Monetary and Economic Studies is published each year, by the Bank of Japan's Institute for Monetary and Economic Studies (IMES). In line with IMES policy, the publication seeks to provide information on monetary and economic issues to the general public. Articles include research achievements by the staff and visiting scholars, and selected works from the proceedings of conferences sponsored by IMES.
Views expressed in Monetary and Economic Studies are those of the authors and do not necessarily reflect those of the Bank of Japan or IMES.
Click the title to obtain an abstract of the thesis
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 |
128 KB |
| Haruhiko Kuroda | Opening Remarks of the 2015 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan | 40 KB |
| Barry Eichengreen | The Mayekawa Lecture: Wall of Worries: Reflections on the Secular Stagnation Debate
/Secular stagnation; Real interest rates; Economic growth |
233 KB |
| 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 |
3,676 KB |
| 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 |
3,139 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Ichiro Fukunaga, Daisuke Ikeda, Akira Otani | Monetary Policy in a Post-Financial Crisis Era: Summary of the 2014 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan |
160 KB |
| Haruhiko Kuroda | Opening Remarks of the 2014 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan | 27 KB |
| 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 |
93 KB |
| Hiroshi Fujiki | Japanese Money Demand from the Regional Data: An Update and Some Additional Results /Demand for money; Income elasticity of money demand |
1,022 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Hiroshi Fujiki, Takushi Kurozumi, Azusa Takeyama, Tomoo Yoshida | Financial Crises and the Global Financial System: Summary of the 2013 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan | 110 KB |
| Haruhiko Kuroda | Opening Remarks of the 2013 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan | 45 KB |
| 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 |
223 KB |
| Guillermo A. Calvo | The Mayekawa Lecture: Puzzling over the Anatomy of Crises—Liquidity and the Veil of Finance
/Financial crises; Bubbles; Sudden Stop |
226 KB |
| 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 |
283 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Hiroshi Fujiki, Naohisa Hirakata, Kentaro Morishita, Tomoo Yoshida | Demographic Changes and Macroeconomic Performance: Summary of the 2012 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan | 103 KB |
| Masaaki Shirakawa | Demographic Changes and Macroeconomic Performance: Japanese Experiences | 1,502 KB |
| Marvin Goodfriend | The Elusive Promise of Independent Central Banking
/Bank of England; Central bank independence; Credit turmoil of 2007–08; Federal Reserve; Great Inflation; Lender of last resort; Monetary policy |
99 KB |
| Otmar Issing | The Mayekawa Lecture: Central Banks – Paradise Lost
/Central banking; Financial stability; Monetary policy |
122 KB |
| 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 |
824 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Ryo Kato, Nobuyuki Oda, Nao Sudo, Tomoo Yoshida | Real and Financial Linkage and Monetary Policy: Summary of the 2011 Annual International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan | 67 KB |
| Masaaki Shirakawa | Bubbles, Demographic Change and Natural Disasters | 476 KB |
| Maurice Obstfeld | International Liquidity: The Fiscal Dimension
/International liquidity; Sovereign debt; Euro zone crisis; Fiscal union; International Monetary Fund; Special Drawing Rights |
208 KB |
| Charles A. E. Goodhart, Dimitrios P. Tsomocos | The Mayekawa Lecture: The Role of Default in Macroeconomics
/Default; Transversality; Money; Bankruptcy cost; Asset bubbles; Resolution mechanisms |
109 KB |
| 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 |
