Discussion Paper Series

IMES Discussion Paper Series is circulated in order to stimulate discussion and comments. Views expressed in Discussion Paper Series are those of authors and do not necessarily reflect those of the Bank of Japan or the Institute for Monetary and Economic Studies.

INDEX
2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996
List for Each Publishing Year (on the Bank of Japan Web Site)

Click the title to obtain an abstract of the thesis

2016

No.Author(s)Title/KeywordsDateFull Text (PDF)
2016-E-13 Toshiyuki Sakiyama, Tetsuya Yamada
Market Liquidity and Systemic Risk in Government Bond Markets:
A Network Analysis and Agent-Based Model Approach

/Market Liquidity; Government bond markets; Quantitative and Qualitative Easing; Network analysis; Systemic risk; Agent-based model
2016-10 1,266 KB
2016-E-12 Kentaro Iwatsubo, Tomoki Taishi Quantitative Easing and Liquidity in the Japanese Government Bond Market
/Monetary Policy; Quantitative Easing; Liquidity; Government Bond
2016-10 633 KB
2016-E-11 Richard Dennis Durations at the Zero Lower Bound
/Monetary policy; zero lower bound; New Keynesian
2016-08 504 KB
2016-E-10 Ippei Fujiwara, Timothy Kam, Takeki Sunakawa Sustainable International Monetary Policy Cooperation
/Monetary policy cooperation; Sustainable plans; Welfare
2016-08 543 KB
2016-E-9 Tetsuya Adachi, Takashi Asano, Tatsushi Okuda Simultaneous Estimation of Cost of Equity and Expected Earnings of Individual Firms with the Residual Income Model
/Implied cost of equity; Residual income model; Quasi-maximum likelihood approach
2016-08 866 KB
2016-E-8 Hiroshi Fujiki, Charles M. Kahn Choice of Collateral Asset and the Cross-Border Effect of Automatic Stays
/repo market; the exemption from automatic stays; collateral; cross-border financial transaction
2016-07 545 KB
2016-E-7 Naoshi Tsuchida, Toshiaki Watanabe, Toshinao Yoshiba The Intraday Market Liquidity of Japanese Government Bond Futures
/Japanese government bond (JGB); market liquidity; liquidity indicator; transaction data (Revised on Sep. 29, 2016)
2016-07 1,103 KB
2016-E-6 Yasufumi Gemma Money Illusion Matters for Consumption-Saving Decision-Making:
An Experimental Investigation

/Consumption-saving decision-making; Money illusion; Economic experiment
2016-04 412 KB
2016-E-5 Takemasa Oda Optimal Inflation Rate in a Life-Cycle Economy
/Friedman rule; Zero lower bound; Tobin effect; Inflation tax; Redistribution
2016-04 316 KB
2016-E-4 Sohei Kaihatsu, Koichiro Kamada, Mitsuru Katagiri Theoretical Foundations for Quantitative Easing
/Liquidity trap; Quantitative easing; Monetary policy rule
2016-03 484 KB
2016-E-3 Pierre L. Siklos Forecast Disagreement and the Inflation Outlook:
New International Evidence

/forecast disagreement; inflation; central bank communication
2016-03 973 KB
2016-E-2 Kenji Suganuma Upstreamness in the Global Value Chain:
Manufacturing and Services

/Upstreamness; Global value chain; Production fragmentation; I-O tables
2016-02 860 KB
2016-E-1 Daisuke Ikeda, Yasuko Morita The Effects of Barriers to Technology Adoption on Japanese Prewar and Postwar Economic Growth
/Japan; Barriers to technology adoption; Investment specific technology; Catch-up; Postwar miracle
2016-01 423 KB

2015

No.Author(s)Title/KeywordsDateFull Text (PDF)
2015-E-14 Azusa Takeyama, Naoshi Tsuchida The Interaction between Funding Liquidity and Market Liquidity: Evidence from Subprime and European Crises
/Funding Liquidity; Market Liquidity; Limits of Arbitrage
2015-09 1,976 KB
2015-E-13 Yushi Endo, Takushi Kurozumi, Takemasa Oda, Kenichirou Watanabe Monetary Policy: Its Effects and Implementation:
Summary of the 2015 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan
2015-09 314 KB
2015-E-12 Masanao Itoh, Ryoji Koike, Masato Shizume Bank of Japan's Monetary Policy in the 1980s:
a View Perceived from Archived and Other Materials

/Monetary policy management; Price stability in the medium and long term; Financial imbalance; External imbalance; Financial deregulation
2015-08 1,367 KB
2015-E-11 Tetsuya Adachi, Yoshihiko Uchida Variation of Wrong-Way Risk Management and Its Impact on Security Price Changes
/Wrong-way risk; Systemic risk; Jump-diffusion process; Asset pricing; Market microstructure
2015-07 543 KB
2015-E-10 Ichiro Fukunaga, Naoya Kato, Junko Koeda Maturity Structure and Supply Factors in Japanese Government Bond Markets
/Japanese Government Bonds; Term structure of interest rates; Preferred habitat; Unconventional monetary policy
2015-07 1,370 KB
2015-E-9 Gauti B. Eggertsson, Neil R. Mehrotra A Model of Secular Stagnation
/Secular stagnation; monetary policy; zero lower bound
2015-07 857 KB
2015-E-8 Antoine Martin, James McAndrews, Ali Palida, David Skeie
Federal Reserve Tools for Managing Rates and Reserves
/monetary policy; fixed-rate full allocation overnight reverse repurchases; term deposit facility; interest on excess reserves; FOMC; banking
2015-07 293 KB
2015-E-7 Marcel Fratzscher, Marco Lo Duca, Roland Straub On the International Spillovers of US Quantitative Easing
/monetary policy; quantitative easing; portfolio choice; capital flows; Federal Reserve; United States; policy responses; emerging markets; panel data
2015-07 389 KB
2015-E-6 Yıldız Akkaya, Refet S. Gürkaynak, Burçin Kısacıkoğlu, Jonathan H. Wright Forward Guidance and Asset Prices
/Forward guidance; zero lower bound; term structure; event study
2015-07 330 KB
2015-E-5 Barry Eichengreen Wall of Worries: Reflections on the Secular Stagnation Debate
/Secular stagnation; Real interest rates; Economic growth
2015-06 262 KB
2015-E-4 Frank J. Fabozzi, Rosella Giacometti, Naoshi Tsuchida The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads
/independent component analysis (ICA); credit default swap (CDS); Eurozone sovereign debt crisis; redenomination risk
2015-06 511 KB
2015-E-3 Eri Egawa, Akira Otani, Toshiyuki Sakiyama What Determines Institutional Arrangements for Macroprudential Policy?
/Macroprudential policy; Ordered probit analyses; Institutional arrangements; Financial stability committee
2015-06 292 KB
2015-E-2 Kiminori Matsuyama, Iryna Sushko, Laura Gardini Revisiting the Model of Credit Cycles with Good and Bad Projects
/borrower net worth; composition of credit flows; financial instability; corridor stability; asymmetric cycles; regime-switching; bifurcation analysis of a piecewise smooth nonlinear dynamical system
2015-02 696 KB
2015-E-1 Toshinao Yoshiba Risk Aggregation with Copula for Banking Industry
/copula; multivariate distribution; tail dependence; risk aggregation; economic capital
2015-01 170 KB

2014

No.Author(s)Title/KeywordsDateFull Text (PDF)
2014-E-17 Vipul Bhatt, Masao Ogaki, Yuichi Yaguchi Normative Behavioral Economics Based on Unconditional Love and Moral Virtue
/Normative economics; Behavioral economics; Weak Pareto principle; Principle of learning to unconditionally love; Virtue ethics; Endogenous preferences
2014-12 346 KB
2014-E-16 Daisuke Ikeda, Takushi Kurozumi Post-Crisis Slow Recovery and Monetary Policy
/Financial shock; Endogenous TFP growth; Slow recovery; Monetary policy; Welfare cost of business cycle
2014-12 425 KB
2014-E-15 Ichiro Fukunaga, Naoya Kato Japanese Repo and Call Markets Before, During, and Emerging from the Financial Crisis
/repurchase agreement (repo); call markets; monetary policy implementation; financial crisis; market segmentation; vector error correction model; threshold ARCH
2014-12 534 KB
2014-E-14 Guillaume Plantin, Hyun Song Shin Destabilizing Carry Trades
/currency carry trades; inflation targeting; financial instability
2014-12 237 KB
2014-E-13 Tobias Adrian, Nellie Liang Monetary Policy, Financial Conditions, and Financial Stability
/risk taking channel of monetary policy; monetary policy transmission; monetary policy rules; financial stability; financial conditions; macroprudential policy
2014-12 446 KB
2014-E-12 Alicia Garcia-Herrero How Close is Asia to an Optimal Currency Area in Terms of Business Cycle Co-Movement?
/Business cycle synchronization; Optimal Currency Area; Asian economic integration; Structural Vector Auto Regression; ASEAN+3
2014-12 306 KB
2014-E-11 Theoharry Grammatikos, Thorsten Lehnert, Yoichi Otsubo Market Perceptions of US and European Policy Actions Around the Subprime Crisis
/Event study; Policy announcement; Subprime crisis
2014-11 251 KB
2014-E-10 Makoto Nakano, Fumitaka Otsubo, Yusuke Takasu Effects of Accounting Conservatism on Corporate Investment Levels, Risk Taking, and Shareholder Value
/conditional conservatism; unconditional conservatism; neutrality; investment level; monitoring; risk taking; shareholder value (stock return)
2014-10 645 KB
2014-E-9 Yasuo Hirose, Atsushi Inoue The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model
/Zero lower bound; DSGE model; Parameter bias; Bayesian estimation
2014-10 271 KB
2014-E-8 Marvin Goodfriend Monetary Policy as a Carry Trade
/bond market carry trade; Federal Reserve surplus capital; Federal Reserve Treasury remittances; inflation objective; interest on reserves; monetary policy at the zero interest bound; term premium
2014-09 187 KB
2014-E-7 Mark Gertler, Nobuhiro Kiyotaki Banking, Liquidity and Bank Runs in an Infinite Horizon Economy
/Financial Intermediation; Liquidity Mismatch; Financial Accelerator; Rollover Risk
2014-08 489 KB
2014-E-6 Pablo Federico, Carlos A. Vegh, Guillermo Vuletin Reserve Requirement Policy over the Business Cycle
/macroprudential; reserve requirement; monetary policy; exchange rate; business cycle
2014-08 219 KB
2014-E-5 Takatoshi Ito We Are All QE-sians Now
/Quantitative Easing; unconventional monetary policy; inflation targeting; inflation expectation; central bank balance sheet; zero interest rate policy
2014-08 857 KB
2014-E-4 Yoshihiko Uchida, Daisuke Yoshikawa A Pricing Theory under a Finite Number of Securities Issued:
A Synthesis of “Market Microstructure” and “Mathematical Finance”

/Security price; Number of securities issued; Risk neutral pricing rule; Market microstructure; No-arbitrage; Quasi risk aversion; Quasi risk neutral measure
2014-05 761 KB
2014-E-3 Akio Hattori, Kentaro Kikuchi, Fuminori Niwa, Yoshihiko Uchida
A Survey of Systemic Risk Measures:
Methodology and Application to the Japanese Market

/Systemic risk; Risk measure; Early warning indicators; Stress test; Scenario analysis; Macro-prudence; Financial crisis
2014-04 695 KB
2014-E-2 Vipul Bhatt, Masao Ogaki, Yuichi Yaguchi A Reformulation of Normative Economics for Models with Endogenous Preferences
/Moral virtue ethics; Welfarism; Cultural transmission of preferences; Tough love
2014-04 260 KB
2014-E-1 Olivier Jeanne Macroprudential Policies in a Global Perspective
/Macroprudential Policy; Capital Flows; Capital Controls; International Reserves; International Coordination; Liquidity Trap
2014-02 447 KB

2013

No.Author(s)Title/KeywordsDateFull Text (PDF)
2013-E-14 Michael W. Klein, Jay C. Shambaugh Rounding the Corners of the Policy Trilemma:
Sources of Monetary Policy Autonomy

/Exchange Rate Regimes; Trilemma; Monetary Policy; Capital Controls
2013-12 502 KB
2013-E-13 Hideki Konishi, Kozo Ueda Aging and Deflation from a Fiscal Perspective
/Deflation; Fiscal theory of the price level; Population aging; Redistribution across generations
2013-12 286 KB
2013-E-12 Naohisa Hirakata, Takushi Kurozumi The International Finance Multiplier in Business Cycle Fluctuations
/Business cycle fluctuations; International finance multiplier mechanism; Financial accelerator mechanism
2013-12 523 KB
2013-E-11 Yoshihiro Tokuga, Yoko Ota Influence of the Expansion of Fair Valuation on the Contracting Role of Accounting: A Normative Study
/fair value; valuation role; contracting role; executive compensation; financial covenants; dividend restrictions; financial regulation and supervision
2013-12 227 KB
2013-E-10 Gary D. Hansen, Selahattin Imrohoroglu Fiscal Reform and Government Debt in Japan: A Neoclassical Perspective
/Government debt; fiscal policy; aging; Japan
2013-10 366 KB
2013-E-9 Guillermo Calvo Puzzling over the Anatomy of Crises:
Liquidity and the Veil of Finance

/Financial Crises; Bubbles; Sudden Stop
2013-09 564 KB
2013-E-8 Maurice Obstfeld On Keeping Your Powder Dry:
Fiscal Foundations of Financial and Price Stability

