内田浩史 神戸大学大学院経営学研究科

金融政策関連論文リスト

内田浩史(2024)『現代日本金融システムのパフォーマンス』慶応義塾大学出版会、第8章執筆用に参照した論文のリスト

①短期金利から長期金利・リスク資産価格への効果

Arai, N. (2017) "The effects of monetary policy announcements at the zero lower bound." International Journal of Central Banking 13: 159–196.

Baba, N., S. Nishioka, N. Oda, M. Shirakawa, K. Ueda, and H. Ugai (2005) "Japan's deflation, problems in the financial system and monetary policy." Monetary and Economic Studies 23: 47-112.

Cieslak, A. and A. Schrimpf (2019). "Non-monetary news in central bank communication." Journal of International Economics 118: 293-315.

Fujiki, H. and S. Shiratsuka (2002) "Policy duration effect under the zero interest rate policy in 1999–2000: Evidence from Japan’s money market data." Monetary and Economic Studies 20: 1–31.

Fujiki, H., K. Okina and S. Shiratsuka (2001) "Monetary policy under zero interest rate—viewpoints of central bank economists." Monetary and Economic Studies 19: 89–130.

Fujiwara, I. (2006). "Evaluating monetary policy when nominal interest rates are almost zero." Journal of the Japanese and International Economies 20: 434-453.

Fukunaga, I., N. Kato and J. Koeda (2005) "Maturity structure and supply factors in Japanese government bond markets." Monetary and Economic Studies 33: 45-96.

Hattori, T. (2020). "The impact of quantitative and qualitative easing on term structure: Evidence from micro-level data." Economics Letters 195: 109347.

Hattori, T. and J. Yoshida (2022) "The Bank of Japan as a real estate tycoon: Large-scale REIT purchases." Chapter 2 in C. Leung Ed. Handbook of Real Estate and Macroeconomics, Edward Elgar Publishing.

Hattori, T. and J. Yoshida (2023) "Yield Curve Control." International Journal of Central Banking, December 2023: 403-438.

Honda, Y. and Y. Kuroki (2006). "Financial and capital markets' responses to changes in the central bank's target interest rate: The case of Japan." The Economic Journal 116: 812-842.

Ichiue, H. and Y. Ueno (2015). "Monetary policy and the yield curve at zero interest." Journal of the Japanese and International Economies 38: 1-12.

Ichiue, H. and Y. Ueno (2018) “A survey-based shadow rate and unconventional monetary policy effects.” IMES Discussion Paper Series No. 18-E-05.

Iwata, K., and I. Fueda-Samikawa (2013) “Quantitative and qualitative monetary easing effects and associated risks,” Japan Center for Economic Research, 2013-1.

Kim, D. H. and K. J. Singleton (2012). "Term structure models and the zero bound: An empirical investigation of Japanese yields." Journal of Econometrics 170: 32-49.

Kimura, T. and D. Small (2006) “Quantitative monetary easing and risk in financial asset markets.” The B.E. Journal of Macroeconomics 6: 1-54.

Kimura, T., H. Kobayashi, J. Muranaga and H. Ugai (2002). The effect of the increase in monetary base on Japan’s economy at zero interest rates: An empirical analysis. IMES discussion paper, no. 2002-E-22.

Koeda, J. (2017). "Bond supply and excess bond returns in zero-lower bound and normal environments: Evidence from japan." The Japanese Economic Review 68: 443-457.

Koeda, J. and A. Sekine (2022). "Nelson–siegel decay factor and term premia in japan." Journal of the Japanese and International Economies 64: 101204.

Kubota, H. and M. Shintani (2022). "High-frequency identification of monetary policy shocks in japan." The Japanese Economic Review 73: 483-513.

Nakamura, F., N. Sudo, and Y. Sugisaki (2021) "A quest for monetary policy shocks in Japan by high frequency identification."IMES Discussion Paper Series No. 2021-E-2.

Nakano, M., A. Takahashi, S. Takahashi and T. Tokioka (2018). "On the effect of Bank of Japan’s outright purchase on the JGB yield curve." Asia-Pacific Financial Markets 25: 47-70.

Oda, N. and K. Ueda (2005). "The effects of the Bank of Japan’s zero interest rate commitment and quantitative monetary easing on the yield curve: A macro-finance approach." Bank of Japan Working Paper Series No.05-E-6.