797 KB |
| 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 |
851 KB |
| Keisuke Otsu | Accounting for Japanese Business Cycles: A Quest for Labor Wedges
/Business cycle accounting; Japanese labor market |
497 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 | 60 KB |
| Masaaki Shirakawa | Future of Central Banks and Central Banking | 46 KB |
| Bennett T. McCallum | The Future of Central Banking: A Lesson from United States History
/Metallic standard; Fiat money; U.S. Constitution; Legal tender cases; Monetary versus fiscal policy |
41 KB |
| William R. White | The Mayekawa Lecture: Some Alternative Perspectives on Macroeconomic Theory and Some Policy Implications
/Macroeconomics; Bubble; Financial crisis |
127 KB |
| Shigeru Iwata | Monetary Policy and the Term Structure of Interest Rates When Short-Term Rates are Close to Zero
/Zero interest rates; Yield curve; Liquidity trap |
532 KB |
| 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 |
1,311 KB |
| Kei Imakubo, Yutaka Soejima | The Transaction Network in Japan's Interbank Money Markets
/Interbank market; Real-time gross settlement; Network; Small world; Core and periphery; Systemic risk |
1,068 KB |
| Kei Imakubo, Yutaka Soejima | The Microstructure of Japan's Interbank Money Market: Simulating Contagion of Intraday Flow of Funds Using BOJ-NET Payment Data
/Real-time gross settlement; Payment recycling; BOJ-NET |
460 KB |
| 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 |
694 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Shigenori Shiratsuka, Wataru Takahashi, Kozo Ueda | 2009 International Conference "Financial System and Monetary Policy Implementation" Summary | 77 KB |
| Masaaki Shirakawa | 2009 International Conference "Financial System and Monetary Policy Implementation," Opening Speech Financial System and Monetary Policy Implementation: Long and Winding Evolution in the Way of Thinking | 34 KB |
| Bennett T. McCallum | 2009 International Conference "Financial System and Monetary Policy Implementation," Keynote Speech, The Role of "Determinacy" in Monetary Policy Analysis
/Determinacy; Learnability; Rational expectations; Multiple solutions; Monetary policy |
184 KB |
| Maurice Obstfeld | 2009 International Conference "Financial System and Monetary Policy Implementation," Keynote Speech, Lenders of Last Resort in a Globalized World
/Lender of last resort; Financial crisis; Central banking; International monetary system; International Monetary Fund |
229 KB |
| Toshihiko Mukoyama | On the Establishment Dynamics in the United States and Japan
/Establishment dynamics; Sectoral composition; Industry dynamics model; Reallocation |
287 KB |
| 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 |
309 KB |
| Patrick McGuire | Bank Ties and Firm Performance in Japan: Some Evidence since Fiscal 2002
/Cross-shareholding; Main bank; Japanese banks; Firm performance |
720 KB |
| Ichiro Fukunaga, Masashi Saito | Asset Prices and Monetary Policy
/Asset prices; Monetary policy; Financial frictions; Policy trade-offs |
421 KB |
| 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 |
677 KB |
| 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 |
528 KB |
| Takashi Nanjo, Makoto Kasuya | Part-Paid Stock, Corporate Finance, and Investment: Economic Consequences of the Part-Paid Stock System and Supplementary Installments in Early 1930s Japan
/Part-paid stock; Joint-stock company; Corporate finance; Investment; Financial system; Interwar period; Great Depression |
273 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Ippei Fujiwara, Kazuo Fukuda, Ichiro Muto, Yosuke Shigemi, Wataru Takahashi | 2008 International Conference "Frontiers in Monetary Theory and Policy," Summary | 109 KB |
| Masaaki Shirakawa | 2008 International Conference "Frontiers in Monetary Theory and Policy," Opening Speech | 35 KB |