/Fiscal policy; Financial stability; Monetary policy; Financial crisis; Banking crisis; Bank resolution
2013-09 333 KB
2013-E-7 Hiroshi Fujiki Institutional Designs to Alleviate Liquidity Shortages in a Two-Country Model
/Foreign exchange market; CLS; Cross-border collateral arrangements; Liquidity swap lines
2013-08 275 KB
2013-E-6 Naohisa Hirakata, Takeki Sunakawa Financial Frictions, Capital Misallocation, and Structural Change
/Financial frictions; heterogeneous firms; capital misallocation; total factor productivity; structural change
2013-06 432 KB
2013-E-5 Naohisa Hirakata, Mitsuru Katagiri Capital Flow, Foreign Direct Investment and Home Market Effect
/Foreign Direct Investment (FDI); Capital Flows; Home Market Effect
2013-06 317 KB
2013-E-4 Hiroshi Fujiki Japanese Money Demand from the Regional Data:An Update and Some Additional Results
/Demand for money; Income elasticity of money demand
2013-06 1,174 KB
2013-E-3 Hiroshi Fujiki, Cheng Hsiao Disentangling the Effects of Multiple Treatments
— Measuring the Net Economic Impact of the 1995 Great Hanshin-Awaji Earthquake

/Multiple Treatment Effects; Panel Data; Great Hanshin-Awaji Earthquake
2013-06 1,078 KB
2013-E-2 Robert Dekle Real Exchange Rates in a Model of Structural Change: Applications to the Real Yen-Dollar and Chinese RMB-Dollar Exchange Rates
/equilibrium real exchange rates; Balassa-Samuelson effect; structural transformation; sectoral change; productivity
2013-05 492 KB
2013-E-1 Annelise Riles Is New Governance the Ideal Architecture for Global Financial Regulation?
/International Financial Regulation; Global Systemically Important Financial Institutions; Financial Stability Board; Regulatory Reform; New Governance; Regulatory Pluralism
2013-01 769 KB

2012

No.Author(s)Title/KeywordsDateFull Text (PDF)
2012-E-17 Hiroshi Fujiki, Naohisa Hirakata, Etsuro Shioji Aging and Household Stockholdings: Evidence from Japanese Household Survey Data
/Stockholding Puzzle; Participation; Online Financial Transactions
2012-11 671 KB
2012-E-16 Mitsuru Katagiri, Ryo Kato, Takayuki Tsuruga Managing Financial Crises: Lean or Clean?
/Financial Crisis; Credit Externalities; Bailout; Macroprudential Policy
2012-11 265 KB
2012-E-15 Azusa Takeyama, Nick Constantinou, Dmitri Vinogradov Credit Risk Contagion and the Global Financial Crisis
/Credit Default Swap (CDS); Probability of Default (PD); Loss Given Default (LGD); Credit Risk Contagion
2012-10 585 KB
2012-E-14 Azusa Takeyama, Nick Constantinou, Dmitri Vinogradov A Framework for Extracting the Probability of Default from Stock Option Prices
/probability of default (PD); option pricing under credit risk; perturbation method
2012-10 395 KB
2012-E-13 James Bullard, Carlos Garriga, Christopher J. Waller Demographics, Redistribution, and Optimal Inflation
/monetary policy; inflation bias; deflation; central bank design
2012-09 474 KB
2012-E-12 Alan J. Auerbach Societal Aging: Implications for Fiscal Policy
/deficits; fiscal imbalances; tax reform; political economy; stabilization policy
2012-09 441 KB
2012-E-11 Ronald Lee Macroeconomic Implications of Demographic Changes:A Global Perspective
/population aging; macroeconomic; demographic transition; human capital; economic growth; support ratio; demand for wealth
2012-09 1,205 KB
2012-E-10 Otmar Issing Central Banks – Paradise Lost
/Central banking; Financial stability; Monetary policy
2012-09 377 KB
2012-E-9 Marvin Goodfriend The Elusive Promise of Independent Central Banking
/Bank of England; central bank independence; credit turmoil of 2007-8; Federal Reserve; Great Inflation; lender of last resort; monetary policy
2012-09 269 KB
2012-E-8 Kentaro Kikuchi Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions
/affine term structure model; quadratic Gaussian term structure model; mixture of normal distributions; unscented Kalman filter; maximum likelihood method
2012-06 756 KB
2012-E-7 Masazumi Hattori, Kohei Shintani, Hirofumi Uchida Authority and Soft Information Production within a Bank Organization
/Authority; Soft information; Organizational structure; Banks
2012-05 214 KB
2012-E-6 Ippei Fujiwara, Hibiki Ichiue, Yoshiyuki Nakazono, Yosuke Shigemi Financial Markets Forecasts Revisited:
Are they Rational, Herding or Bold?

/Anchoring; Bold; Herding; Survey Forecasts
2012-05 146 KB
2012-E-5 Yasushi Asako, Tetsuya Matsubayashi, Michiko Ueda Seniority, Term Limits, and Government Spending: Theory and Evidence from the United States
/Legislative Term Limits; Seniority; Legislative Bargaining; Fiscal Spending
2012-04 213 KB
2012-E-4 Kentaro Kikuchi, Kohei Shintani Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data
/coupon-bearing government bond; zero coupon yield; piecewise polynomial function
2012-04 440 KB
2012-E-4: Supplemental Data Kentaro Kikuchi, Kohei Shintani Supplemental Data: Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data
/coupon-bearing government bond; zero coupon yield; piecewise polynomial function
2012-04 1,458 KB
2012-E-3 Mitsuru Katagiri Economic Consequences of Population Aging in Japan: Effects through Changes in Demand Structure
/Population Aging; Matching; Productivity; Deflation
2012-03 387 KB
2012-E-2 R. Anton Braun, Tomoyuki Nakajima Why Prices Don't Respond Sooner to a Prospective Sovereign Debt Crisis
/Sovereign Debt Crisis; Deflation; Fiscal Risk; Leverage; Borrowing Constraint
2012-03 932 KB
2012-E-1 Mikhail Golosov, Maxim Troshkin, Aleh Tsyvinski Optimal Dynamic Taxes
/Optimal taxation; Efficiency; Optimal Social insurance
2012-02 408 KB

2011

No.Author(s)Title/KeywordsDateFull Text (PDF)
2011-E-28 Mitsuru Katagiri A Macroeconomic Approach to Corporate Capital Structure
/Corporate Capital Structure; Dynamic Trade-off Theory; Heterogeneous Firm Model
2011-12 409 KB
2011-E-27 Atif Mian, Amir Sufi, Francesco Trebbi Foreclosures, House Prices, and the Real Economy 2011-09 585 KB
2011-E-26 Fabrizio Perri, Vincenzo Quadrini International Recessions 2011-09 717 KB
2011-E-25 Gary Gorton, Guillermo Ordonez Collateral Crises 2011-09 594 KB
2011-E-24 Kosuke Aoki, Kalin Nikolov Bubbles, Banks, and Financial Stability
/Rational bubbles; Financial Frictions; Financial Stability
2011-09 406 KB
2011-E-23 Charles A. E. Goodhart, Dimitrios P. Tsomocos The Role of Default in Macroeconomics
/Default; Transversality; Money; Bankruptcy cost; Asset bubbles; Resolution mechanisms
2011-09 321 KB
2011-E-22 Maurice Obstfeld International Liquidity: The Fiscal Dimension
/International liquidity; Sovereign debt; Euro zone crisis; Fiscal union; International Monetary Fund; Special Drawing Rights
2011-09 541 KB
2011-E-21 Florin O. Bilbiie, Ippei Fujiwara, Fabio Ghironi Optimal Monetary Policy with Endogenous Entry and Product Variety
/Entry; Optimal Inflation Rate; Price Stability; Product Variety; Ramsey-Optimal Monetary Policy
2011-09 824 KB
2011-E-20 Satoshi Yamashita, Toshinao Yoshiba Analytical Solution for the Loss Distribution of a Collateralized Loan under a Quadratic Gaussian Default Intensity Process
/default intensity; stochastic recovery; quadratic Gaussian; expected loss; measure change
2011-09 183 KB
2011-E-19 Bruce E. Aronson A Reassessment of Japan's Big Bang Financial Regulatory Reform
/Big Bang; Financial Deregulation; Financial Reform; Corporate Bond Market; Venture Capital; Financial Center
2011-08 243 KB
2011-E-18 Masato Ubukata, Toshiaki Watanabe Pricing Nikkei 225 Options Using Realized Volatility
/microstructure noise; Nikkei 225 stock index; non-trading hours; option pricing; realized volatility
2011-08 391 KB
2011-E-17 Masazumi Hattori, Kazuhiko Ohashi Detrimental Effects of Retention Regulation:Incentives for Loan Screening in Securitization under Asymmetric Information
/originate-to-distribute; securitization; asymmetric information; financial regulation; screening; verification; retention
2011-07 376 KB
2011-E-16 Nao Sudo Accounting for the Decline in the Velocity of Money in the Japanese Economy
/Velocity of Money; Liquidity Requirement; Financial Crises
2011-07 512 KB
2011-E-15 Ryo Kato, Takayuki Tsuruga Bank Overleverage and Macroeconomic Fragility
/Financial crisis; Liquidity shortage; Maturity mismatch; Pecuniary externalities
2011-07 318 KB
2011-E-14 Mario J. Crucini, Mototsugu Shintani Measuring International Business Cycles by Saving for a Rainy Day
/Error correction model; the Great Moderation; international comovement puzzle; permanent income hypothesis; stochastic trends; trend cycle decomposition
2011-06 784 KB
2011-E-13 Michal Franta Identification of Monetary Policy Shocks in Japan Using Sign Restrictions within the TVP-VAR Framework
/Structural vector autoregressive model; time-varying parameters; sign restrictions; unconventional monetary policy; zero lower bound
2011-06 184 KB
2011-E-12 Yoshiyuki Nakazono, Kozo Ueda Policy Commitment and Market Expectations:Lessons Learned from Survey Based Evidence under Japan's Quantitative Easing Policy
/Commitment policy; policy duration effect; unconventional monetary policy; zero lower bound
2011-06 2,268 KB
2011-E-11 Hirokazu Ishise The World Has More Than Two Countries: Implications of Multi-Country International Real Business Cycle Models
/International Real Business Cycles; Cross-Country Correlations; Multi-Country; Country Size
2011-05 187 KB
2011-E-10 Naohisa Hirakata, Nao Sudo, Kozo Ueda Capital Injection, Monetary Policy, and Financial Accelerators
/Financial Accelerators; Spread-adjusted Taylor rule; Capital Injection
2011-03 523 KB
2011-E-9 Jouchi Nakajima Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
/Bayesian inference; Markov chain Monte Carlo; Monetary policy; State space model; Structural vector autoregression; Stochastic volatility; Time-varying parameter
2011-03 456 KB
2011-E-8 Jouchi Nakajima Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach
/Monetary policy; Zero lower bound of nominal interest rates; Markov chain Monte Carlo; Time-varying parameter vector autoregression with stochastic volatility
2011-03 244 KB
2011-E-7 Fabio Ghironi, Karen K. Lewis Equity Sales and Manager Efficiency Across Firms and the Business Cycle
/Equity Sales; Managerial Efficiency; Firm Size; Business Cycles
2011-03 348 KB
2011-E-6 Kumiko Okazaki, Masazumi Hattori, Wataru Takahashi The Challenges Confronting the Banking System Reform in China: An Analysis in Light of Japan's Experience of Financial Liberalization
/Banking System Reform; Financial Liberalization; State-owned Commercial Banks; Rent for Banks
2011-03 1,039 KB
2011-E-5 Hong Bum Jang Financial Integration and Cooperation in East Asia: Assessment of Recent Developments and Their Implications
/Trade and Financial Integration; Cross-Border Investment and Settlement; Trade-Finance Linkage; Free Trade Agreements; Asian Bond Market; East Asia; Global Economic and Financial Crisis
2011-02 3,563 KB
2011-E-4 Guillaume Plantin Good Securitization, Bad Securitization
/banking; securitization; liquidity
2011-02 129 KB
2011-E-3 Shigenori Shiratsuka A Macroprudential Perspective in Central Banking
/Macroprudential policy; Procyclicality; Financial imbalances; Asset-price and credit bubble; Constrained discretion.
2011-02 298 KB
2011-E-2 Kumiko Okazaki, Tomoyuki Fukumoto Macro-financial Linkage and Financial Deepening in China after the Global Financial Crisis
/Macro-financial Linkage; Financial Deepening; Cross-border Capital Flow; Bank Lending
2011-01 930 KB
2011-E-1 Selahattin Imrohoroglu, Nao Sudo Will a Growth Miracle Reduce Debt in Japan?
/Government Debt; Productivity; Fiscal Policy
2011-01 390 KB