Oda, N. and K. Ueda (2007). "The effects of the Bank of Japan’s zero interest rate commitment and quantitative monetary easing on the yield curve: A macro-finance approach." The Japanese Economic Review 58: 303-328.

Okina, K. and S. Shiratsuka (2004). "Policy commitment and expectation formation: Japan’s experience under zero interest rates." The North American Journal of Economics and Finance 15: 75-100.

Shibamoto, M. (2016) "Empirical assessment of the impact of monetary policy communication on the financial market." RIEB Discussion Paper DP2016-19.

Shibamoto, M. and M. Tachibana (2014). "Individual stock returns and monetary policy: Evidence from japanese data." The Japanese Economic Review 65: 375-396.

Shiratsuka, S. (2021) "Monetary policy effectiveness under the ultra-low interest rate environment: Evidence from yield curve dynamics in Japan." Keio-IES Discussion Paper Series DP2021-012.

Ueda, K. (2012). "Deleveraging and monetary policy: Japan since the 1990s and the united states since 2007." Journal of Economic Perspectives 26: 177–202.

Ueda, K. (2012). "Japan's deflation and the bank of japan's experience with nontraditional monetary policy." Journal of Money, Credit and Banking 44: 175-190.

Ueno, Y. (2017) “Term structure models with negative interest rates,” IMES Discussion Paper Series 17-E-01.

Ugai, H. (2007) “Effects of the quantitative easing policy: A survey of empirical analyses,” Monetary and Economic Studies 25: 1–48.

Wang, Y.-C., C.-W. Wang and C.-H. Huang (2015). "The impact of unconventional monetary policy on the tail risks of stock markets between U.S. and Japan." International Review of Financial Analysis 41: 41-51.

植田和男(2012)「非伝統的金融政策の有効性」大垣昌夫・小川一夫・小西秀樹・田渕隆俊編『現代経済学の潮流 2012』第1章, 東洋経済新報社.

大井博之・白塚重典(2021)「超低金利環境下でのイールドカーブ変動の再検証:動学的ネルソン=シーゲル・モデルの応用」IMES Discussion Paper Series No. 2021-J-3.

翁邦雄・白塚重典・藤木裕(2000)「ゼロ金利下の金融政策―中央銀行エコノミストの視点―」IMES Discussion Paper No. 2000-J-10

小田信之・小林洋史(2003)「長期金利の変動をどう理解するか?:マクロ経済モデルを利用した期待短期金利成分とリスクプレミアム成分への分解」日本銀行ワーキングペーパーシリーズ No. 03-J-4.

鎌田康一郎・須合智広(2006)「政策金利ゼロ制約下における金融政策効果の抽出」『日本銀行ワーキングペーパーシリーズ』No.06-J-13.

齋藤雅士・法眼吉彦(2014)「日本銀行の国債買入れに伴うポートフォリオ・リバランス:銀行貸出と証券投資フローのデータを用いた実証分析」BOJ Reports & Research Papers.

白塚重典・藤木裕(2001)「ゼロ金利政策下における時間軸効果:1999-2000年の短期金融市場データによる検証」『金融研究』2001.12: 137-170.

細野薫・杉原茂・三平剛(2001)「金融調節の実際とコールレートの決定」『金融政策の有効性と限界』第2章, 東洋経済新報社.

細野薫・杉原茂・三平剛(2001)「金利の期間構造と金融政策」『金融政策の有効性と限界』第3章, 東洋経済新報社.

丸茂幸平・中山貴司・西岡慎一・吉田敏弘(2003)「ゼロ金利政策下における金利の期間構造モデル」日本銀行 金融市場局ワーキングペーパーシリーズ2003-J-1.

竹田陽介・小巻泰之・矢嶋康次(2005)『期待形成の異質性とマクロ経済政策:経済主体はどこまで合理的か』 東洋経済新報社.

米澤康博(2016)「ポートフォリオリバランスとその効果」『証券経済研究』第93号: 113-125.

②銀行貸出への効果

Baba, N., M. Nakashima, Y. Shigemi and K. Ueda (2006) "The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market." International Journal of Central Banking, March 2006: 105-135.