| Bennett T. McCallum | 2008 International Conference, Introductory Remarks | 36 KB |
| John B. Taylor | 2008 International Conference, The Mayekawa Lecture:The Way Back to Stability and Growth in the Global Economy | 99 KB |
| Maurice Obstfeld | 2008 International Conference, Concluding Remarks | 52 KB |
| 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 |
2,125 KB |
| Laurence Ball | Helicopter Drops and Japan's Liquidity Trap
/Helicopter drop; Liquidity trap; Deflation |
357 KB |
| Graciela L. Kaminsky | Crises and Sudden Stops:Evidence from International Bond and Syndicated-Loan Markets
/Contagion; Financial integration; Globalization; International primary issuance; Sudden stops |
246 KB |
| 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 |
326 KB |
| Hiroshi Fujiki, Cheng Hsiao | Aggregate and Household Demand for Money: Evidence from the Public Opinion Survey on Household Financial Assets and Liabilities
/Demand for money; Aggregation; Heterogeneity |
299 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Wataru Takahashi, Kenichiro Watanabe, Hiroshi Fujiki | The Fourteenth International Conference "Growth, Integration and Monetary Policy in East Asia," Introduction Summary | 68 KB |
| Toshihiko Fukui | The Fourteenth International Conference "Growth, Integration and Monetary Policy in East Asia," Opening Speech | 45 KB |
| Bennett T. McCallum | Monetary Policy in East Asia : The Case of Singapore
/Exchange rate; Inflation targeting; Instrument variable; Target variable; Open economy; Monetary policy |
139 KB |
| Maurice Obstfeld | The Renminbi's Dollar Peg at the Crossroads
/Renminbi; China currency; China balance of payments; Fixed exchange rate exit strategy |
347 KB |
| Hiroshi Fujiki, Akiko Terada-Hagiwara | Financial Integration in East Asia
/Exchange rate regime; Financial integration; Risk sharing |
352 KB |
| Michael B. Devereux | Financial Globalization and Emerging Market Portfolios
/Asia; Financial globalization; Foreign direct investment; Foreign exchange rate reserves |
227 KB |
| Sanghoon Ahn, Jong-Wha Lee | Integration and Growth in East Asia
/Integration; Growth; Trade; Foreign direct investment; East Asia |
281 KB |
| Christian Broda, David E. Weinstein | Defining Price Stability in Japan: A View from America
/Inflation; Consumer price index bias; Monetary policy |
280 KB |
| Marvin Goodfriend | Monetary Policy in East Asia: Common Concerns
/East Asia; Monetary policy; Banking policy; Exchange rates; Trade balance; International reserves |
196 KB |
| Akinari Horii, Leonardo Bartolini, Hans Genberg,Mar Gudmundsson, Bennett T. McCallum, Maurice Obstfeld, Yu Yongding | The Fourteenth International Conference "Growth, Integration and Monetary Policy in East Asia," Concluding Panel Discussion: Growth, Integration, and Monetary Policy in East Asia | 206 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Kenshi Taketa, Gregory F. Udell | Lending Channels and Financial Shocks: The Case of Small and Medium-Sized Enterprise Trade Credit and the Japanese Banking Crisis
/Trade credit; Credit crunch |
301 KB |
| 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 |
335 KB |
| Ippei Fujiwara, Naoko Hara, Naohisa Hirakata, Takeshi Kimura, Shinichiro Watanabe | Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policymaking under Uncertainty
/Collapse of the bubble economy; Monetary policy; Uncertainty |
342 KB |
| Kris James Mitchener, Mari Ohnuki | Capital Market Integration in Japan
/Financial market development; Capital market integration; Economic integration; Japanese banks |
237 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Hiroshi Ugai | Effects of the Quantitative Easing Policy: A Survey of Empirical Analyses
/Zero interest rate policy; Quantitative easing policy; Commitment; Zero bound constraint on interest rates; Deflation |
345 KB |
| Juro Teranishi | Were Banks Really at the Center of the Prewar Japanese Financial System?