2010

No.Author(s)Title/KeywordsDateFull Text (PDF)
2010-E-26 Pierre L. Siklos Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation
/forecast disagreement; central bank transparency; inflation, quantile regression; panel regression
2010-11 891 KB
2010-E-25 Naoki Makimoto, Yoshihiko Sugihara Optimal Execution of Multiasset Block Orders under Stochastic Liquidity
/optimal execution strategy; market impact; transaction cost; stochastic liquidity; limit order book; price manipulation; mean-variance optimization
2010-11 1,199 KB
2010-E-24 Junko Koeda, Ryo Kato The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates
/GARCH; Estimation; Term Structure of Interest Rates; Financial Markets and the Macro-economy; Monetary Policy
2010-10 474 KB
2010-E-23 Selahattin Imrohoroglu, Nao Sudo Productivity and Fiscal Policy in Japan: Short Term Forecasts from the Standard Growth Model
/Primary Balance; Fiscal Policy; Productivity; Growth Theory
2010-09 408 KB
2010-E-22 Jouchi Nakajima, Nao Sudo, Takayuki Tsuruga How well do the sticky price models explain the disaggregated price responses to aggregate technology and monetary policy shocks?
/Disaggregated Prices; Technology Shocks; Monetary Policy Shocks; Sticky Price Models
2010-09 371 KB
2010-E-21 Shigenori Shiratsuka, Wataru Takahashi, Yuki Teranishi, Kozo Ueda Future of Central Banking under Globalization: Summary of the 2010 International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan 2010-09 160 KB
2010-E-20 Pierre-Olivier Gourinchas, Helene Rey, Nicolas Govillot Exorbitant Privilege and Exorbitant Duty 2010-08 707 KB
2010-E-19 Makoto Saito, Shiba Suzuki, Tomoaki Yamada Can Cross-Border Financial Markets Create Endogenously Good Collateral in a Crisis?
/Solvency Constraints; Collateral Constraints; Dynamic Optimal Contract; Catastrophic Shocks
2010-08 204 KB
2010-E-18 Franklin Allen, Elena Carletti Financial Regulation Going Forward
/Bubbles; Monetary Policy; Global Imbalances
2010-07 304 KB
2010-E-17 Pierpaolo Benigno, Ester Faia Globalization, Pass-Through and Inflation Dynamic
/AS equations; Oligopolistic Competition; Inflation Dynamic
2010-07 388 KB
2010-E-16 Kozo Ueda Banking Globalization and International Business Cycles
/Financial accelerator; financial intermediaries; correlation (quantity) puzzle; business cycle synchronization; contagion; monetary policy
2010-07 699 KB
2010-E-15 William R. White Some Alternative Perspectives on Macroeconomic Theory and Some Policy Implications 2010-07 434 KB
2010-E-14 Bennett T. McCallum The Future of Central Banking: A Lesson From United States History 2010-07 57 KB
2010-E-13 Naohisa Hirakata, Nao Sudo, Kozo Ueda Do Banking Shocks Matter for the U.S. Economy?
/Monetary Policy; Financial Accelerators; Financial Intermediaries; Chained Credit Contracts
2010-07 498 KB
2010-E-12 Kozo Ueda A Time-Invariant Duration Policy under the Zero Lower Bound
/Zero lower bound on nominal interest rates; optimal monetary policy; liquidity trap; time-inconsistency
2010-07 390 KB
2010-E-11 Ippei Fujiwara, Tomoyuki Nakajima, Nao Sudo, Yuki Teranishi Global Liquidity Trap
/Zero Interest Rate Policy; Two-country Model; International Spillover; Monetary Policy Coordination
2010-07 480 KB
2010-E-10 Satoshi Yamashita, Toshinao Yoshiba Analytical Solution for Expected Loss of a Collateralized Loan: A Square-root Intensity Process Negatively Correlated with Collateral Value
/stochastic recovery; default intensity model; affine diffusion; extended affine; survival probability; measure change
2010-06 162 KB
2010-E-9 Yoshihiko Sugihara, Nobuyuki Oda An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes
/implied distribution; implied moment; jump diffusion process; nonparametric method; GMM; characteristic function GMM
2010-06 6,440 KB
2010-E-8 Tetsuya Yamada Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A Real Options Approach
/Low interest rate environment; Investment behavior; Credit risk; Real options model; Corporate finance; Time-inconsistent discount rate; Behavioral economics
2010-06 478 KB
2010-E-7 Yasushi Asako Partially Binding Platforms and the Advantages of Being an Extreme Candidate
/Electoral Competition; Campaign Promise; Signaling Game
2010-05 430 KB
2010-E-6 Jouchi Nakajima, Shigenori Shiratsuka, Yuki Teranishi The Effects of Monetary Policy Commitment: Evidence from Time-varying Parameter VAR Analysis
/Policy commitment; policy duration effect; expectations management; Bayesian estimation; time-varying parameter vector autoregression with stochastic volatility
2010-03 424 KB
2010-E-5 R. Anton Braun, Lena Mareen Koerber New Keynesian Dynamics in a Low Interest Rate Environment
/Government purchases; zero nominal interest rates; monetary policy
2010-03 429 KB
2010-E-4 Hiroshi Fujiki Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard
/Standing swap lines; Operations supplying US dollar funds outside the US; Cross-border collateral arrangements
2010-03 343 KB
2010-E-3 Ippei Fujiwara, Kozo Ueda The Fiscal Multiplier and Spillover in a Global Liquidity Trap
/Zero lower bound; two-country model; fiscal policy; beggar-thy-neighbor
2010-03 161 KB
2010-E-2 Klaus Adam, Albert Marcet Booms and Busts in Asset Prices 2010-02 420 KB
2010-E-1 Yasushi Asako Partially Binding Platforms: Political Promises as a Partial Commitment Device
/Electoral Competition; Median-voter Theorem; Valence; Campaign Platforms
2010-02 311 KB

2009

No.Author(s)Title/KeywordsDateFull Text (PDF)
2009-E-32 Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, Sylvia Früwirth-Scnatter Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
/Extreme values; Generalized extreme value distribution; Markov chain Monte Carlo; Mixture sampler; State space model; Stock returns
2009-11 630 KB
2009-E-31 Ippei Fujiwara, Nao Sudo, Yuki Teranishi Global Liquidity Trap: A Simple Analytical Investigation
/Optimal Monetary Policy Cooperation; Zero Lower Bound
2009-11 218 KB
2009-E-30 Naohisa Hirakata, Nao Sudo, Kozo Ueda Chained Credit Contracts and Financial Accelerators
/Chain of Credit Contracts; Net Worth of Financial Intermediaries; Cross-sectional Net Worth Distribution; Financial Accelerator effect
2009-11 474 KB
2009-E-29 Keisuke Otsu International Business Cycle Accounting
/Business Cycle Accounting; International Business Cycles
2009-11 417 KB
2009-E-28 Keisuke Otsu Accounting for Japanese Business Cycles: a Quest for Labor Wedges
/Business Cycle Accounting; Japanese Labor Market
2009-11 250 KB
2009-E-27 Hiroshi Fujiki, Migiwa Tanaka Demand for Currency, New Technology and the Adoption of Electronic Money: Evidence Using Individual Household Data
/Currency Demand; Transaction Demands for Money; Electronic Money
2009-11 291 KB
2009-E-26 Masazumi Hattori, Kazuhiko Ohashi Incentives to Issue Low-Quality Securitized Products in the OTD Business Model
/Originate-to-distribute; Securitization; Asymmetric information; Screening; Verification
2009-11 258 KB
2009-E-25 Shigenori Shiratsuka Size and Composition of the Central Bank Balance Sheet:Revisiting Japan's Experience of the Quantitative Easing Policy
/Quantitative easing; Credit easing; Unconventional monetary policy; Central bank balance sheet
2009-11 490 KB
2009-E-24 Ichiro Fukunaga, Naohisa Hirakata, Nao Sudo The Effects of Oil Price Changes on the Industry-Level Production and Prices in the U.S. and Japan
/Oil price; Identified VAR; Industry-level data; Japan
2009-10 473 KB
2009-E-23 Daisuke Nagakura Inconsistency of a Unit Root Test against Stochastic Unit Root Processes
/Locally Best Invariant Test; Consistency; Dickey-Fuller Test; LBI; RCA; STUR
2009-10 138 KB
2009-E-22 Takashi Nanjo, Makoto Kasuya Part-Paid Stock, Corporate Finance, and Investment: Economic Consequences of the Part-Paid Stock System and Supplementary Installments in the Early 1930s of Japan
/part-paid stock; joint-stock company; corporate finance; investment; financial system; interwar period; Great Depression
2009-09 400 KB
2009-E-21 Ichiro Fukunaga, Masashi Saito Asset Prices and Monetary Policy
/asset prices; monetary policy; financial frictions; policy tradeoffs
2009-09 391 KB
2009-E-20 Shigenori Shiratsuka, Wataru Takahashi, Kozo Ueda Financial System and Monetary Policy Implementation: Summary of the 2009 International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan 2009-08 111 KB
2009-E-19 Masazumi Hattori, Hyun Song Shin, Wataru Takahashi A Financial System Perspective on Japan's Experience in the Late 1980s
/Balance sheet; Commitment; Credit supply; Financial liberalization; Financial system perspective; Japan; Subprime crisis
2009-08 513 KB
2009-E-18 Maurice Obstfeld Lenders of Last Resort in a Globalized World
/Lender of Last Resort; Financial Crisis; Central Banking; International Monetary System; International Monetary Fund
2009-08 206 KB
2009-E-17 Bennett T. McCallum The Role of 'Determinacy' in Monetary Policy Analysis
/Determinacy; Learnability; Rational Expectations; Multiple Solutions; Monetary Policy
2009-08 168 KB
2009-E-16 Toshihiko Mukoyama On the Establishment Dynamics in the United States and Japan
/Establishment Dynamics; Sectoral Composition; Industry Dynamics Model; Reallocation
2009-07 249 KB
2009-E-15 Mariko Hatase, Mari Ohnuki Did the Structure of Trade and Foreign Debt Affect Reserve Currency Composition?Evidence from Interwar Japan
/Foreign Exchange Reserves; Gold Exchange Standard; Exchange Rate; Trade Strucutre; Debt Structure; Japan
2009-06 611 KB
2009-E-14 Yuki Teranishi Credit Spread and Monetary Policy
/Credit spread; optimal monetary policy
2009-06 274 KB
2009-E-13 Jouchi Nakajima, Munehisa Kasuya, Toshiaki Watanabe Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy
/Bayesian inference; Markov chain Monte Carlo; Monetary policy; State space model; Structural vector autoregressive model; Stochastic volatility; Time-varying parameter
2009-05 260 KB
2009-E-12 Rasmus Fatum Official Japanese Intervention in the JPY/USD Exchange Rate Market: Is It Effective and Through Which Channel Does It Work?
/Exchange Rates; Foreign Exchange Market Intervention; Channels of Transmission
2009-03 253 KB
2009-E-11 Daisuke Nagakura, Toshiaki Watanabe A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
/Realized Variance; Integrated Variance; Microstructure Noise
2009-03 531 KB
2009-E-10 Jouchi Nakajima, Yuki Teranishi The Evolution of Loan Rate Stickiness Across the Euro Area
/banking integration; sticky loan interest rate; Bayesian analysis; time-varying regression; Markov chain Monte Carlo
2009-03 407 KB
2009-E-9 Ippei Fujiwara, Yuki Teranishi Financial Stability in Open Economies
/optimal monetary policy; policy coordination; global banking; international staggered loan contracts
2009-03 426 KB
2009-E-8 Kozo Ueda Determinants of Households' Inflation Expectations
/expected inflation; structured vector autoregression; monetary policy
2009-03 643 KB
2009-E-7 Takashi Shibata, Tetsuya Yamada Dynamic Model of Credit Risk in Relationship Lending:A Game-theoretic Real Options Approach
/Credit risk; Relationship lending; Real option; Game theory; Concentration risk
2009-03 309 KB
2009-E-6 Chih-nan Chen, Tsutomu Watanabe, Tomoyoshi Yabu A New Method for Identifying the Effects of Foreign Exchange Interventions
/Foreign exchange intervention; Intraday data; Markov-chain Monte Carlo method; Endogeneity problem; Temporal aggregation
2009-02 486 KB
2009-E-5 Kozo Ueda Central Bank Communication and Multiple Equilibria
/Transparency; disclosure; coordination
2009-02 136 KB
2009-E-4 Michio Suzuki Consumption Smoothing without Secondary Markets for Small Durable Goods
/Durable Goods; Irreversibility; Consumption Insurance
2009-02 262 KB
2009-E-3 Patrick McGuire Bank Ties and Firm Performance in Japan:Some Evidence since FY2002
/Cross-Shareholding; Main Bank; Japanese Banks; Firm Performance
2009-01 324 KB
2009-E-2 Matthew Brzozowski, Martin Gervais, Paul Klein, Michio Suzuki Dimensions of Inequality in Canada
/Income Inequality; Consumption Inequality; Wealth Inequality
2009-01 493 KB
2009-E-1 Naohisa Hirakata, Nao Sudo Accounting for Oil Price Variation and Weakening Impact of the Oil Crisis
/Oil Price Accounting; DSGE Model; Total Factor Productivity (TFP)
2009-01 517 KB

2008

No.Author(s)Title/KeywordsDateFull Text (PDF)
2008-E-25 Nao Sudo, Yuki Teranishi Optimal Monetary Policy under Imperfect Financial Integration
/optimal monetary policy; financial integration; heterogeneous financial market; staggered loan contracts
2008-12 472 KB
2008-E-24 Daisuke Nagakura How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models
/Business Cycle Analysis; Trend; Cycle; Permanent Component; Transitory Component; Unobserved Components Model
2008-10 170 KB
2008-E-23 Jouchi Nakajima EGARCH and Stochastic Volatility:Modeling Jumps and Heavy-tails for Stock Returns
/Bayesian analysis; EGARCH; Heavy-tailed error; Jumps; Marginal likelihood; Markov chain Monte Carlo; Stochastic volatility
2008-09 433 KB
2008-E-22 Ippei Fujiwara, Keisuke Otsu, Masashi Saito The Global Impact of Chinese Growth
/Productivity; Terms of Trade; Growth; Open Economy
2008-09 307 KB
2008-E-21 Ippei Fujiwara Growth Expectation
/Expectations; Equilibrium Business Cycle; Technological Progress
2008-09 455 KB
2008-E-20 Tomohiro Sugo, Yuki Teranishi The Zero Interest Rate Policy
/Zero Interest Rate Policy; Optimal Interest Rate Rule
2008-08 261 KB
2008-E-19 Hirokazu Ishise, Nao Sudo Inventory-Theoretic Model of Money Demand, Multiple Goods, and Price Dynamics
/Baumol-Tobin model; Durable; Luxury; Credit goods; Monetary policy
2008-08 585 KB
2008-E-18 Ippei Fujiwara, Kazuo Fukuda, Ichiro Muto, Yosuke Shigemi, Wataru Takahashi Frontiers in Monetary Theory and Policy:
Summary of the 2008 International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan
2008-08 428 KB
2008-E-17 Hiroshi Fujiki, Cheng Hsiao Aggregate and Household Demand for Money:
Evidence from Public Opinion Survey on Household Financial Assets and Liabilities

/Demand for Money; Aggregation; Heterogeneity
2008-07 349 KB
2008-E-16 Ippei Fujiwara, Yasuo Hirose, Mototsugu Shintani Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach
/Bayesian Estimation; Business Cycles; News; Total Factor Productivity (TFP)
2008-07 564 KB
2008-E-15 Nao Sudo Sectoral Co-Movement, Monetary-Policy Shock, and Input-Output Structure
/Monetary Policy; Input-Output Matrix; Durables; Non-durables
2008-07 399 KB
2008-E-14 John B. Taylor The Way Back to Stability and Growth in the Global Economy 2008-07 152 KB
2008-E-13 Toshitaka Sekine, Yuki Teranishi Inflation Targeting and Monetary Policy Activism
/Inflation-targeting Policy; Monetary Policy Activism; New Keynesian Model; Markov chain Monte Carlo; Time-varying Parameter with Stochastic Volatility Model
2008-07 429 KB
2008-E-12 Kris James Mitchener, Mari Ohnuki Institutions, Competition, and Capital Market Integration in Japan
/Financial Market Development; Capital Market Integration; Economic Integration; Japanese Banks
2008-07 424 KB
2008-E-11 Ippei Fujiwara, Yuki Teranishi Real Exchange Rate Dynamics under Staggered Loan Contracts
/Financial Market Imperfections; Real Exchange Rates; Staggered Loan Contracts
2008-06 297 KB
2008-E-10 Graciela L. Kaminsky Crises and Sudden Stops: Evidence from International Bond and Syndicated-Loan Markets
/contagion; financial integration; globalization; international primary issuance; sudden stops
2008-06 217 KB
2008-E-9 Mototsugu Shintani, Tomoyoshi Yabu, Daisuke Nagakura Spurious Regressions in Technical Trading:
Momentum or Contrarian?

