ワトキンス クリントン WATKINS Clinton 特命准教授
Please make an appointment in advance by email.
I am currently an Associate Professor at Kobe University, teaching in the areas of econometrics, finance and macroeconomics, and conducting research in empirical finance. Prior to working in academia, I was a Director at BlackRock Japan, formerly Barclays Global Investors, working in research and strategy for a multi-asset class quantitative global macro hedge fund. At BlackRock, I worked on asset allocation and models forecasting returns in currency, fixed income and emerging market equities, as well as other asset classes. In addition, I created materials to inform and educate our clients about the fund's strategies, as well as analysing the macroeconomies of the Asian region. Before that, I was an Adviser at the Reserve Bank of New Zealand, where I worked in financial markets analysis and research as part of the Bank's monetary and financial stability processes. Much of this work revolved around monitoring relevant developments in global financial markets, extracting and interpreting information from both financial market prices and qualitative surveys of market participants. Previously, I worked in energy and greenhouse gas economics, and held management positions in several businesses in Australia. My PhD thesis on the empirical finance of non-ferrous metals markets and was completed at the University of Western Australia.
My research interests lie in the areas of applied econometrics, empirical finance, financial market microstructure and the nexus of finance and macroeconomics. The financial markets I am most interested in are commodities, foreign exchange and equities. I have a long-standing interest in modelling industrial metal prices and returns. In addition to finance and macro, I am also interested in university rankings.
Currently, my main research projects involve 1) modelling market microstructure in commodity futures and 2) modelling and forecasting returns in the foreign exchange markets.
The graduate courses listed below are available to advanced undergraduates. Not all courses are offered every year.
When I was a student, I became much more interested in economics after I learned how to use econometrics effectively. Econometrics provides us with the set of techniques to test how well economic theories actually describe the economy. We can then use econometric models to make forecasts of various economic data. In this course, we cover econometric techniques, and apply these techniques to economic and financial data using econometric software developed in the statistical programming language R. We also cover econometric methodology, that is, the sensible use of econometric techniques such that we make valid conclusions from our empirical analysis. The class is held in the computer laboratory so that students can work with data and software. The course includes a challenging project that requires students to replicate the econometric analysis of a published empirical article from an international refereed journal. The course aims to prepare students to conduct their own graduate level empirical research in economics or finance.
This course introduces advanced macroeconomic modelling techniques and their application to the the analysis of business cycle fluctuations. The course has three main parts; we cover: 1) the standard approaches to macroeconomic modelling and analysis; 2) the empirical properties and modelling of macroeconomic variables, and analyse their interrelationships using vector autoregression and other econometric methods; and 3) standard theoretical macroeconomic models with an emphasis on business cycles, inflation, monetary and fiscal policy. Time permitting, we may examine the interactions between the macroeconomy and the financial system. The course involves a substantial amount of empirical and simulation work in the computer lab using the programming language R. After completing the course, students will be familiar with standard approaches to macroeconomic modelling, understand the behaviour and dynamics of important macroeconomic variables, be able to analyse the impact of changes in the macroeconomy, monetary and fiscal policy.
Economic and Financial Crises
Economic and financial crises are unfortunately a fact of life. During your career, you will likely need to deal with the fallout of several national or international crises. The Global Financial Crisis of 2008 took the world by surprise. As the crisis developed, advanced and emerging economies experienced substantial and synchronised decline in GDP, increase in unemployment, a collapse in international trade and the threat of entering a deflationary spiral. Financial markets were volatile, at times illiquid and largely driven by fluctuations in risk sentiment. Large and systemically important financial institutions became insolvent and major corporations entered bankruptcy. Instability spread across countries and eventually propagated the European Sovereign Debt crisis. Subsequently, the world has experienced a very slow recovery and the crisis has been a driving force behind monetary and fiscal policy in many countries over the following decade. Arguably, many economies are now poorly prepared in terms of monetary and fiscal policy for the eventual next crisis. Understanding 1) the warning signs to look out for ahead of a crisis, 2) how the economy may change during a crisis cycle, 3) international linkages that may help spread a crisis around the world, and 4) the policies government may use to counter a crisis, can help you and your organisation survive. We examine the characteristics of past crises in both emerging and developed economies, interpret the salient academic literature on the types and explanations of crises, and cover Hyman Minsky’s financial instability hypothesis in detail. Two sessions are devoted to empirical modelling of crises in the computer lab using the programming language R.