/Prewar Japan; Financial system; Banking; Stock markets; Corporate governance; Risk bearing; Information production |
210 KB |
| Kanji Ishii | Equity Investments and Equity Investment Funding in Prewar Japan : Comments on "Were Banks Really at the Center of the Prewar Japanese Financial System?" | 115 KB |
| Tetsuji Okazaki | The Evolution of Corporate Finance and Corporate Governance in Prewar Japan : Comments on "Were Banks Really at the Center of the Prewar Japanese Financial System?" | 80 KB |
| Mari Ohnuki | The Bank of Japan Network and Financial Market Integration: From the Establishment of the Bank of Japan to the Early 20th Century
/Financial market integration; Payments network; Bank of Japan; Correspondent network funds transfers; Movement of funds |
264 KB |
| Masashi Une, Masayuki Kanda | Year 2010 Issues on Cryptographic Algorithms
/Cryptographic algorithm; Symmetric cipher; Asymmetric cipher; Security; Year 2010 issues; Hash function |
250 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Kunio Okina, Naohiko Baba | The Thirteenth International Conference "Financial Markets and the Real Economy in a Low Interest Rate Environment," Introduction Summary | 64 KB |
| Toshihiko Fukui | The Thirteenth International Conference "Financial Markets and the Real Economy in a Low Interest Rate Environment,"Opening Speech | 46 KB |
| Bennett T. McCallum | Misconceptions Regarding the Zero Lower Bound on Interest Rates
/Interest rates; Zero lower bound; Quantitative easing; Expectations; Deflation trap; Liquidity trap |
130 KB |
| Maurice Obstfeld | Implications for the Yen of Japanese Current Account Adjustment
/Current account adjustment; International capital flows; Japanese yen exchange rate |
110 KB |
| 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 |
581 KB |
| Glenn D. Rudebusch, Eric T. Swanson, Tao Wu | The Bond Yield "Conundrum" from a Macro-Finance Perspective
/Term structure; Term premium; Bond pricing; Affine no-arbitrage model |
370 KB |
| 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 |
334 KB |
| Gauti B. Eggertsson, Benjamin Pugsley | The Mistake of 1937: A General Equilibrium Analysis
/Deflation; Zero bound on interest rates; Regime changes; Great Depression |
442 KB |
| Alessandra Fogli, Fabrizio Perri | The Great Moderation and the U.S. External Imbalance | 218 KB |
| Stefan Ingves, Christine M. Cumming, Lucrezia Reichlin, Masaaki Shirakawa, Bennett T. McCallum, Maurice Obstfeld | The Thirteenth International Conference "Financial Markets and the Real Economy in a Low Interest Rate Environment," Concluding Panel Discussion: Financial Markets and the Real Economy in a Low Interest Rate Environment | 408 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 |
321 KB |
| Steven Li | The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis
/Put-call parity; Market efficiency; Nikkei 225 options |
176 KB |
| Andrew K. Rose | Well-Being in the Small and in the Large
/Population; Empirical; Data; National; Country; Scale; Size |
366 KB |
| 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 |
786 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Luc Bauwens | Econometric Analysis of Intra-Daily Trading Activity on the Tokyo Stock Exchange
/Autoregressive conditional duration; Trade durations; High-frequency data; Tokyo Stock Exchange |
669 KB |
| Jurgen von Hagen | Fiscal Rules and Fiscal Performance in the European Union and Japan
/Fiscal policy; Political budget cycles; Government budgeting |
254 KB |
| 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 |
144 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Kunio Okina, Hiroshi Fujiki | The Twelfth International Conference "Incentive Mechanisms for Economic Policymakers," Introduction, | 65 KB |
| Toshihiko Fukui | The Twelfth International Conference "Incentive Mechanisms for Economic Policymakers,"Opening Speech | 48 KB |
| Bennett T. McCallum | The Twelfth International Conference "Incentive Mechanisms for Economic Policymakers," Keynote Speech, What Is the Proper Perspective for Monetary Policy Optimality?
/Policy rules; Dynamic inconsistency; Timeless perspective |
114 KB |
| Maurice Obstfeld | The Twelfth International Conference "Incentive Mechanisms for Economic Policymakers," Keynote Speech, America's Deficit, the World's Problem
/Current account adjustment; International capital flows; Exchange rates |
116 KB |
| Hiroshi Fujiki | The Monetary Policy Committee and the Incentive Problem: A Selective Survey
/Central bank independence; Monetary policy committee; Voting; Transparency; Commitment |
379 KB |
| Jean-Charles Rochet | Prudential Policy
/Banking supervision; Prudential regulation; Financial stability |
283 KB |
| Guillaume Plantin, Haresh Sapra, Hyun Song Shin | Marking to Market, Liquidity, and Financial Stability
/Marking to market; Accounting regime; Monetary policy; Financial stability |
225 KB |
| Kenneth Kletzer | International Financial Integration, Sovereignty, and Constraints on Macroeconomic Policies
/International financial integration; Sovereignty; Tax smoothing; Nominal public debt; Monetary policy |
218 KB |
| Francesco Giavazzi, Tullio Jappelli, Marco Pagano, Marina Benedetti | Searching for Non-Monotonic Effects of Fiscal Policy: New Evidence
/Fiscal policy; National saving |
269 KB |
| Yasuhiro Maehara, Wolfgang Schill, Janet L. Yellen, Masaaki Shirakawa, Bennett T. McCallum, Maurice Obstfeld | The Twelfth International Conference "Incentive Mechanisms for Economic Policymakers," Concluding Panel Discussion: Macroeconomic Policy and Central Banking | 193 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 |
251 KB |
| Hiroshi Fujiki, Masayuki Nakakuki | Asymmetric Shocks and Regional Risk Sharing: Evidence from Japan
/Regional shocks; Risk sharing |
226 KB |
| Ippei Fujiwara, Naoko Hara, Yasuo Hirose, Yuki Teranishi | The Japanese Economic Model (JEM)
/Large-scale macroeconomic model; Monetary policy; Numerical method; Projection |
625 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 |
311 KB |
| Naohiko Baba, Shinichi Nishioka, Nobuyuki Oda, Masaaki Shirakawa, Kazuo Ueda, Hiroshi Ugai | Japan's Deflation, Problems in the Financial System, and Monetary Policy
/Zero interest rate policy; Quantitative monetary easing policy; Commitment; Deflation; Financial accelerator; Negative interest rate; Investor behavior |
724 KB |
| Takuji Kawamoto | What Do the Purified Solow Residuals Tell Us about Japan's Lost Decade?