/Efficient market hypothesis; Nonstationary time series; Random walk; Technical analysis
2008-06 682 KB
2008-E-8 Yuki Teranishi Optimal Monetary Policy under Staggered Loan Contracts
/Staggered Loan Interest Rate Contract; Optimal Monetary Policy; Economic Fluctuation
2008-05 554 KB
2008-E-7 Charles W. Mooney,Jr. Law and Systems for Intermediated Securities and the Relationship of Private Property Law to Securities Clearance and Settlement: United States, Japan, and the UNIDROIT Draft Convention
/book-entry; central securities depository; intermediary; securities; securities account; security interest; settlement
2008-05 697 KB
2008-E-6 Kiyohito Utsunomiya Economic Fluctuations in Japan during the Interwar Period -Re-estimation of the LTES Personal Consumption Expenditures-
/Japanese Economy; Interwar Period; Showa Depression; Great Depression; Personal Consumption; National Accounts; Deflator; Imputation
2008-04 447 KB
2008-E-5 Mario J. Crucini, Mototsugu Shintani, Takayuki Tsuruga Accounting for Persistence and Volatility of Good-level Real Exchange Rates: The Role of Sticky Information
/Good-level Real Exchange Rates; Law of One Price; Sticky Information; Dynamic Panel
2008-03 521 KB
2008-E-4 Laurence Ball Helicopter Drops and Japan's Liquidity Trap
/opter Drop; Liquidity Trap; Deflation
2008-03 346 KB
2008-E-3 Shigeaki Fujiwara Credit Risk Assessment Considering Variations in Exposure:
Application to Commitment Lines

/Commitment lines; Probability of default; Loss given default; Exposure at default; Expected loss; Unexpected loss
2008-02 295 KB
2008-E-2 Migiwa Tanaka Deflation in Durable Goods Markets:An Empirical Model of the Tokyo Condominium Market
/Durable Goods; Dynamic Oligopoly; Housing Market
2008-02 308 KB
2008-E-1 Ichiro Muto Monetary Policy and Learning from the Central Bank's Forecast
/Adaptive Learning; E-stability; New Keynesian Model; Monetary Policy; Taylor principle
2008-01 214 KB

2007

No.Author(s)Title/KeywordsDateFull Text (PDF)
2007-E-21 Satoshi Yamashita, Toshinao Yoshiba Analytical solutions for expected and unexpected losses with an additional loan
/Probability of default (PD); Loss given default (LGD); Exposure at default (EaD); Expected loss (EL); Unexpected loss (UL); Stressed EL (SEL)
2007-12 158 KB
2007-E-20 Daisuke Nagakura Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process
/Random Coefficient Autoregressive Model; Stability; Constancy
2007-11 430 KB
2007-E-19 Masazumi Hattori, Hyun Song Shin The Broad Yen Carry Trade
/Yen carry trade; liquidity; risk appetite; monetary policy
2007-10 458 KB
2007-E-18 Marvin Goodfriend Monetary Policy in East Asia : Common Concerns
/East Asia; Monetary Policy; Banking Policy; Exchange Rates; Trade Balance; International Reserves
2007-09 83 KB
2007-E-17 Kris James Mitchener, Mari Ohnuki Capital Market Integration in Japan
/Financial Market Development; Capital Market Integration; Economic Integration;Japanese Banks
2007-08 674 KB
2007-E-16 Keisuke Otsu A Neoclassical Analysis of the Asian Crisis: Business Cycle Accounting of a Small Open Economy
/Business Cycle Accounting; Small Open Economy; Asian Crisis
2007-08 916 KB
2007-E-15 George W. Evans Monetary and Fiscal Policy under Learning in the Presence of a Liquidity Trap
/Adaptive Learning; Monetary Policy; Fiscal Policy; Zero Interest Rate Lower Bound; Indeterminacy
2007-08 665 KB
2007-E-14 Sanghoon Ahn, Jong-Wha Lee Integration and Growth in East Asia
/integration; growth; trade; foreign direct investment; East Asia
2007-08 379 KB
2007-E-13 Michael B Devereux Financial Globalization and Emerging Market Portfolios
/Asia; Financial Globalization; FDI; Foreign Exchange Rate Reserves
2007-08 344 KB
2007-E-12 Hiroshi Fujiki, Akiko Terada-Hagiwara Financial Integration in East Asia
/Exchange rate regime; financial integration; risk sharing
2007-08 327 KB
2007-E-11 Maurice Obstfeld The Renminbi's Dollar Peg at the Crossroads
/Renminbi; China Currency; China Balance of Payments; Fixed Exchange Rate Exit Strategy
2007-08 240 KB
2007-E-10 Bennett T. McCallum Monetary Policy in East Asia: the Case of Singapore
/exchange rate; inflation targeting; instrument variable; target variable; open economy; monetary policy
2007-08 97 KB
2007-E-9 Ippei Fujiwara, Naoko Hara, Naohisa Hirakata, Takeshi Kimura, Shinichiro Watanabe Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policy-making under Uncertainty
/Collapse of the Bubble Economy; Monetary Policy; Uncertainty
2007-07 596 KB
2007-E-8 Ichiro Muto Productivity Growth, Transparency, and Monetary Policy
/New Keynesian Model; Monetary Policy; Transparency; Productivity Growth; Learning
2007-06 590 KB
2007-E-7 Ippei Fujiwara, Naohisa Hirakata Dynamic Aspects of Productivity Spillovers, Terms of Trade and The "Home Market Effects"
/Endogenous variety; Home market effect; Productivity spillover
2007-06 423 KB
2007-E-6 Naohiko Baba, Masakazu Inada Price Discovery of Credit Spreads for Japanese Mega-Banks:Subordinated Bond and CDS
/Subordinated Bond; Credit Default Swap; Japanese Banks; Price Discovery; Volatility Spillover; Bivariate GARCH
2007-05 280 KB
2007-E-5 Sachiko Kuroda, Isamu Yamamoto Estimating Frisch Labor Supply Elasticity in Japan
/Labor supply; Frisch elasticity; Extensive margin; Intensive margin
2007-04 201 KB
2007-E-4 Ippei Fujiwara, Yuki Teranishi A Dynamic New Keynesian Life-Cycle Model:Societal Ageing, Demographics and Monetary Policy
/Heterogenous Agents; Life-Cycle; New Keynesian Model
2007-03 377 KB
2007-E-3 Naohiko Baba, Masakazu Inada, Yasuo Maeda Determinants of Subordinated Debt Issuance by Japanese Regional Banks
/subordinated debt; Japanese banks; Basel Accord; market discipline; non-performing loan problem
2007-03 241 KB
2007-E-2 Arata Ito, Tsutomu Watanabe, Tomoyoshi Yabu Fiscal Policy Switching: Evidence from Japan, the U.S., and the U.K.
/Fiscal Policy Rule; Fiscal Discipline; Markov-Switching Regression
2007-02 381 KB
2007-E-1 Keisuke Otsu A Neoclassical Analysis of the Postwar Japanese Economy
/Japanese Postwar Growth; Neoclassical Growth Model; TFP
2007-01 999 KB

2006

No.Author(s)Title/KeywordsDateFull Text (PDF)
2006-E-29 Kenshi Taketa, Gregory F. Udell Lending Channels and Financial Shocks: The Case of SME Trade Credit and the Japanese Banking Crisis
/Trade Credit; Credit Crunch
2006-12 564 KB
2006-E-28 Sachiko Kuroda, Isamu Yamamoto Why are Nominal Wages Downwardly Rigid, but Less So in Japan?: An Explanation based on Behavioral Economics and Labor Market/Macroeconomic Differences
/Downward nominal wage rigidity; Behavioral economics; Labor mobility; Employment protection legislation; Inflation rate; Indexation
2006-11 415 KB
2006-E-27 Mari Ohnuki Bank of Japan Network and Financial Market Integration: From the Establishment of the Bank of Japan Until the Early 20th Century
/Financial Market Integration; Payments Network; Bank of Japan; Correspondent Network Funds Transfers; Movement of Funds
2006-11 476 KB
2006-E-26 Keisuke Otsu A Neoclassical Analysis of the Korean Crisis
/Korean Crisis; Neoclassical Model; Small Open Economy; Total Factor Productivity; Financial Crisis
2006-11 890 KB
2006-E-25 Ichiro Muto Can the New Keynesian Phillips Curve Explain Japanese Inflation Dynamics? A Labor Share Correction Approach
/New Keynesian Phillips Curve; Real Marginal Cost; Labor Adjustment Cost; Material Price; Real Wage Rigidity; Inflation Persistence
2006-11 1,268 KB
2006-E-24 Hiroshi Fujiki, Howard J. Wall Controlling for Geographic Dispersion When Estimating the Japanese Phillips Curve
/Japanese Phillips curve
2006-11 553 KB
2006-E-23 Bill Dupor, Tomiyuki Kitamura, Takayuki Tsuruga Do Sticky Prices Need to Be Replaced with Sticky Information?
/Inflation; Sticky Price Model; Sticky Information Model; Labor Share
2006-10 336 KB
2006-E-22 Alessandra Fogli, Fabrizio Perri The Great Moderation and the US External Imbalance
/Business Cycle Volatility; Precautionary Saving; Current Account; Net Foreign Asset Position
2006-09 234 KB
2006-E-21 Jun Pan, Kenneth J. Singleton Interpreting Recent Changes in the Credit Spreads of Japanese Banks
/default risk premium; credit default swap; Japanese banks; zero interest rate policy; event risk
2006-09 417 KB
2006-E-20 Howard J. Wall Regional Business Cycle Phases in Japan
/Markov-switching; regional business cycles; Japan
2006-09 567 KB
2006-E-19 Gauti B. Eggertsson, Benjamin Pugsley The Mistake of 1937: A General Equilibrium Analysis
/deflation; zero bound on interest rates; regime changes; Great Depression
2006-08 382 KB
2006-E-18 Simon Gilchrist, Masashi Saito Expectations, Asset Prices, and Monetary Policy:
The Role of Learning

/monetary policy, asset prices, financial market imperfections, technology growth, imperfect information
2006-08 587 KB
2006-E-17 Glenn D. Rudebusch, Eric T. Swanson, Tao Wu The Bond Yield "Conundrum" from a Macro-Finance Perspectivece
/Term Structure; Term Premium; Bond Pricing; Affine No-Arbitrage Model
2006-07 284 KB
2006-E-16 Naohiko Baba Financial Market Functioning and Monetary Policy:
Japan's Experience

/Bank of Japan; Term Structure of Interest Rates; Zero Lower Bound; Zero Interest Rates; Quantitative Monetary Easing Policy; Bank Risk Premium
2006-07 484 KB
2006-E-15 Maurice Obstfeld Implications for the Yen of Japanese Current Account Adjustment
/Current Account Adjustment; International Capital Flows; Japanese Yen Exchange Rate
2006-07 184 KB
2006-E-14 Bennett T. McCallum Misconceptions Regarding the Zero Lower Bound on Interest Rates
/Interest Rates; Zero Lower Bound; Quantitative Easing; Expectations; Deflation Trap; Liquidity Trap
2006-07 84 KB
2006-E-13 Yoshifumi Muroi Pricing of Credit Derivatives with the Asymptotic Expansion Approach
/ Defaultable bond, counterparty credit risk, credit default swap, swaption, asymptotic expansion method, basket swap, Malliavin calculus
2006-07 228 KB
2006-E-12 Hiroshi Fujiki, Etsuro Shioji Bank Health Concerns, Low Interest Rates and Money Demand:
Evidence from the "Public Opinion Survey on Household Financial Assets and Liabilities"

/Money demand; Low interest rates; Concern for the soundness of private financial institutions; Micro data; Self-selection bias; Personal financial education; Extensive margin; Intensive margin
2006-07 745 KB
2006-E-11 Masashi Saito Changes in Perceptions of the Future:
Macroeconomic Implications

/Technology growth, regime switching, filtering, nonlinear impulse response, propagation
2006-06 498 KB
2006-E-10 Andrew K. Rose Well-Being in the Small and in the Large
/population, empirical, data, national, country, scale, size.
2006-06 340 KB
2006-E-9 Steven Li The Arbitrage Efficiency of Nikkei 225 Options Market:
A Put-call Parity Analysis