Bae, Y., V. Kakkar and M. Ogaki (2006). "Money demand in japan and nonlinear cointegration." Journal of Money, Credit and Banking 38: 1659-1667.

Bowman, D., F. Cai, S. Davies and S. Kamin (2015). "Quantitative easing and bank lending: Evidence from japan." Journal of International Money and Finance 57: 15-30.

Fujiki, H. and K. Watanabe (2004) "Japanese demand for M1 and demand deposits: Cross-sectional and time-series evidence from Japan." Monetary and Economic Studies 22: 47-78.

Harimaya, K. and T. Jinushi (2023). "The effects of quantitative easing policy on bank lending: Evidence from japanese regional banks." Japan and the World Economy 67: 101193.

Hosono, K. (2006). "The transmission mechanism of monetary policy in japan: Evidence from banks' balance sheets." Journal of the Japanese and International Economies 20: 380-405.

Hosono, K. and D. Miyakawa (2014) "Business cycles, monetary policy, and bank lending: identifying the bank balance sheet channel with firm-bank match-level loan data." RIETI Discussion Paper Series 14-E-026.

Kimura, T., H. Kobayashi, J. Muranaga and H. Ugai (2002) "The effect of the increase in monetary base on Japan’s economy at zero interest rates: An empirical analysis." IMES Discussion Paper No. 2002-E-22.

Kobayashi, T., M. M. Spiegel and N. Yamori (2006). "Quantitative easing and japanese bank equity values " Journal of the Japanese and International Economies 20: 699-721

Mamatzakis, E. C. and A. N. Vu (2018). "The interplay between quantitative easing, risk and competition: The case of japanese banking." Financial Markets, Institutions & Instruments 27: 3-46.

Matousek, R., S. Τ. Papadamou, A. Šević and N. G. Tzeremes (2019). "The effectiveness of quantitative easing: Evidence from japan." Journal of International Money and Finance 99: 102068.

Miyao, R. (2002) "Liquidity traps and the stability of money demand: Is Japan really trapped at the zero bound?" Mimeo.

MIYAO, R. (2005). "Use of the money supply in the conduct of japan's monetary policy: Re-examining the time-series evidence*." The Japanese Economic Review 56: 165-187.

Nakashima, K. (2009). "An extremely-low-interest-rate policy and the shape of the japanese money demand function: A nonlinear cointegration approach." Macroeconomic Dynamics 13: 553-579.

Nakashima, K. and M. Saito (2005) "Uncovering interest-elastic money demand: Evidence from the Japanese money market with a low interest rate policy." Mimeo.

Nakashima, K. M. Shibamoto and K. Takahashi (2019) "Risk-taking channel of unconventional monetary policies in bank lending." RIEB Discussion Paper DP2017-24.

Ono, A., K. Aoki, S. Nishioka, K. Shintani and Y. Yasui (2023) "Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data." Mimeo.

Shibamoto, M., W. Takahashi and T. Kamihigashi (2023). "Japan’s monetary policy: A literature review and empirical assessment." Journal of Computational Social Science 6: 1215-1254.

Shioji, E. (2019). "Quantitative `flooding' and bank lending: Evidence from 18 years of near-zero interest rate." Journal of the Japanese and International Economies 52: 107-120.

Vu, A. N. (2020). "On the impact of quantitative easing on credit standards and systemic risk: The japanese experience." Economics Letters 186: 108520.

井上仁(2013)「量的緩和政策期間における銀行貸出経路」札幌学院大学経済論集, 第6号: 41-58.

北坂真一・陳菲・佐竹光彦(2023)「低金利・マイナス金利と銀行の収益性」『金融経済研究』46: 1-20.

齋藤雅士・法眼吉彦(2014)「日本銀行の国債買入れに伴うポートフォリオ・リバランス:銀行貸出と証券投資フローのデータを用いた実証分析」BOJ Reports & Research Papers. 塩路悦郎(2016)「ゼロ金利下における日本の信用創造」照山博司・細野薫・松島斉・松村敏弘編『現代経済学の潮流2016』第2章, 東洋経済新報社.

塩路悦郎(2017)「銀行行動と貨幣乗数の低下―量的緩和政策は貸出を拡大したか」福田慎一編『金融システムの制度設計』第7章, 有斐閣.

