022academic year） special  - その他

  • International Finance （2022academic year） Prophase  - 水2

  • International Finance I （2022academic year） 1st and 2nd semester  - 木3～4

  • International Finance II （2022academic year） 3rd and 4th semester  - 木3～4

  • Seminar on International Finance （2022academic year） Late  - 月2

  • Seminar on International Finance 1 （2022academic year） Prophase  - その他

  • Seminar on International Finance 2 （2022academic year） special  - その他

  • Basic Seminar （2022academic year） Fourth semester  - 火7～8

  • Practical Studies of Economy and Management （2022academic year） 1st and 2nd semester  - 水5～6

  • Practical Studies of Economy and Management(Common Subject) （2022academic year） 1st and 2nd semester  - 水5～6

  • Challenge Seminar 1(Division of Economic Theory and Policy) （2022academic year） Prophase  - その他

  • Challenge Seminar 2(Division of Economic Theory and Policy) （2022academic year） Prophase  - その他

  • Graduation Research Seminar （2021academic year） 1st and 2nd semester  - その他

  • Graduation Research Seminar （2021academic year） 3rd and 4th semester  - その他

  • Seminar （2021academic year） 1st and 2nd semester  - 木7～8

  • Seminar （2021academic year） 3rd and 4th semester  - 月7～8

  • Basics of International Finance （2021academic year） Third semester  - 木3～4

  • International Finance （2021academic year） Prophase  - 水2

  • International Finance （2021academic year） 1st and 2nd semester  - 水10

  • International Finance （2021academic year） special  - その他

  • International Finance （2021academic year） Prophase  - 水2

  • International Finance I （2021academic year） 1st and 2nd semester  - 木5～6

  • International Finance II （2021academic year） 3rd and 4th semester  - 木5～6

  • International Finance II （2021academic year） 3rd and 4th semester  - 木5～6

  • Seminar on International Finance （2021academic year） Late  - 月2

  • Seminar on International Finance 1 （2021academic year） special  - その他

  • Seminar on International Finance 2 （2021academic year） special  - その他

  • Practical Studies of Economy and Management （2021academic year） 1st and 2nd semester  - 水5～6

  • Practical Studies of Economy and Management(Common Subject) （2021academic year） 1st and 2nd semester  - 水5～6

  • Graduation Research Seminar （2020academic year） 1st and 2nd semester  - その他

  • Graduation Research Seminar （2020academic year） 3rd and 4th semester  - その他

  • Seminar （2020academic year） 1st and 2nd semester  - 火7,火8

  • Seminar （2020academic year） 3rd and 4th semester  - 木7,木8

  • International Finance （2020academic year） Prophase  - 金3

  • 国際金融論 （2020academic year） １・２学期  - 火9

  • International Finance （2020academic year） special  - その他

  • Seminar on International Finance 1 （2020academic year） special  - その他

  • Seminar on International Finance 2 （2020academic year） special  - その他

  • International Finance I （2020academic year） 1st semester  - 木5,木6

  • International Finance II （2020academic year） Second semester  - 木3,木4

  • Basic Seminar （2020academic year） 1st semester  - 木7,木8

  • Basic Seminar （2020academic year） Third semester  - 火7,火8

  • Basic Seminar （2020academic year） Fourth semester  - 火7,火8

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