/Put-call parity, market efficiency, Nikkei 225 options
2006-06 117 KB
2006-E-8 Masashi Une, Masayuki Kanda Year 2010 Issues on Cryptographic Algorithms
/cryptographic algorithm, symmetric cipher, asymmetric cipher, security, Year 2010 issues, hash function
2006-06 176 KB
2006-E-7 Xinghua Yu Competing Risk Analysis of Japan's Small Financial Institutions
/Competing Risks Duration Models, Identification, Maximum Likelihood Estimator, Bankruptcy and Merger, Credit Cooperatives in Japan
2006-03 396 KB
2006-E-6 Takeshi Amemiya, Xinghua Yu Endogenous Sampling and Matching Method in Duration Models
/Duration Models, Endogenous Sampling with Matching, Maximum Likelihood Estimator, Manski Lerman Estimator, Asymptotic Distribution
2006-03 415 KB
2006-E-5 Ichiro Fukunaga Imperfect Common Knowledge, Staggered Price Setting, and the Effects of Monetary Policy
/Imperfect common knowledge; Higher-order expectations; Public and private information; Staggered price setting
2006-02 340 KB
2006-E-4 Yasuhiro Arikawa, Kumi Suzuki-Loffelholz, Kenshi Taketa Experimental Analysis on the Role of a Large Speculator in Currency Crises
/Currency Crises; Global Game; Experimental Economics
2006-01 1,909 KB
2006-E-3 Shiu-Sheng Chen, Kenshi Taketa An Assessment of Weymark's Measures of Exchange Market Intervention: The Case of Japan
/Exchange market intervention, Japanese exchange market
2006-01 224 KB
2006-E-2 Pierre Perron, Tomoyoshi Yabu Testing for Shifts in Trend with an Integrated or Stationary Noise Component
/Structural Change, Unit Root, Median-Unbiased Estimates, GLS Procedure, Super Efficient Estimates
2006-01 1,380 KB
2006-E-1 Pierre Perron, Tomoyoshi Yabu Estimating Deterministic Trends with an Integrated or Stationary Noise Component
/Linear Trend, Unit Root, Median-Unbiased Estimates, GLS Procedure, Super Efficient Estimates
2006-01 891 KB

2005

No.Author(s)Title/KeywordsDateFull Text (PDF)
2005-E-18 Takayuki Tsuruga The Hump-shaped Behavior of Inflation and a Dynamic Externality
/Inflation; New Keynesian Phillips Curve; Sticky Price Model; Sticky Wages; Variable Capital Utilization; Dynamic Externality
2005-12 263 KB
2005-E-17 Maria Pia Iannariello, Hanan Morsy, Akiko Terada-Hagiwara Role of Debt Maturity Structure on Firm Fixed Assets during Sudden Stop Episodes: Evidence from Thailand
/Firm fixed asset, Sudden Stops, Thailand, Short-term debt maturity structure, Asia financial crisis
2005-12 276 KB
2005-E-16 Keiichi Tanaka, Takeshi Yamada, Toshiaki Watanabe Approximation of Interest Rate Derivatives' Prices by Gram-Charlier Expansion and Bond Moments
/Gram-Charlier expansion, bond moment, swaption, constant maturity swap, convexity adjustment
2005-11 320 KB
2005-E-15 Akiko Terada-Hagiwara Explaining the Real Exchange Rate during Sudden Stops and Tranquil Periods
/Real Exchange rate, Capital flows, Sudden Stop, Asia, Latin America
2005-11 254 KB
2005-E-14 Ichiro Fukunaga Inventories, Predetermined Prices, and the Effects of Monetary Policy
/Inventories; Sales-facilitating motive; Nominal and real rigidities; Predetermined prices and production
2005-10 317 KB
2005-E-13 Francesco Giavazzi, Tullio Jappelli, Marco Pagano, Marina Benedetti Searching for Non-Monotonic Effects of Fiscal Policy:
New Evidence

/Fiscal policy; national saving
2005-09 178 KB
2005-E-12 Kenneth Kletzer International Financial Integration, Sovereignty, and Constraints on Macroeconomic Policies
/International financial integration; sovereignty; tax smoothing; nominal public debt; monetary policy
2005-09 497 KB
2005-E-11 Guillaume Plantin, Haresh Sapra, Hyun Song Shin Marking to Market, Liquidity, and Financial Stability
/Marking to market; accounting regime; monetary policy; financial stability
2005-09 234 KB
2005-E-10 Jean-Charles Rochet Prudential Policy
/Banking Supervision; Prudential Regulation; Financial Stability
2005-09 203 KB
2005-E-9 Barry Eichengreen, Mariko Hatase Can a Rapidly-Growing Export-Oriented Economy Smoothly Exit an Exchange Rate Peg? Lessons for China from Japan's High-Growth Era
/China, Japan, exchange rate, peg, exports, investment
2005-08 956 KB
2005-E-8 Maurice Obstfeld America's Deficit, the World's Problem
/Current account adjustment; international capital flows; exchange rates
2005-07 123 KB
2005-E-7 Bennett T. McCallum What is the Proper Perspective for Monetary Policy Optimality?
/policy rules; dynamic inconsistency; timeless perspective
2005-07 147 KB
2005-E-6 Akira Otani, Shigenori Shiratsuka, Toyoichiro Shirota Revisiting the Decline in the Exchange Rate Pass-Through:
Further Evidence from Japan's Import Prices

/Exchange rate pass-through, Pricing-to-market, Import structure, Expenditure-switching effect, Firms' sourcing decision.
2005-07 125 KB
2005-E-5 Jurgen von Hagen Fiscal Rules and Fiscal Performance in the EU and Japan
/Fiscal policy, political budget cycles, government budgeting
2005-07 301 KB
2005-E-4 Hiroshi Fujiki The Monetary Policy Committee and the Incentive Problem:
A Selective Survey

/central bank independence, monetary policy committee, voting, transparency, commitment
2005-07 497 KB
2005-E-3 Luc Bauwens Econometric Analysis of Intra-daily Trading Activity on Tokyo Stock Exchange
/ACD, trade durations, high frequency data, Tokyo Stock Exchange
2005-03 999 KB
2005-E-2 Sachiko Kuroda, Isamu Yamamoto Wage Fluctuations in Japan after the Bursting of the Bubble Economy: Downward Nominal Wage Rigidity, Payroll, and the Unemployment Rate
/Downward nominal wage rigidity, Inflation rate, Unemployment rate, Labor productivity, Phillips curve, Monetary policy
2005-03 342 KB
2005-E-1 Hiroshi Fujiki, Masayuki Nakakuki Asymmetric Shocks and Regional Risk Sharing: Evidence from Japan
/regional shocks, risk sharing.
2005-01 234 KB

2004

No.Author(s)Title/KeywordsDateFull Text (PDF)
2004-E-23 Kenshi Taketa A Large Speculator in Contagious Currency Crises:
A Single "George Soros" Makes Countries More Vulnerable to Crises, but Mitigates Contagion

/Contagion; Currency Crises; Global Game
2004-12 305 KB
2004-E-22 Kenshi Taketa Contagion of Currency Crises across Unrelated Countries
/Contagion; Currency Crises; Global Game.
2004-12 246 KB
2004-E-21 Yasushi Iwamoto Monetary and Fiscal Policy to Escape from a Deflationary Trap
/Monetary policy, zero bound on interest rates, liquidity trap, deflationary trap, non-Ricardian fiscal policy regime.
2004-10 386 KB
2004-E-20 William R. Easterly Globalization, Inequality and Development: The Big Picture
/Globalization, Trade, Capital flows, Migration, Education, Development.
2004-10 235 KB
2004-E-19 Kunio Okina, Shigenori Shiratsuka Asset Price Fluctuations, Structural Adjustments,
and Sustained Economic Growth:
Lessons from Japan's Experience since the Late 1980s

/Asset price bubble, Relative price changes, Structural adjustments, Productivity growth
2004-09 259 KB
2004-E-18 Bennett T. McCallum Long-Run Monetary Neutrality and Contemporary Policy Analysis
/Superneutrality, Natural-rate hypothesis, Quantity theory of money, Cointegration
2004-08 168 KB
2004-E-17 Franklin Allen, Hiroko Oura Sustained Economic Growth and the Financial System
/Growth, Crises, Bubbles, Contagion, Financial fragility
2004-08 251 KB
2004-E-16 Assaf Razin, Efraim Sadka Privatizing Social Security: A Political-Economy Approach
/Dependency ratio, Median voter, Privatization, Individual saving accounts
2004-08 170 KB
2004-E-15 Vincent R. Reinhart Securing the Peace after a Truce in the War on Inflation
/Monetary policy, Zero bound, Equilibrium interest rate
2004-08 477 KB
2004-E-14 Maurice Obstfeld

Globalization, Macroeconomic Performance,
and the Exchange Rates of Emerging Economies

/Developing Countries, Emerging Markets, Convergence, Macroeconomic Volatility, Exchange-rate Regimes, Institutions, Dollarization, Original Sin.
2004-08 466 KB
2004-E-13 Hiroyuki Oi, Shigenori Shiratsuka, Toyoichiro Shirota On Long-Run Monetary Neutrality in Japan
/Long-run monetary neutrality, Long-term time-series data, Structural changes, Unit root tests, Bivariate structural VAR
2004-08 503 KB
2004-E-12 Hiroshi Fujiki, Kiyoshi Watanabe Japanese Demand for M1 and Demand Deposits:
Cross-Sectional and Time-Series Evidence from Japan

/Zero interest rate policy, Demand for money
2004-08 347 KB
2004-E-11 Ulrike Schaede

The "Middle Risk Gap" and Financial System Reform: Small Firm Financing in Japan
/Middle market, Interest rates, Japan, small firm financing, government lending, securitization, banking reform.
2004-07 254 KB
2004-E-10 Takuji Kawamoto Technology Shocks and the Role of Monetary Policy in the Beauty Contest Monetarist Model
/Technology Shocks; Imperfect Common Knowledge; Employment; Inflation; and Monetary Policy
2004-07 391 KB
2004-E-9 Ryoji KOIKE Japan's Foreign Direct Investment and Structural Changes in Japan and East Asia Trade
/Foreign direct investment (FDI), gravity equation, trade structure, vertical specialization, horizontal specialization, fragmentation
2004-06 353 KB
2004-E-8 Yukinobu Kitamura Information Contents of Inflation Indexed Bond Prices: Evaluation of U.S. Treasury Inflation-Protection Securities
/Inflation Indexed Bond; Expected Inflation Rate; Real Yield
2004-06 394 KB
2004-E-7 Hiroshi Fujiki, Kunio Okina, Shigenori Shiratsuka Comments on "Price Stability and Japanese Monetary Policy"
/quantitative easing, deflation
2004-06 503 KB
2004-E-6 Robert L. Hetzel Price Stability and Japanese Monetary Policy
/Quantity theory view, liquidity view, quantitative easing, expectation, price stability, Japanese monetary policy
2004-06 584 KB
2004-E-5 Takuji Kawamoto What Do the Purified Solow Residuals Tell Us about Japan's Lost Decade?
/Productivity; Technology; Purified Solow Residual; and Japan
2004-04 317 KB
2004-E-4 Masayuki NAKAKUKI, Akira OTANI, Shigenori SHIRATSUKA Distortions in Factor Markets and Structural Adjustments in the Economy
/Structural Problems; Heckscher-Ohlin Model; Specific Factor Model; Production Possibility Frontier; and Total Factor Productivity (TFP)
2004-03 293 KB
2004-E-3 Daniel L. Thornton Testing the Expectations Hypothesis: Some New Evidence for Japan
/Expectations hypothesis, Nonstationarity, Vector autoregression, Lagrange multiplier test
2004-02 149 KB
2004-E-2 Jun Nagayasu The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period
/Monetary policy; Zero interest rates
2004-01 173 KB
2004-E-1 Andrew K. Rose Equity Integration in Japan: An Application of a New Method
/Risk-free, Intertemporal, Asset, Financial, Market, Expected, Price, Stock, Tokyo
2004-01 120 KB