塩路悦郎(2017)「量的・質的金融緩和期における日本の信用創造」日本金融学会秋季大会報告論文.

白塚重典・藤木裕(2001)「ゼロ金利政策下における時間軸効果:1999-2000年の短期金融市場データによる検証」『金融研究』2001.12: 137-170.

立花実・井上仁・本多佑三(2017)「量的緩和策の銀行貸出への効果」『経済分析』第193号: 161-195.

福田慎一(2009)「バブル崩壊後の金融市場の動揺と金融政策」吉川洋編著『デフレ経済と金融政策』第7章, 慶応義塾大学出版会.

細野薫・杉原茂・三平剛(2001)「金融不安と貨幣需要の安定性」『金融政策の有効性と限界』第5章, 東洋経済新報社.

細野薫・杉原茂・三平剛(2001)「信用乗数とマネーサプライの制御可能性」『金融政策の有効性と限界』第4章, 東洋経済新報社.

細野薫・杉原茂・三平剛(2001)「日本において「流動性のわな」は現実に生じたか」『金融政策の有効性と限界』第7章, 東洋経済新報社.

三谷信彦(2016)「非伝統金融政策と銀行貸出」OSIPP Discussion Paper DP-2016-J-001.

③信用緩和の効果

Adachi, K., K. Hiraki and T. Kitamura (2021) "The effects of the Bank of Japan’s ETF purchases on risk premia in the stock markets." Bank of Japan Working Paper Series No.21-E-3.

Aono, K., H. Gunji and H. Nakata (2022). "Did the bank of japan’s purchases of exchange-traded funds affect stock prices? A synthetic control approach." Applied Economics Letters 29: 1859-1863.

Barbon, A. and V. Gianinazzi (2019). "Quantitative easing and equity prices: Evidence from the etf program of the bank of japan." The Review of Asset Pricing Studies 9: 210-255.

"Charoenwong, B., Morck, R., Wiwattanakantang, Y., 2021. Asset prices, corporate actions, and Bank of Japan equity purchases. Rev. Financ. 25 (3), 713–743"

Charoenwong, B., R. Morck and Y. Wiwattanakantang (2020). "Bank of japan equity purchases: The (non-)effects of extreme quantitative easing*." Review of Finance 25: 713-743.

Charteris, A. and C. A. Steyn (2023). "The bank of japan’s exchange traded fund purchases: A help or hindrance to market efficiency?" Journal of Asset Management 24: 225-240.

Chen, Z., K. Ito, T. Yamada and B. Zhang (2019) "Monetary policy through the stock market: Central bank purchase of equity index ETFs." Available at SSRN 3458250.

Chung, J.C. (2020) "The Bank of Japan’s exchange-traded fund purchase program and its impact on daily stock market returns." Master Thesis, University of Tokyo.

El Kalak, I., W. S. Leung, H. Takahashi and K. Yamada (2023). "The bank of japan's equity purchases and stock illiquidity." Journal of Financial Markets 63: 100770.

Fukuda, S.I. and M. Tanaka (2022) "The effects of large-scale equity purchases during the coronavirus pandemic." CIRJE Discussion Papers Series CIRJE-F- 1186.

Fukui, M. and M. Yagasaki (2023) "The impact of central bank stock purchases: Evidence from discontinuities in policy rules." Mimeo.

Gunji, H., K. Miura and Y. Yuan (2023) "The effect of the Bank of Japan’s ETF purchases on firm performance." Available at: https://ssrn.com/abstract=3798098.

Harada, K. and T. Okimoto (2021). "The boj's etf purchases and its effects on nikkei 225 stocks." International Review of Financial Analysis 77: 101826.

Hattori, T. and J. Yoshida (2023). "The impact of bank of japan’s exchange-traded fund purchases." Journal of Financial Stability 65: 101102.

Ichiue, H. (2023) "Stock effects of Bank of Japan equity holdings." 日本金融学会春季大会発表論文.

Katagiri, M., J. Shino and K. Takahashi (2022) "Bank of Japan’s ETF purchase program and equity risk premium: a CAPM interpretation." BIS Working Papers No. 1029.

Katagiri, M., J. Shino and K. Takahashi (2022). "The announcement effects of a change in the bank of japan’s etf purchase program: An event study." Finance Research Letters 50: 103230.