Conventional models of individual behaviour used in economics and finance typically describe how people should make decisions, rather than how people actually make choices. Individuals are assumed to be rational and optimise their choices according to a theoretical model describing what they want to achieve. While conventional models are useful, we often observe evidence that is inconsistent with conventional predictions. Behavioural approaches provide an alternative view. Researchers such as Daniel Kahneman (winner of the 2002 Nobel Prize in Economics), Robert Shiller (joint winner of the 2013 Nobel Prize in Economics) and Richard Thaler (winner of the 2017 Nobel Prize in Economics) pioneered the application of concepts from psychology to describe how individuals make economic and financial decisions. With behavioural ideas, we can often explain observed financial market anomalies that have not been explained using conventional theory. This course trains students in behavioural concepts and their application to investor decision-making, the functioning of financial markets and corporate finance. We examine and interpret many of the important published research papers in the fields of behavioural economics and finance. During class we conduct some of the experiments used in behavioural finance research. In addition to learning about behavioural finance, students also gain insights into their own thinking by understanding how psychology influences their decision-making. An important part of this course is thinking about the way we think, which can be applied to almost any kind of decision-making.
Financial Markets Workshop
This course approaches the analysis of the macroeconomy and financial markets from the practitioner economist's perspective, with the objective of making tactical asset allocation investment decisions. Analysing the economy and financial markets in real-time is extremely challenging. It requires the combination of macroeconomic and financial theory, quantitative analysis of data, qualitative analysis of various types of news, the impact of macroeconomic policies, and the awareness many other factors such as politics, laws and regulation, as well as how various sectors of the economy operate. During the course we develop a strategy for interpreting macroeconomic and financial developments based on trends and cycles in important variables, making forecasts based on these interpretations and making asset allocations based on the forecasts. Students learn to develop their views on the economy and financial markets, explain and defend their views, consider and debate counterarguments, and write up their views in concise research reports. Students will become familiar with the pattern of economic news that shapes the consensus views on future financial asset returns, and be able to differentiate signal from noise in the economic news and data flow. The workshop is conducted as a combination of lectures me, student presentations and student led discussion. The class is intended to be very practical and focus on what is happening in major economies and financial markets during the semester.
In this course, we study both the theory and practice of investment management. Why is investment management important? One reason is that with economic development since the 1950s in many countries, incomes have risen, people are living longer and they have saved part of their income to support their retirement. The role of the professional portfolio manager in this context is to properly manage the investment of these funds to ensure people have the best possible future retirement income. The course covers investment theory and concepts including security valuation, Modern Portfolio Theory, the risk/return trade-off, diversification, and the Black-Litterman Model. We will use these theories and securities price data to construct portfolios and create portfolio analytics using the programming language R. We will discuss practical aspects of investment management, as well as the current situation of the investment management business in Japan and overseas. We also cover practical aspects of investment management such as investment philosophy, portfolio design, risk management, performance evaluation, ethics and fiduciary duty. By the end of this course, students should have a clear understanding of how financial assets are combined into portfolios, portfolio management strategies, and the issues involved in real world portfolio management.
This course covers financial intermediation, the global financial system, the structure and operation of financial securities markets, and theories of securities pricing or valuation. We cover various financial asset classes such as equities, fixed income, real-estate, currencies and commodities. We also consider different types of securities such as physicals, futures, forwards and options. By examining recent developments reported in the financial press, students learn to relate financial theory to current developments in global financial markets.
Economics and finance can be very stimulating and rewarding fields for your professional career, either as a practitioner, a researcher in industry or government, or as an academic researcher and educator. In doing economics and finance well, we need to be both practical and innovative. If the areas of economics or finance interest you, please do pursue study in these fields at university with great curiosity.
1. McAleer, Michael, Tamotsu Nakamura and Clinton Watkins, Size, Internationalization, and University Rankings: Evaluating and Predicting Times Higher Education (THE) Data for Japan, Sustainability, MDPI, Open Access Journal, vol. 11(5), pages 1-12, March, 2019.
2．Iwatsubo, Kentaro and Clinton Watkins, Who Influences the Fundamental Value of Commodity Futures in Japan? Discussion Paper 1830, Graduate School of Economics, Kobe University, 2018.
3．Iwatsubo, Kentaro, Clinton Watkins and Tao Xu, Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York, Journal of Commodity Markets, 11, 59-71, 2018.
4．Watkins, Clinton, Using financial market information in monetary policy: some examples from New Zealand, in Financial market developments and their implications for monetary policy, Bank for International Settlements Paper No 39,147-166, April 2008.
5. Watkins, Clinton and Michael McAleer, How has volatility in metals markets changed? Mathematics and Computers in Simulation, Volume 78(2-3), 237-249, 2008.
6. Watkins, Clinton and Michael McAleer, The Pricing of Non-ferrous Metals Futures on the London Metal Exchange, Applied Financial Economics, Volume 16(12), 853-880, 2006.
7. Watkins, Clinton and Michael McAleer, Econometric modelling of non-ferrous metal prices, Journal of Economic Surveys, Volume 18(4), 651-701, 2004. 5