2003

No.Author(s)Title/KeywordsDateFull Text (PDF)
2003-E-15 Shigenori Shiratsuka Asset Price Bubble in Japan in the 1980s: Lessons for Financial and Macroeconomic Stability
/Asset price bubble; Financial stability; Macroeconomic stability, Sustainability
2003-12 263 KB
2003-E-14 Jaebeom Kim, Masao Ogaki Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach
/Structural Error Correction Model (SECM); Purchasing Power Parity; Real Exchange Rate; Half-life, Convergence Rate
2003-12 312 KB
2003-E-13 Hiroyuki OI, Akira OTANI, Toyoichirou SHIROTA The Choice of Invoice Currency in International Trade: Implications for the Internationalization of the Yen
/Invoice currency, LCP (local currency pricing), PCP (producer's currency pricing), internationalization of the yen, new open-economy macroeconomics, currency-basket regime
2003-10 360 KB
2003-E-12 Sachiko KURODA, Isamu YAMAMOTO The Impact of Downward Nominal Wage Rigidity on the Unemployment Rate: Quantitative Evidence from Japan
/Downward nominal wage rigidity; Unemployment rate; Inflation rate; Monetary policy; General equilibrium model with downward nominal wage rigidity
2003-10 434 KB
2003-E-11 Ryo KATO, Shin-Ichi NISHIYAMA Optimal Monetary Policy When Interest Rates are Bounded at Zero
/Deflation, Liquidity trap, Pre-emptive monetary policy, Zero bound
2003-10 459 KB
2003-E-10 Eisaku IDE Policy Debates on Public Finance between the Ministry of Finance and the Bank of Japan from 1930 to 1936
/the direct underwriting of deficit-financing bonds by the BOJ (BOJ underwriting); The Joint Research Committee; currency system; market operation by selling government bonds; continuing expenditure; deferred fiscal burden
2003-08 179 KB
2003-E-9 Keiko MURATA Precautionary Savings and Income Uncertainty: Evidence from Japanese Micro Data
/Precautionary savings; Uncertainty; Income risks; Uncertainty over public-pension benefits; Risk-sharing; Individual data; Longitudinal data
2003-07 327 KB
2003-E-8 Shin-Ichi NISHIYAMA Inflation Target as a Buffer against Liquidity Trap
/Deflation; Inflation Target; Liquidity Trap; Zero-Bound
2003-07 470 KB
2003-E-7 Tatsuya Ishikawa, Yasuhiro Yamai, Akira Ieda On the Risk Capital Framework of Financial Institutions
/Risk capital, risk management, capital structure, capital budgeting, risk-adjusted rate of return, capital allocation, deadweight cost.
2003-07 146 KB
2003-E-6 David Andolfatto Monetary Implications of the Hayashi-Prescott Hypothesis for Japan
/Productivity Slowdown; Money Multiplier; Monetary Policy; Liquidity Trap
2003-07 240 KB
2003-E-5 Kunio OKINA, Shigenori SHIRATSUKA Policy Commitment and Expectation Formations: Japan's Experience under Zero Interest Rates
/Zero Interest Rate Policy; Quantitative Monetary Easing; Policy Duration Effects; Policy Commitment
2003-06 888 KB
2003-E-4 Sachiko KURODA, Isamu YAMAMOTO Are Japanese Nominal Wages Downwardly Rigid? (Part II): Examinations using a Friction Model
/Downward nominal wage rigidity; Inflation rate; Monetary policy; Longitudinal data; Measurement errors; Friction model; Simulated maximum likelihood
2003-06 512 KB
2003-E-3 Sachiko KURODA, Isamu YAMAMOTO Are Japanese Nominal Wages Downwardly Rigid? (Part I): Examinations of Nominal Wage Change Distributions
/Downward nominal wage rigidity; Inflation rate; Monetary policy; Longitudinal data; Nominal wage change distributions
2003-06 369 KB
2003-E-2 Makoto Saito, Shigenori Shiratsuka Precautionary Motives versus Waiting Options: Evidence from Aggregate Household Saving in Japan
/Precautionary savings, Waiting options, Flexibility, Risks, The resolution of uncertainty
2003-06 291 KB
2003-E-1 Akira Otani, Shigenori Shiratsuka, Toyoichiro Shirota The Decline in the Exchange Rate Pass-Through: Evidence from Japanese Import Prices
/Exchange rate pass-through, Pricing-to-market, Import structure, Expenditure-switching effect, Firms' sourcing decision
2003-05 304 KB

2002

No.Author(s)Title/KeywordsDateFull Text (PDF)
2002-E-22 Takeshi Kimura, Hiroshi Kobayashi, Jun Muranaga, Hiroshi Ugai The Effect of the Increase in Monetary Base on Japan's Economy at Zero Interest Rates : An Empirical Analysis
/Monetary Policy, Quantitative Easing, Bayesian VAR, Satiation Level of Money Demand
2002-12 526 KB
2002-E-21 Shinichi NISHIYAMA The Cross-Euler Equation Approach to Intertemporal Substitution in Import Demand
/Euler Equation, Intertemporal Substitution, Import Demand, Cointegration
2002-11 393 KB
2002-E-20 Tomiyuki Kitamura, Ryoji Koike The Effectiveness of Forecasting Methods Using Multiple Information Variables
/Information variable, multivariate forecast, out-of-sample forecast, forecast combination
2002-11 689 KB
2002-E-19 Masahiro Fukuhara, Yasufumi Saruwatari An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory
/Contagion, Multivariate Extreme Value Theory, Currency, Survey, Graph
2002-11 1,477 KB
2002-E-18 Vittorio Corbo Exchange Rate Regimes in the Americas: Is Dollarization the Solution?
/Exchange Rate Systems, Inflation Targeting, Dollarization
2002-10 182 KB
2002-E-17 Masahiro KAWAI EXCHANGE RATE ARRANGEMENTS IN EAST ASIA: LESSONS FROM THE 1997-98 CURRENCY CRISIS
/East Asian currency crisis, exchange rate arrangements, two-corner solution approach, fear of floating, currency basket system
2002-09 264 KB
2002-E-16 Juergen von Hagen, Matthias Brueckner Monetary and Fiscal Policy in the European Monetary Union
/European Monetary Union, monetary policy, fiscal policy, Stability Pact
2002-09 241 KB
2002-E-15 Kyungho Jang, Masao Ogaki The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach
/Vector Error Correction Model, Impulse Response, Monetary Policy Shock, Cointegration, Identification, Long Run Restriction
2002-09 557 KB
2002-E-14 Toshiaki WATANABE Measuring Business Cycle Turning Points in Japan with a Dynamic Markov Switching Factor Model
/Business cycles, Factor model, Gibbs sampling, Marginal Likelihood, Markov switching, Particle filter
2002-09 274 KB
2002-E-13 Ronald McKinnon, Gunther Schnabl Synchronized Business Cycles in East Asia: Fluctuations in the Yen/Dollar Exchange Rate and China's Stabilizing Role
/exchange rates, business cycles, East Asian dollar standard
2002-08 835 KB
2002-E-12 Maurice Obstfeld Exchange Rates and Adjustment: Perspectives from the New Open Economy Macroeconomics
/Exchange rate policy, international adjustment,expenditure-switching effects, elasticity pessimism, international competitiveness.
2002-08 389 KB
2002-E-11 Allan H. Meltzer New International Financial Arrangements
/Price and Exchange Rate Stability, Role of the IMF, Debt Resolution, Collective Action Clause
2002-08 52 KB
2002-E-10 Takashi NANJO Developments in Land Prices and Bank Lending in Interwar Japan: Effects of the Real Estate Finance Problem on the Banking Industry
/Interwar economy, Financial crisis, Showa Depression, Aset prices, Stability of the financial system
2002-08 191 KB
2002-E-9 Rishi Goyal, Ronald McKinnon Japan's Negative Risk Premium in Interest Rates: The Liquidity Trap and Fall in Bank Lending 2002-07 455 KB
2002-E-8 Mariko HATASE Devaluation and Exports in Interwar Japan: The Effects of Sharp Depreciation of the Yen in the Early 1930s
/exchange rate, export, gold embargo, interwar economy
2002-07 250 KB
2002-E-7 Masato SHIZUME Economic Developments and Monetary Policy Responses in Interwar Japan: Evaluation Based on the Taylor Rule
/monetary policy, monetary regime, gold standard system, interwar economy, Taylor Rule
2002-07 354 KB
2002-E-6 Sachiko Kuroda NAKADA Analysis of Changes in Japan's Unemployment Rate using Gross Flow Data
/unemployment rate, flow data analysis, discouraged worker effect, added worker effect, price-level projections using Phillips curve
2002-06 305 KB
2002-E-5 Akira Otani Pricing-to-Market (PTM) and the International Transmission Effect of Monetary Policy: The 'New Open-Economy Macroeconomics' Approach
/New open economy macroeconomics, PPP (purchasing power parity), PTM (pricing-to-market), Monetary policy, Beggar-thy-neighbor effect
2002-05 269 KB
2002-E-4 Hiroshi FUJIKI, Akira OTANI Do Currency Regimes Matter in the 21st Century? An Overview
/Bipolar view, the euro, Dollarization, regional currency area
2002-05 193 KB
2002-E-3 Masaaki SHIRAKAWA One Year Under 'Quantitative Easing'
/Quantitative Easing; Transmission Mechanism; Zero Interest Rate Boundary
2002-04 423 KB
2002-E-2 Yasuhiro YAMAI, Toshinao YOSHIBA Comparative Analyses of Expected Shortfall and Value-at-Risk (3): their validity under market stress
/Value-at-Risk, expected shortfall, market stress, tail risk, multivariate extreme value theory, tail dependence
2002-04 519 KB
2002-E-1 Naohiko BABA, Takamasa HISADA Japan's Financial System: Its Perspective and the Authorities' Roles in Redesigning and Administering the System
/Japan's financial system, Main bank system, IT innovation, Financial deregulation, Bank supervision, Public finance, Corporate governance
2002-02 316 KB

2001

No.Author(s)Title/KeywordsDateFull Text (PDF)
2001-E-21 Makoto Saito, Shigenori Shiratsuka, Tsutomu Watanabe, Noriyuki Yanagawa Liquidity Demand and Asset Pricing: Evidence from the Periodic Settlement in Japan
/Liquidity-based asset pricing model; Periodic settlement; Term structure of interest rates
2001-12 396 KB
2001-E-20 Mark M. Spiegel The Disposition of Failed Japanese Bank Assets: Lessons from the U.S. Savings and Loan Crisis.
/Banks; Failures; Asset disposition
2001-12 241 KB
2001-E-19 Hiroshi Fujiki, Cheng Hsiao, Yan Shen Is There a Stable Money Demand Function Under the Low Interest Rate Policy? --A Panel Data Analysis
/Money demand; Interest rate; Panel data; Prefecture data
2001-12 213 KB
2001-E-18 Masashi UNE The Security Evaluation of Time Stamping Schemes: The Present Situation and Studies
/time stamping, security evaluation
2001-12 226 KB
2001-E-17 Toshiaki WATANABE, Manabu ASAI Stochastic Volatility Models with Heavy-Tailed Distributions: A Bayesian Analysis
/Bayes factor, Generalized error distribution, Marginal Likelihood, Markov-chain Monte Carlo, Multimove sampler, Student-t distribution
2001-11 1,089 KB
2001-E-16 Kunio Okina, Shigenori Shiratsuka Asset Price Bubbles, Price Stability, and Monetary Policy: Japan's Experience
/Monetary policy; Asset price bubble; Price stability; Financial stability
2001-10 599 KB
2001-E-15 Howard J. Wall Has Japan Been Left Out in the Cold by Regional Integration?
/Regional Integration; Japanese Trade; Gravity Model
2001-08 107 KB
2001-E-14 Toshinao YOSHIBA, Yasuhiro YAMAI Comparative Analyses of Expected Shortfall and Value-at-Risk (2): expected utility maximization and tail risk
/expected shortfall, Value-at-Risk, tail risk, stochastic dominance, expected utility maximization
2001-08 185 KB
2001-E-13 Hiroshi Fujiki Money demand near zero interest rate: Evidence from regional data
/Zero interest rate policy; Demand for Money
2001-08 172 KB
2001-E-12 Yasuhiro YAMAI, Toshinao YOSHIBA Comparative Analyses of Expected Shortfall and VaR: their estimation error, decomposition, and optimization
/expected shortfall, value at risk, optimization
2001-07 423 KB
2001-E-11 Naohiko Baba Optimal Timing in Banks' Write-off Decisions under the Possible Implementation of a Subsidy Scheme: A Real Options Approach
/Write-off, Non-Performing Loans, Dynamic Programming, Real Options, Reputation, Forbearance Policy
2001-07 238 KB
2001-E-10 Hiroshi Fujiki, Shigenori Shiratsuka Policy Duration Effect under the Zero Interest Rate Policy in 1999-2000: Evidence from Japan's Money Market Data
/Zero interest rate policy; Policy duration effect; Liquidity constraint; Forward interest rates.
2001-06 467 KB
2001-E-9 Hitoshi MIO Identifying Aggregate Demand and Aggregate Supply Components of Inflation Rate: A Structural VAR Analysis for Japan
/Aggregate demand and aggregate supply shocks; Decomposition of inflation rate; Identification of structural VAR
2001-06 252 KB
2001-E-8 Kotaro TSURU The choice of lending patterns by Japanese banks during the 1980s and 1990s: The causes and consequences of a real estate lending boom
/Real estate lending; Financial liberalization; Land price inflation; Non-performing loans; Soft-budget-constraints; Credit crunch
2001-06 218 KB
2001-E-7 Kotaro TSURU Should banks choose collateral or non-collateral lending? : The impact of project's risk, bank's monitoring efficiency and land price inflation
/Bank lending; Collateral; Bank monitoring; Land price inflation; Soft-budget-constraints; Credit crunch
2001-06 278 KB
2001-E-6 John A. Weinberg The Pricing of Interbank Payment Services in a Changing Competitive Environment
/interbank payments, interconnection pricing
2001-05 82 KB
2001-E-5 Takeshi AMEMIYA Endogenous Sampling in Duration Models
/Duration Models; Endogenous Sampling; Bank Failure; Loan Default; Insolvency; Maximum Likelihood Estimator; Asymptotic Distribution
2001-03 184 KB
2001-E-4 Yasuhiro YAMAI, Toshinao YOSHIBA On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall
/Value-at-risk, Expected shortfall, Tail risk, Sub-additivity
2001-03 441 KB
2001-E-3 Technological Innovation and Banking IndustryMonetary Policy -Forum on the Development of Electronic Payment Technologies and Its Implications for Monetary Policy: Report 2001-02 826 KB
2001-E-2 Ronald J. Mann CARD-BASED PAYMENT SYSTEMS IN THE UNITED STATES AND JAPAN
/Credit cards, debit cards, internet payments, E-commerce
2001-02 299 KB
2001-E-1 Shigenori Shiratsuka Information Content of Implied Probability Distributions: Empirical Studies on Japanese Stock Price Index Options
/Information content of option prices, Implied probability distribution, SUR estimation, Autocorrelation, Granger causality.
2001-01 709 KB