Koyama, K. (2022). "The bank of japan’s equity exchange-traded funds purchasing operation and its impact on equity returns." Cogent Economics & Finance 10: 2111782.

Linh, N.T. (2021) "The impact of the Bank of Japan’s exchange traded fund and corporate bond purchases on firms’ capital structure." RCESR Discussion Paper Series No. DP21-1.

Maeda, K. and J. Shino (2019) "Stock lending market and the BOJ’s ETF purchasing program: Micro-evidence from ETF balance sheet data and equity repo trading data." WINPEC Working Paper Series No.E1811.

Matsuki, T., K. Sugimoto and K. Satoma (2015). "Effects of the bank of japan’s current quantitative and qualitative easing." Economics Letters 133: 112-116.

Miyao, R. and T. Okimoto (2020). "Regime shifts in the effects of japan’s unconventional monetary policies." The Manchester School 88: 749-772.

Rogers, J. H., C. Scotti and J. H. Wright (2014). "Evaluating asset-market effects of unconventional monetary policy: A multi-country review." Economic Policy 29: 749-799.

Shirota, T. (2018) "Evaluating the unconventional monetary policy in stock markets : A semi-parametric approach." Discussion Paper, Series A, No.2018-322, Hokkaido University.

Sudo, N. and M. Tanaka (2021). "Quantifying stock and flow effects of QE." Journal of Money, Credit and Banking 53: 1719-1755.

Takahashi, H. and K. Yamada (2021). "When the japanese stock market meets covid-19: Impact of ownership, china and us exposure, and esg channels." International Review of Financial Analysis 74: 101670.

Takeda, Y. and Y. Yajima (2014) "Searching for the effects of unconventional monetary policy: The case of the Bank of Japan." Japanese Journal of Monetary and Financial Economics 2: 1-58.

安達孔・北村 冨行・平木 一浩(2021)「日本銀行のETF 買入れが株式市場のリスク・プレミアムに及ぼす影響」日本銀行ワーキングペーパーシリーズ No.21-J-6.

井出真吾・竹原均(2020)「日銀によるETF買入れがリスクプレミアムに与えた影響ー期待倒産確率調整後インプライド自己資本コストを用いた分析ー」証券アナリストジャーナル 2020.7: 42-51.

井出真吾・南正太郎(2013)「「日銀のETF買入が市場を歪めている」は本当か─現物株市場に及ぼす影響の一考察」月間資本市場 No.335: 18-25.

植田和男(2012)「非伝統的金融政策の有効性」大垣昌夫・小川一夫・小西秀樹・田渕隆俊編『現代経済学の潮流 2012』第1章, 東洋経済新報社.

大森健吾(2020)「日本銀行によるリスク性資産の買入れ―効果・副作用・出口の議論―」調査と情報 No. 1108: 1-12.

小林毅(2017)「量的・質的金融緩和政策が株式・J-REIT市場に与えた影響」生活経済学研究 46: 1-10.

芹田敏夫・花枝英樹(2017)「ETFが現物株式市場に与える影響」月間資本市場 No.387: 28-37.

竹田陽介・矢嶋康次(2013)『非伝統的金融政策の経済分析: 資産価格からみた効果の検証』 東洋経済新報社.

原田喜美枝(2017)「日本銀行のETF 買入政策と日経平均株価銘柄入れ替えのイベント・スタディ」証券経済研究, 第100号: 75-90.

平山賢一(2021)『日銀ETF問題』中央経済社.

④金利操作・量的緩和の実体経済への効果(構造VAR分析)

Baba, N. and S. Nishioka, N. Oda, and M. Shirakawa, K. Ueda, and H. Ugai (2005) "Japan's deflation, problems in the financial system and monetary policy." BIS Working Paper No. 188.

Fujiwara, I. (2006). "Evaluating monetary policy when nominal interest rates are almost zero." Journal of the Japanese and International Economies 20: 434-453.

Girardin, E. and Z. Moussa (2011). "Quantitative easing works: Lessons from the unique experience in japan 2001–2006." Journal of International Financial Markets, Institutions and Money 21: 461-495.