/Productivity; Technology; Purified Solow residual; Japan |
274 KB |
| 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 |
243 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Kunio Okina, Shigenori Shiratsuka | "Challenges for Sustained Economic Growth under Changing Economic, Social, and International Environments," Introduction | 72 KB |
| Kunio Okina, Kazuo Ueda, Vincent R. Reinhart, Otmar Issing. Maurice Obstfeld, Bennett T. McCallum | "Challenges for Sustained Economic Growth under Changing Economic, Social, and International Environments," Concluding Panel Discussion: Sustained Economic Growth and Central Banking | 231 KB |
| Toshihiko Fukui | "Challenges for Sustained Economic Growth under Changing Economic, Social, and International Environments," Opening Speech | 54 KB |
| Bennett T. McCallum | "Challenges for Sustained Economic Growth under Changing Economic, Social, and International Environments," Keynote Speech, Long-Run Monetary Neutrality and Contemporary Policy Analysis
/Superneutrality; Natural-rate hypothesis; Quantity theory of money; Cointegration |
124 KB |
| Maurice Obstfeld | "Challenges for Sustained Economic Growth under Changing Economic, Social, and International Environments," Keynote Speech, Globalization, Macroeconomic Performance, and the Exchange Rates of Emerging Economies
/Developing countries; Emerging markets; Convergence; Macroeconomic volatility; Exchange rate regimes; Institutions; Dollarization; Original sin |
246 KB |
| William R. Easterly | Globalization, Inequality, and Development: The Big Picture
/Globalization; Trade; Capital flows; Migration; Education; Development |
291 KB |
| Franklin Allen, Hiroko Oura | Sustained Economic Growth and the Financial System
/Growth; Crises; Bubbles; Contagion; Financial fragility |
221 KB |
| Assaf Razin, Efraim Sadka | Privatizing Social Security: A Political-Economy Approach
/Dependency ratio; Median voter; Privatization; Individual saving accounts |
133 KB |
| 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 |
310 KB |
| Vincent R. Reinhart | Securing the Peace after a Truce in the War on Inflation
/Monetary policy; Zero bound; Equilibrium interest rate |
290 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Robert L. Hetzel | Price Stability and Japanese Monetary Policy
/Japanese monetary policy; Bank of Japan; Deflation; Liquidity trap |
217 KB |
| Hiroshi Fujiki, Kunio Okina, Shigenori Shiratsuka | Comments on "Price Stability and Japanese Monetary Policy" (1)
/Quantitative easing; Deflation |
294 KB |
| Kenneth N. Kuttner | Comments on "Price Stability and Japanese Monetary Policy" (2)
/Quantity theory; Quantitative easing; Deflation |
144 KB |
| 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 |
362 KB |
| 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 vector autoregression (VAR) |
403 KB |
| Yukinobu Kitamura | Information Content of Inflation-Indexed Bond Prices: Evaluation of U.S. Treasury Inflation-Protection Securities
/Inflation-indexed bond; Expected inflation rate; Real yield |
392 KB |
| Ryoji Koike | Japan's Foreign Direct Investment and Structural Changes in Japanese and East Asian Trade
/Foreign direct investment (FDI); Gravity equation; Trade structure; Vertical specialization; Horizontal specialization; Fragmentation |
306 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Andrew K. Rose | Equity Integration in Japan: An Application of a New Method
/Stock prices; Risk; Portfolio |
180 KB |
| Jun Nagayasu | The Term Structure of Interest Rates and Monetary Policy during a Zero Interest Rate Period
/Monetary policy; Zero interest rates |
242 KB |
| Daniel L. Thornton | Testing the Expectations Hypothesis: Some New Evidence for Japan
/Expectations hypothesis; Nonstationarity; Vector autoregression; Lagrange multiplier test |