2000

No.Author(s)Title/KeywordsDateFull Text (PDF)
2000-E-34 Shigenori Shiratsuka Asset Prices, Financial Stability, and Monetary Policy: Based on Japan's Experience of the Asset Price Bubble
/Asset price bubble; Sustainable price stability; Stability of financial system; Monetary policy; Prudential policy
2000-11 238 KB
2000-E-33 Hitoshi MIO The Phillips Curve and Underlying Inflation
/underlying inflation, trimmed mean CPI, price change distribution, temporary relative price shock
2000-10 208 KB
2000-E-32 Shigenori Shiratsuka Is There a Desirable Rate of Inflation? A Theoretical and Empirical Survey
/Ultimate Objective of Monetary Policy; Welfare Costs of Inflation and Deflation; Measured Price Stability; Sustainable Price Stability; Constrained discretion
2000-10 352 KB
2000-E-31 Tokiko Shimizu, Shigenori Shiratsuka The Credit Risk of Japanese Banks during the Bubble Period: A Pilot Study of Macro Stress Simulation
/Credit Risk, Extended Value at Risk, Macro Stress Simulation, Asset Price Bubble, Macro Prudential Policy
2000-10 88 KB
2000-E-30 Thomas F. Cargill Monetary Policy, Deflation, and Economic History: Lessons for the Bank of Japan
/Bank of Japan; central bank independence; deflation; Federal Reserve; Great Depression period; inflation; inflation targeting; Riksbank
2000-09 107 KB
2000-E-29 Douglas W. Diamond Should Japanese Banks Be Recapitalized?
/Bank capital; Recapitalization; Relationship lending; Banking; Bank failure
2000-09 80 KB
2000-E-28 Makoto Saito, Shigenori Shiratsuka Financial Crises as the Failure of Arbitrage: Implications for Monetary Policy
/Financial market instability; Japan premium; Allocation of liquidity; Failure of arbitrage; Money market operation
2000-09 756 KB
2000-E-27 Marvin Goodfriend Financial Stability, Deflation, and Monetary Policy
/banking policy, deflation, financial distress, financial stability, liquidity, monetary policy, zero bound on interest rates
2000-09 128 KB
2000-E-26 John B. Taylor Low Inflation, Deflation, and Policies for Future Price Stability
/Monetary policy; Inflation; Policy rule; Money growth; Zero interest rate policy
2000-09 128 KB
2000-E-25 Allan H. Meltzer Monetary Transmission at Low Inflation: Some Clues from Japan in the 1990s 2000-09 144 KB
2000-E-24 Nobuyuki Oda, Kunio Okina Further Monetary Easing Policies under the Non-negativity Constraints of Nominal Interest Rates: Summary of the Discussion Based on Japan's Experience
/Monetary policy; Zero interest rate; Long-term interest rate; Market operation of outright purchase of long-term government bonds; Foreign exchange market intervention; Inflation targeting
2000-09 262 KB
2000-E-23 Lars E.O. Svensson The Zero Bound in an Open Economy:A Foolproof Way of Escaping from a Liquidity Trap
/Deflation, liquidity trap, nominal interest rates
2000-08 361 KB
2000-E-22 Toshiaki Tachibanaki, Hiroshi Fujiki, Sachiko Kuroda Nakada Structural Issues in the Japanese Labor Market -An era of variety, equity and efficiency or an era of bipolarization?-
/part-time worker, discouraged worker, Japanese employment system, unemployment
2000-08 454 KB
2000-E-21 Shigeki Miyajima, Warren E. Weber A Comparison of National Banks in Japan and the United States between 1872 and 1885
/national banking, banking history, bank regulation
2000-08 423 KB
2000-E-20 Naohiko Baba Uncertainty, Monitoring Costs, and Private Banks' Lending Decisions in a Duopolistic Loan Market: A Game-theoretic Real Options Approach
/Bank Lending, Uncertainty, Entry Decision, Monitoring Costs, Duopolistic Market, Real Options, Stochastic Game
2000-08 589 KB
2000-E-19 Ronald McKinnon, Kenichi Ohno THE FOREIGN EXCHANGE ORIGINS OF JAPAN'S ECONOMIC SLUMP AND LOW INTEREST LIQUIDITY TRAP
/Foreign Exchange, Japan's Liquidity Trap, Trade Disputes
2000-08 194 KB
2000-E-18 Naohiko Baba Exploring the Role of Money in Asset Pricing in Japan: Does Monetary Consideration Significantly Improve the Empirical Performance of C-CAPM?
/Asset Pricing; CAPM; Money-in-the-Utility; Cash-in-Advance; Habit Formation; Volatility Bound; Market Frictions
2000-07 496 KB
2000-E-17 James Dow What is Systemic Risk? Moral hazard, initial shocks and propagation 2000-06 111 KB
2000-E-16 Hiroshi FUJIKI Budget Deficits and Inflation: A Theoretical and Empirical Survey
/hyperinflation, sustainability of government debt, budget institution, central bank independence, zero interest rate policy, structural reform
2000-06 367 KB
2000-E-15 Toshiyasu KATO, Toshinao YOSHIBA Model Risk and Its Control
/Model Risk, Pricing Model, Risk Measurement Model, Risk Management Systems, Reserves, Scenario Analysis, Position Limits.
2000-06 259 KB
2000-E-14 Yoshifumi HISATA, Yasuhiro YAMAI Research Toward the Practical Application of Liquidity Risk Evaluation Methods
/Liquidity risk; Value at risk; Market risk; Market impact; Optimal execution strategy; Optimal holding period
2000-06 281 KB
2000-E-13 Naruki Mori, Shigenori Shiratsuka, Hiroo Taguchi Policy Responses to the Post-bubble Adjustments in Japan: A Tentative Review
/Monetary Policy; Prudential Policy; Bursting of Bubble; Non-Performing Assets; Credit Channel; Management of Failure in Financial Institutions; Structural Problems
2000-05 409 KB
2000-E-12 Kunio Okina, Masaaki Shirakawa, Shigenori Shiratsuka The Asset Price Bubble and Monetary Policy: Japan's Experience in the Late 1980s and the Lessons
/Asset prices, bubble, intensified bullish expectations, monetary policy, sustained price stability, financial stability, forward-looking monetary policy
2000-05 551 KB
2000-E-11 Hiroshi Fujiki, Kunio Okina, Shigenori Shiratsuka Monetary Policy under Zero Interest Rate ---Viewpoints of Central Bank Economists ---
/Zero Interest Rate Policy; Quantitative Easing; Open Market Operation of Outright Purchase of Long-Term Government Bonds; Dispelling Deflationary Concern; Styles of Monetary Policy Management
2000-05 299 KB
2000-E-10 Akira IEDA, Kohei MARUMO, Toshinao YOSHIBA A Simplified Method for Calculating the Credit Risk of Lending Portfolios
/Credit Risk, Lending Portfolio, Monte Carlo Simulation, Credit ConcentrationDiversification, Correlation between Default Events
2000-05 190 KB
2000-E-9 Frank Packer Credit Ratings and the Japanese Corporate Bond Market
/credit ratings, credit risk, bond spreads, keiretsu
2000-05 92 KB
2000-E-8 Jon Danielsson, Yuji Morimoto Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market
/risk; regulation; extreme value theory; volatility; value-at-risk
2000-04 178 KB
2000-E-7 Takeo Hoshi What Happened to Japanese Banks?
/financial deregulation, bad loans, real estate lending, keiretsu loans
2000-03 282 KB
2000-E-6 Forum on the Development of Electronic Payment Technologies and Its Implications for Monetary policy: Interim Report 2000-02 213 KB
2000-E-5 Naohiko Baba Testing the Ex Ante Relationship between Asset and Investment Returns in Japan: An Application of the P-CAPM to the Japanese Asset Returns
/Asset Pricing; P-CAPM; GMM; Equity Premium Puzzle; Risk-free Rate Puzzle; Volatility Bound Test; q Theory of Investment
2000-02 429 KB
2000-E-4 Naohiko Baba A Reexamination of Ex Ante Pricing of Currency Risk in the Japanese Stock Market: A Pricing Kernel Approach
/Currency Risk; Asset Pricing; Volatility Bound Test; GMM; Stochastic Discount Factor; Arbitrage Pricing Theory
2000-02 699 KB
2000-E-3 Nobuyuki ODA, Tokiko SHIMIZU Prospects for Prudential Policy: Toward Achieving an Efficient and Stable Banking System
/Prudential policy; Market discipline; Lender of last resort; Deposit insurance; Capital adequacy rule; Systemic risk
2000-02 98 KB
2000-E-2 Naohiko Baba A Note on Hedging Incentives for Managers: An Application of the Principal-Agent Framework to Risk Management
/Risk management; Hedging incentive; Informational Asymmetry; Currency risk exposure; Principal-agent framework
2000-01 273 KB
2000-E-1 Naohiko Baba, Kyoji Fukao Currency Risk Exposure of Japanese Firms with Overseas Production Bases: Theory and Evidence
/Currency risk exposure; q theory of investment; Irreversibility; Panel data; Measurement errors; Endogeneity
2000-01 451 KB

1999

No.Author(s)Title/KeywordsDateFull Text (PDF)
1999-E-28 Comments: Ronald I. Mckinnon, Allan H. Meltzer
Rejoinder: Kunio Okina
Monetary Policy Under Zero Inflation -A Response to Criticisms and Questions Regarding Monetary Policy- Comments and Rejoinder
/Monetary Policy, Zero Interest Rates, Long-term Interest Rates, Inflation Targeting, Outright Purchase of Government Bonds, Quantitative Easing, Excess Reserves, Base Monetary, Balance Sheet Problem, Liquidity Trap
1999-10 68 KB
1999-E-27 Robert J. Gordon The Boskin Commission Report and its Aftermath
/inflation, price measurement, quality change, new products
1999-09 146 KB
1999-E-26 Raj Bhala International Dimensions of Japanese Insolvency Law: A Contextual Approach
/Japanese insolvency law, international insolvency law, bank insolvencies
1999-09 331 KB
1999-E-25 William Roberds The Incentive Effects of Settlement Systems: A Comparison of Gross Settlement, Net Settlement, and Gross Settlement with Queuing
/Settlement, payment, queuing
1999-09 110 KB
1999-E-24 Masahiro Higo, Sachiko Nakada(Kuroda) What Determines the Relation between Output Gap and Inflation? - An International Comparison of Inflation Expectations and Staggered Wage Adjustment -
/Phillips Curve, NAIRU, Expected Inflation Rate, Price Adjustment, Output Gap, Inflation, Monetary Policy
1999-09 181 KB
1999-E-23 Shigenori Shiratsuka Measurement Errors in Japanese Consumer Price Index
/Consumer Price Index, Measurement Errors, Cost of Living Index, Quality Changes, Boskin Report
1999-09 223 KB
1999-E-22 Masahiro Higo What Can Inflation Expectations and Core Inflation Tell Us About Monetary Policy in Japan ?
/Asset Price, Business Cycle, Inflation Expectation, Inflation Targeting, Monetary Policy, Real Interest Rate, Trimmed Mean CPI
1999-08 142 KB
1999-E-21 Shigenori Shiratsuka Asset Price Fluctuation and Price Indices
/Asset Price, Intertemporal cost of living index, Dynamic equilibrium price index, Monetary policy, Information variable
1999-07 162 KB
1999-E-20 Kunio Okina Monetary Policy Under Zero Inflation -A Response to Criticisms and Questions Regarding Monetary Policy-
/Monetary Policy, Zero Interest Rates, Long-term Interest Rates, Inflation Targeting, Outright Purchase of Government Bonds, Quantitative Easing, Excess Reserves, Base Money, Balance Sheet Problem, Liquidity Trap
1999-07 154 KB
1999-E-19 Shuji Kobayakawa, Hisashi Nakamura A Theoretical Analysis of Narrow Banking Proposals
/bank run, narrow banks
1999-06 79 KB
1999-E-18 Patricia Hagan Kuwayama Postal banking in the United States and Japan: a comparative analysis
/U. S. postal savings, Japanese postal savings, deposit insurance, narrow bank
1999-06 155 KB
1999-E-17 Tatsuya Yonetani, Nobuyuki Oda Usefulness of Market Information and Accounting Information from the Perspective of Bank Supervisory Policy: An Empirical Study of Japanese Banks
/Market information, Accounting information, Option pricing theory, Bank performance predicting
1999-06 129 KB
1999-E-16 Jun Muranaga Dynamics of Market Liquidity of Japanese Stocks: An Analysis of Tick-by-tick Data of the Tokyo Stock Exchange 1999-05 255 KB
1999-E-15 Jun Muranaga, Tokiko Shimizu Expectations and Market Microstructure when Liquidity Is Lost 1999-05 369 KB
1999-E-14 Jun Muranaga, Tokiko Shimizu Market Microstructure and Market Liquidity 1999-05 190 KB
1999-E-13 James H. Stock Monetary Policy in a Changing Economy: Indicators, Rules, and the Shift Towards Intangible Output
/Knowledge-based economy, Time varying NAIRU, Taylor rule
1999-05 1,448 KB
1999-E-12 Robert J. Gordon Monetary Policy in the Age of Information Technology
/Information Technology, Multifactor Productivity, NAIRU, Solow Paradox
1999-05 140 KB
1999-E-11 Dale W. Jorgenson, Eric Yip WHATEVER HAPPENED TO PRODUCTIVITY INVESTMENT AND GROWTH IN THE G-7?
/Neoclassical growth theory, Investment and Productivity, Human capital, Intellectual capital, R&D, Sources of economic growth
1999-05 163 KB
1999-E-10 Masahiro Kuroda, Koji Nomura An Explanation of The Productivity Paradox: TFP Spillover through Capital Accumulation
/Solow Paradox, Total Factor Productivity, Measurement Error, Spillover of Technology
1999-05 517 KB
1999-E-9 Hal R. Varian Markets for Information Goods
/Information good, Experience good, Returns to scale, Previewing and browsing, Excludability, Intellectual property
1999-05 161 KB
1999-E-8 Curtis J. Milhaupt Japan's Experience with Deposit Insurance and Failing Banks: Implications for Financial Regulatory Design?
/Deposit Insurance, Bank Failure
1999-03 142 KB
1999-E-7 Milton H. Marquis The Joint and Several Effects of Liquidity Constraints, Financing Constraints, and Financial Intermediation on the Welfare Cost of Inflation
/inflation taxes, financing constraints, financial intermediation
1999-02 280 KB
1999-E-6 Hiroshi Fujiki, Edward. J. Green, Akira Yamakzaki Sharing the Risk of Settlement Failure: Synopsis
/settlement system, risk sharing, private information, mechanism design, core
1999-02 194 KB
1999-E-5 Hitoshi Mio, Masahiro Higo Underlying Inflation and the Distribution of Price Changes Evidence from the Japanese Trimmed Mean CPI
/underlying inflation, trimmed mean CPI, price change distribution, temporary relative price shock
1999-02 307 KB
1999-E-4 Michael F. Bryan, Stephen G. Cecchetti The Monthly Measurement of Core Inflation in Japan
/Inflation Measurement, Core Inflation, Trimmed Means, Median
1999-02 384 KB
1999-E-3 Tokiko Shimizu, Takashi Ui Contagious Expectations and Malfunctions of Markets: Some Lessons from Japanese Financial Institution Failures in 1997 1999-01 257 KB
1999-E-2 Jun Muranaga, Tokiko Shimizu Effect of Trading Halt System on Market Functioning: Simulation Analysis of Market Behavior with Artificial Shutdown
/Artificial market model, Feedback mechanism, Market crash, Trading halt system
1999-01 1,691 KB
1999-E-1 Yukinobu Kitamura, Shuji Kobayakawa Risk Accumulation, Contagion and The Rules for Bank Failure
/contagion, random walk, arc-sine theorem, closure rule, capital injection
1999-01 234 KB