Hanisch, M. (2017). "The effectiveness of conventional and unconventional monetary policy: Evidence from a structural dynamic factor model for japan." Journal of International Money and Finance 70: 110-134.

Hayashi, F. and J. Koeda (2014). "Exiting from quantitative easing." NBER Working Paper #19938.

Hayashi, F. and J. Koeda (2019). "Exiting from quantitative easing." Quantitative Economics 10: 1069-1107.

Hiroyuki Kubota, H. and M. Shintani (2023) "Macroeconomic effects of monetary policy in Japan: An analysis using interest rate futures surprises." CARF Working Paper CARF-F-555.

Honda, Y., Kuroki, Y. & Tachibana, M. (2013). An injection of base money at zero interest rates: Empirical evidence from the Japanese experience 2001-2006. Japanese Journal of Monetary and Financial Economics, 1, 1-24.

Hosono, K and S. Ishobe (2014). "The financial market impact of unconventional monetary policies in the U.S., the U.K., the Eurozone, and Japan." PRI Discussion Paper Series No.14A-05.

Ijiri, H. (2016) "Re-evaluating Japan’s quantitative easing policy (2001–2006): An application of the TVP-VAR model." Japanese Journal of Monetary and Financial Economics 4: 1-17.

Ikeda, D., S. Li, S. Mavroeidis and F. Zanetti "Testing the effectiveness of unconventional monetary policy in Japan and the United States." IMES Discussion Paper Series No. 2020-E-10.

Inoue, T. and T. Okimoto (2008). "Were there structural breaks in the effects of japanese monetary policy? Re-evaluating policy effects of the lost decade." Journal of the Japanese and International Economies 22: 320-342.

Iwata, S. "Monetary policy and the term structure of interest rates when short-term rates are close to zero." Monetary and Economic Studies 28: 59-77.

Iwata, S. and S. Wu (2006). "Estimating monetary policy effects when interest rates are close to zero." Journal of Monetary Economics 53: 1395-1408.

Kimura, T. and J. Nakajima (2013) “Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach”, mimeo.

Kimura, T.,Kobayashi, H., Muranaga, J., & Ugai, H. (2002). The effect of the increase in monetary base on Japan’s economy at zero interest rates: An empirical analysis. IMES discussion paper, no. 2002-E-22.

Koeda, J. (2018). "Macroeconomic effects of quantitative and qualitative monetary easing measures." IMES Discussion Paper No. 2018-E-16.

Koeda, J. (2019). "Macroeconomic effects of quantitative and qualitative monetary easing measures." Journal of the Japanese and International Economies 52: 121-141.

Kubota, H. I. Muto, and M. Shintani (2022) "Monetary policy, labor force participation, and wage rigidity." IMES Discussion Paper No. 2022-E-17

Kwon, E. (1998). "Monetary policy, land prices, and collateral effects on economic fluctuations: Evidence from japan." Journal of the Japanese and International Economies 12: 175-203.

Matousek, R., S. Τ. Papadamou, A. Šević and N. G. Tzeremes (2019). "The effectiveness of quantitative easing: Evidence from japan." Journal of International Money and Finance 99: 102068.

Matsuki, T., K. Sugimoto and K. Satoma (2015). "Effects of the bank of japan’s current quantitative and qualitative easing." Economics Letters 133: 112-116.

Matsumoto, R. H. Morita and T. Ono (2022) "Central bank information effects in Japan: The role of uncertainty channel." HIAS discussion paper HIAS-E-126.

Michaelis, H. and S. Watzka (2017). "Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in japan over time?" Journal of International Money and Finance 70: 204-233.

Miyao, R. (2000). "The role of monetary policy in Japan: A break in the 1990s?" Journal of the Japanese and International Economies 14: 366-384.

Miyao, R. (2002). "The effects of monetary policy in Japan." Journal of Money, Credit and Banking 34: 376-392.

Miyao, R. and T. Okimoto (2017). "The macroeconomic effects of Japan's unconventional monetary policies." RIETI Discussion Paper Series 17-E-065.

Miyao, R. and T. Okimoto (2020). "Regime shifts in the effects of japan’s unconventional monetary policies." The Manchester School 88: 749-772.

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連絡先:内田 浩史 〒657-8501 神戸市灘区六甲台2-1 神戸大学大学院経営学研究科