210 KB |
| 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; Total factor productivity (TFP) |
244 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 |
211 KB |
| Hiroyuki Oi, Akira Otani, Toyoichiro Shirota | The Choice of Invoice Currency in International Trade: Implications for the Internationalization of the Yen
/Invoice currency; Local currency pricing (LCP); Producer's currency pricing (PCP); Internationalization of the yen; New open-economy macroeconomics; Currency-basket regime |
284 KB |
| Naohiko Baba, Yasunari Inamura | The Japanese Repo Market: Theory and Evidence
/Repo; Government bond; No-arbitrage condition; Repo spread; On-the-run issues; Cheapest to deliver (CTD); Short sales |
230 KB |
| Hiroatsu Tanaka, Naohiko Baba | Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence
/Mutual funds; Asset allocation; Fees; Uncertainty; Panel data |
398 KB |
| Ippei Fujiwara, Maiko Koga | A Statistical Forecasting Method for Inflation Forecasting: Hitting Every Vector Autoregression and Forecasting under Model Uncertainty
/Inflation; Forecast; Reduced rank VAR; Kernel smoothing; Mixture distribution; Nonparametric test |
186 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| David Andolfatto | Monetary Implications of the Hayashi-Prescott Hypothesis for Japan
/Productivity slowdown; Money multiplier; Monetary policy; Liquidity trap |
178 KB |
| Hiroshi Fujiki, Kiyoshi Watanabe | Effects of External Debt on Domestic Resource Allocation in a Small Open Economy with Limited Access to the World Capital Market
/External debt; Two-sector economic models |
272 KB |
| 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 |
251 KB |
| Eisaku Ide | Policy Debates on Public Finance between the Ministry of Finance and the Bank of Japan from 1930 to 1936
/Direct underwriting of deficit-financing bonds by the BOJ (BOJ underwriting); Joint Research Committee; Currency system; Market operation by selling government bonds; Continuing expenditure; Deferred fiscal burden |
142 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Makoto Saito, Shigenori Shiratsuka | Precautionary Motives versus Waiting Options: Evidence from Aggregate Household Saving in Japan
/Precautionary savings; Waiting options; Flexibility; Risks; Resolution of uncertainty |
184 KB |
| 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 |
233 KB |
| 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 |
244 KB |
| 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 |
177 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 |
218 KB |
| 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 |
275 KB |
| Toshitaka Sekine, Keiichiro Kobayashi, Yumi Saita | Forbearance Lending: The Case of Japanese Firms
/Forbearance lending; Nonperforming loan; Dynamic GMM |
195 KB |
| Yasuo Hirose, Koichiro Kamada | A New Technique for Simultaneous Estimation of Potential Output and the Phillips Curve
/Potential output; Phillips curve; Hodrick-Prescott filter |
180 KB |
| Masahiro Fukuhara, Yasufumi Saruwatari | An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory
/Contagion; Multivariate extreme value theory; Emerging market currencies |
167 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 |
246 KB |
| 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 |
267 KB |
| Sachiko Kuroda | 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 |
285 KB |
| Tomiyuki Kitamura, Ryoji Koike | The Effectiveness of Forecasting Methods Using Multiple Information Variables
/Information variable; Multivariate forecast; Out-of-sample forecast; Forecast combination |
435 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Kunio Okina, Hiroshi Fujiki, Akira Otani | "Exchange Rate Regimes in the 21st Century," Introduction | 54 KB |