1998

No.Author(s)Title/KeywordsDateFull Text (PDF)
1998-E-18 Kiyohiko G. Nishimura, Toshiaki Watanabe, Kentaro Iwatsubo Effects of the Developments of Knowledge-based Economy on Asset Price Movements: Theory and Evidence in the Japanese Stock Market
/Asymmetry of Information, Market Microstructure, Heterogeneous Expectation, Excess Sensitivity
1998-12 328 KB
1998-E-17 Marvin H. Kosters Wage and Job Trends in the U.S. Labor Market: An Assessment
/Wage Inequality, Skill Premium, Job Security, Skill Intensive Economy
1998-12 132 KB
1998-E-16 Charles I. Jones The Japanese Economy in a World of Knowledge-Based Growth
/Human Capital, Increasing Returns to Scale, Externalities, R&D
1998-12 149 KB
1998-E-15 W. E. Diewert, Kevin J. Fox The Productivity Paradox and Mismeasurement of Economic Activity
/Productivity Paradox, Measurement Error, Quality Adjustment, Service Sector Output
1998-12 421 KB
1998-E-14 Satoshi Daigo, Tatsuya Yonetani, Kohei Marumo Banks Recapitalization Policies in Japan and their Impact on the Market ---A study of the impact of emergency measures in the latter half of FY 1997 on stock prices
/BIS capital adequacy ratio, "lower of cost or market method", cost method, capital injection
1998-12 145 KB
1998-E-13 Tsutomu Saitou, Teruhiko Takahashi, Yuichi Nishikawa Chemical Study of the Medieval Japanese Mochu-sen (Bronze Coins)
/Mochu-sen coins, Shima-sen coins, Iutsushi-sen coins, Kajiki coins, Kanode Gen'yu coins, Dimension and Weight Measeurements, Lead Isotope Analysis
1998-11 351 KB
1998-E-12 Makoto Saito Dynamic Allocation and Pricing in Incomplete Markets: A Survey
/imcomplete markets, asset pricing
1998-11 413 KB
1998-E-11 Nobuyuki Oda Estimating Fair Premium Rates for Deposit Insurance Using Option Pricing Theory--An Empirical Study on Japanese Banks--
/Deposit insurance, variable deposit insurance rates, option pricing theory, stock price, credit risk, bankruptcy forecasting, forbearance
1998-10 302 KB
1998-E-10 Fuminobu Ohtake, Nobuyuki Oda, Toshinao Yoshiba Market Price Analysis and Risk Management for Convertible Bonds
/convertible bond, implied volatility, historical volatility, market risk, arbitrage, issuing conditions
1998-10 585 KB
1998-E-9 Akira Ieda, Toshikazu Ohba Risk Management for Equity Portfolios of Japanese Banks
/equity portfolio, loan, expected default probability, spread over Libor, equity price risk, credit risk, sensitivity
1998-10 405 KB
1998-E-8 Hisashi Nakamura, Shigenori Shiratsuka Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets
/Option Prices, Implied Probability Distribution, Market expectations, Monetary Policy, Information Variables
1998-09 724 KB
1998-E-7 Tetsuya Inoue Impact of Information Technology And Implications for Monetary Policy (Background Paper for the Eighth International Conference)
/Information Technology, IT paradox, Mismeasurement in Economic Statistics, Network Externalities, Adjustment Cost, Relative Price, Policy Commitment
1998-08 590 KB
1998-E-6 Kjell Doksum, Ryozo Miura, Hiroaki Yamauchi On Financial Time Series Decompositions with Applications to Volatility
/Autoregressive fit, BDS statistic, Decomposition, Exchange rate, Financial time series, LOWESS, Volatility
1998-08 557 KB
1998-E-5 Masahiro Higo, Sachiko Nakada(Kuroda) How can we extract a fundamental trend from an economic time series?
/A Fundamental Trend, Time Series Analysis, X-12-ARIMA, DECOMP, HP Filter, Fourier Transformation, Beveridge and Nelson Decompositon
1998-06 904 KB
1998-E-4 Shuji Kobayakawa Designing Incentive Compatible Regurlation in Banking --Role of Penalty in the Precommitment Approach
/mechanism design, Precommitment Approach
1998-04 130 KB
1998-E-3 Tatsuya Yonetani, Yuko Katsuo(Asami) Fair Value Accounting and Regulatory Capital Requirements
/Investment securities, Fair value accounting, Regulatory capital, Earnings
1998-04 153 KB
1998-E-2 Alan J. Auerbach, Laurence J. Kotlikoff, Willi Leibfritz Generational Accounting Around the World
/aging, fiscal deficits, fiscal policy, generational accounting
1998-03 150 KB
1998-E-1 Noriyuki Takayama, Yukinobu Kitamura, Hiroshi Yoshida Generational Accouting in Japan
/aging, fiscal deficits, fiscal policy, generational accounting
1998-03 94 KB

1997

No.Author(s)Title/KeywordsDateFull Text (PDF)
1997-E-11 Masaaki Shirakawa, Kunio Okina, Shigenori Shiratsuka Financial Market Grobalization: Present and Future
/Globalization, Central Bank, International Capital Mobility, Risk Diversification, Monetary Policy,Stability of Financial System
1997-12 301 KB
1997-E-10 Kenjiro Yamaguchi, Mari Ohnuki The Gold and Silver Wraps of the Edo Period - A Unique Form of Gold and Silver Coins -
/The Gold Wraps, The Silver Wraps, Goto Family, Joze Family, Gold Mint, Silver Mint, Money Changer
1997-11 57 KB
1997-E-9 Shigeru Yoshifuji The EaR Model and the Expanded VaR Model: An Application to Bond Portfolios
/earning-at-risk(EaR), value-at-risk(VaR), period profit and loss, cost method, market value method
1997-09 162 KB
1997-E-8 Atsuyuki Kogure A New Approach to the Estimation of Stochastic Differential Equations with an Application to the Japanese Interest Rates
/Call money rate data, Continuous time model, Discretely sample data, Generalized method of moments, Volatility
1997-09 190 KB
1997-E-7 Shigenori Shiratsuka Inflation Measures for Monetary Policy: Measuring Underlying Inflation Trend and Its Implication for Monetary Policy Implementation
/Monetary policy, Price Stability, Underlying inflation, Limited influence estimator, Skewed and fat-tailed distribution of individual price changes
1997-08 367 KB
1997-E-6 J. Mark Ramseyer Vertical Integration in Japan: Speculations from Tax Law and Civil Procedure
/Vertical Integration in Japan
1997-08 62 KB
1997-E-5 Koji Kusuda, Tsutomu Matsumoto A Strength Evaluation of the Data Encryption Standard
/brute force methods, DES, strength evaluation, short-cut methods, time-memory trade-off cryptanalysis
1997-08 1,642 KB
1997-E-4 Yasushi Nakayama, Hidemi Moribatake, Masayuki Abe, Eichiro Fujisaki An Electronic Money Scheme -- A Proposal for a New Electronic Money Scheme which is both Secure and Convenient
/electronic money, electronic cash, issuing institution, privacy, direct transferability between individuals, blind signature, tamper resistance
1997-06 62 KB
1997-E-3 Michael P. Dooley, Menzie D. Chinn Financial Repression and Capital Mobility: Why Capital Flows and Covered Interest Rate Differentials Fail to Measure Capital Market Integration 1997-03 2,389 KB
1997-E-2 Naohiko Baba Markup Pricing and Monetary Policy: A Reexamination of the Effectiveness of Monetary Policy Under Imperfect Competition 1997-02 2,940 KB
1997-E-1 Nobuyuki ODA, Jun MURANAGA A New Framework for Measuring the Credit Risk of a Prtfolio -"ExVaR" Model- 1997-02 3,281 KB

1996

No.Author(s)Title/KeywordsDateFull Text (PDF)
1996-E-31 Carl E. Walsh Inflation and Central Bank Independence: Is Japan Really an Outlier? 1996-12 2,607 KB
1996-E-30 Yukinobu Kitamura Indexed Bonds and Monetary Policy: The Real Interest Rate and the Expected Rate of Inflation 1996-12 2,145 KB
1996-E-29 Susanne Lohmann Is Japan Special? Monetary Linkages and Price Stability 1996-11 1,476 KB
1996-E-28 Edward J. Green Money and Debt in the Structure of Payments 1996-11 1,993 KB
1996-E-27 Nobuyuki Oda A Note on the Estimation of Japanese Government Bond Yield Curves 1996-08 875 KB
1996-E-26 Michio Ueda, Isamu Taguchi, Tsutomu Saito Non-destructive Analysis of the Fineness of Kobans in the Yedo Period 1996-08 2,127 KB
1996-E-25 Morio Seno'o Yamada Hagaki and the History of Paper Currency in Japan 1996-08 1,956 KB
1996-E-24 Naoto Kunitomo, Seisho Sato Estimation of Asymmetrical Volatility for Asset Prices: The Simultaneous Switching ARIMA Approach 1996-06 1,794 KB
1996-E-23 Akira Yamazaki Foreign Exchange Netting and Systemic Risk 1996-06 2,687 KB
1996-E-22 Harris Dellas, Behzad Diba, Peter Garber Resolving Failed Banks: The U.S. S&L Experience 1996-06 3,469 KB
1996-E-21 Bennett T. McCallum Inflation Targeting in Canada, New Zealand, Sweden, the Unaited Kingdom, and in General 1996-06 2,488 KB
1996-E-20 Tommaso Padoa-Schioppa Styles of Monetary Management 1996-03 1,819 KB
1996-E-19 Kunio Okina The Policy Objectives and the Optimal Institutional Framework of a Central Bank 1996-03 1,787 KB
1996-E-18 Franco Bruni Central Bank Independence in the European Union 1996-03 2,467 KB
1996-E-17 Clive Briault, Andrew Haldane, Mervyn King Independence and Accountability 1996-03 2,196 KB
1996-E-16 Kazuo Ueda Japanese Monetary Policy Rules or Discretion? PartII 1996-03 2,353 KB
1996-E-15 Manfred J. M. Neumann Monetary Targeting in Germany 1996-03 1,675 KB
1996-E-14 Benjamin M. Friedman The Rise and Fall of Money Growth Targets as Guidelines for U.S. Monetary Policy 1996-03 2,072 KB
1996-E-13 David Laidler Inflation Control and Monetary Policy Rules 1996-03 2,252 KB
1996-E-12 John B. Taylor Policy Rules as a Means to a More Effective Monetary Policy 1996-03 931 KB
1996-E-11 Allan H. Melzer On Making Monetary Policy More Effective Domestically and Internationally 1996-03 2,414 KB
1996-E-10 Naohiko Baba Empirical Studies on the Recent Decline in Bank Lending Growth: An Approach Based on Asymmetric Information 1996-02 2,341 KB
1996-E-9 Yutaka Soejima The Long-Run Relationship between Real GDP, Money Supply, and Price Level: Reexamination of Cointegration Test 1996-01 2,073 KB
1996-E-8 Atsutoshi Mori, Makoto Ohsawa, Tokiko Shimizu Calculation of Value at Risk and RiskReturn Simulation 1996-01 4,267 KB
1996-E-7 Hiroshi Fujiki, Casey B. Mulligan A Structural Analysis of Money Demand: Cross-Sectional Evidence from Japan 1996-01 4,022 KB
1996-E-6 Hiroshi Fujiki, Casey B. Mulligan Production, Financial Sophistication, and the Demand for Money by Households and Firms 1996-01 2,290 KB
1996-E-5 Toshiaki Watanabe Intraday Price Volatility and Trading Volume: A Case of the Japanese Government Bond Futures 1996-01 9,279 KB
1996-E-4 Tokiko Shimizu, Tsukasa Yamashita Dynamic Micro and Macro Stress Simulation 1996-01 1,703 KB
1996-E-3 Shumpei Okada, Eiji Harada, Fumihiko Tsunoda Integration of Credit Risk with Market Risk in Asset Liability Management 1996-01 1,722 KB
1996-E-2 Atutoshi Mori, Makoto Ohsawa, Tokiko Shimizu A Framework for More Effective Stress Testing 1996-01 3,585 KB
1996-E-1 Shinji Nishida The "Domino Effest of Defaults" and Its Implications for Regulatory Actions 1996-01 1,480 KB

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