| Kunio Okina, Allan H. Meltzer, Maurice Obstfeld, Roger W. Ferguson, Jr., Pierre van der Haegen, Yutaka Yamaguchi | "Exchange Rate Regimes in the 21st Century," Concluding Panel Discussion: The Role of Central Banks in Exchange Rate Regimes in the 21st Century | 167 KB |
| Kazuo Ueda | "Exchange Rate Regimes in the 21st Century," Final Remarks | 33 KB |
| Masaru Hayami | "Exchange Rate Regimes in the 21st Century," Opening Speech | 30 KB |
| Allan H. Meltzer | "Exchange Rate Regimes in the 21st Century," Keynote Speech, New International Financial Arrangements
/Exchange rates; International monetary system; Debt restructuring; Sovereign bankruptcy |
69 KB |
| Maurice Obstfeld | "Exchange Rate Regimes in the 21st Century," Keynote Speech, Exchange Rates and Adjustment: Perspectives from the New Open-Economy Macroeconomics
/Exchange rate policy; International adjustment; Expenditure-switching effects; Elasticity pessimism; International competitiveness |
147 KB |
| Hiroshi Fujiki, Akira Otani | Do Currency Regimes Matter in the 21st Century? An Overview
/Bipolar view; Euro; Dollarization; Regional currency area |
223 KB |
| Vittorio Corbo | Exchange Rate Regimes in the Americas: Is Dollarization the Solution?
/Exchange rate systems; Inflation targeting; Dollarization |
163 KB |
| Juergen von Hagen, Matthias Brueckner | Monetary and Fiscal Policy in the European Monetary Union
/European Monetary Union; Monetary policy; Fiscal policy; Stability Pact |
218 KB |
| 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 |
260 KB |
| Sebastian Edwards, I. Igal Magendzo | Independent Currency Unions, Growth, and Inflation
/Currency unions; Dollarization; Inflation; GDP growth; GDP volatility; Treatment effects |
135 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Akira Otani | Pricing-to-Market (PTM) and the International Monetary Policy Transmission: The 'New Open-Economy Macroeconomics' Approach
/New open-economy macroeconomics; PPP (purchasing power parity); PTM (pricing-to-market); Monetary policy; Beggar-thy-neighbor effect |
176 KB |
| Kunio Okina, Shigenori Shiratsuka | Asset Price Bubbles, Price Stability, and Monetary Policy: Japan's Experience
/Monetary policy; Asset price bubble; Price stability; Financial stability |
305 KB |
| 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 |
240 KB |
| 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; Asset prices; Stability of the financial system |
147 KB |
| 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 |
240 KB |
| 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 |
292 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 |
119 KB |
| Hiroshi Fujiki | Money Demand near Zero Interest Rate: Evidence from Regional Data
/Zero interest rate policy; Demand for money |
117 KB |
| 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 |
197 KB |
| Yasuhiro Yamai, Toshinao Yoshiba | 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 |
87 KB |
| Howard J. Wall | Has Japan Been Left Out in the Cold by Regional Integration?
/Regional integration; Japanese trade; Gravity model |
79 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Douglas W. Diamond | Should Japanese Banks Be Recapitalized?
/Bank capital; Recapitalization; Relationship lending; Banking; Bank failure |
105 KB |
| 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 |
150 KB |
| 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 |
263 KB |
| Hitoshi Mio | The Phillips Curve and Underlying Inflation
/Underlying inflation; Trimmed mean CPI; Price change distribution; Temporary relative price shock |
179 KB |
| Koichiro Kamada, Kazuto Masuda | Effects of Measurement Error on the Output Gap in Japan
/Productivity; Output gap; Measurement errors |
237 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Takeo Hoshi | What Happened to Japanese Banks?
/Financial deregulation; Bad loans; Real estate lending; Keiretsu loans |
168 KB |
| 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 |
119 KB |
| 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 |
267 KB |
| 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 |
265 KB |
| Raj Bhala | International Dimensions of Japanese Insolvency Law
/Japanese insolvency law; International insolvency law; Bank insolvencies |
220 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Kunio Okina, Hiroo Taguchi, Shigenori Shiratsuka | "The Role of Monetary Policy under Low Inflation: Deflationary Shocks and Policy Responses," Introduction | 30 KB |
| 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 |
481 KB |
| 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 |
184 KB |
| 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 |
196 KB |
| Vitor Gaspar, Donald L. Kohn, Yutaka Yamaguchi, Allan H. Meltzer, John B. Taylor | "The Role of Monetary Policy under Low Inflation: Deflationary Shocks and Policy Responses," Concluding Panel Discussion: The Role of Monetary Policy under Low Inflation | 95 KB |
| Kunio Okina, Masaaki Shirakawa, Shigenori Shiratsuka | "The Role of Monetary Policy under Low Inflation: Deflationary Shocks and Policy Responses," Background Paper: 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 |
342 KB |
| Masaru Hayami | "The Role of Monetary Policy under Low Inflation: Deflationary Shocks and Policy Responses," Opening Speech | 16 KB |
| Allan H. Meltzer | "The Role of Monetary Policy under Low Inflation: Deflationary Shocks and Policy Responses," Keynote Speeches, Monetary Transmission at Low Inflation: Some Clues from Japan in the 1990s
/Economic policy; Money; Deflation; Exchange rates; Recession |
94 KB |
| John B. Taylor | "The Role of Monetary Policy under Low Inflation: Deflationary Shocks and Policy Responses," Keynote Speeches, Low Inflation, Deflation, and Policies for Future Price Stability
/Monetary policy; Inflation; Policy rule; Money growth; Zero interest rate policy |
73 KB |
| Naruki Mori, Shigenori Shiratsuka, Hiroo Taguchi | "The Role of Monetary Policy under Low Inflation: Deflationary Shocks and Policy Responses," Policy Responses to the Post-Bubble Adjustments in Japan: A Tentative Review
/Monetary policy; Prudential policy; Bursting of bubble; Nonperforming assets; Credit channel; Management of failure in financial institutions; Structural problems |
379 KB |
| 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 |
129 KB |
| Marvin Goodfriend | Financial Stability, Deflation, and Monetary Policy
/Banking policy; Deflation; Financial distress; Financial stability; Liquidity; Monetary policy; Zero bound on interest rates |
127 KB |
| Hiroshi Fujiki, Sachiko Kuroda Nakada, Toshiaki Tachibanaki | 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 |
181 KB |
| Lars Peter Hansen, Thomas J. Sargent | Acknowledging Misspecification in Macroeconomic Theory
/Robustness; Model misspecification; Monetary policy; Rational expectations |
105 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| James Dow | What Is Systemic Risk? Moral Hazard, Initial Shocks, and Propagation
/Systemic risk; Moral hazard; Bank solvency; Financial system stability; Bank capital regulation |
211 KB |
| 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 |
262 KB |
| 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 concentration/diversification; Correlation between default events |
434 KB |
| 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 |
473 KB |
| Toshiyasu Kato, Toshinao Yoshiba | Model Risk and Its Control
/Model risk; Pricing model; Risk measurement model; Risk management systems; Reserves; Scenario analysis; Position limits |
325 KB |
| Naohiko Baba | Exploring the Role of Money in Asset Pricing in Japan: Monetary Considerations and Stochastic Discount Factors
/Asset pricing; CAPM; Money-in-the-utility; Cash-in-advance; Habit formation; Volatility bound; Market frictions |
440 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Forum on the Development of Electronic Payment Technologies and Its Implications for Monetary Policy: Interim Report | 170 KB | |
| Naohiko Baba | Testing the Ex Ante Relationship between Asset and Investment Returns in Japan: An Application of the P-CAPM to Japanese Asset Returns
/Asset pricing; P-CAPM; GMM; Equity premium puzzle; Risk-free rate puzzle; Volatility bound test; q theory of investment |
205 KB |
| 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 |
163 KB |
| Shuji Kobayakawa, Hisashi Nakamura | A Theoretical Analysis of Narrow Banking Proposals
/Narrow bank; Bank run; Integrated operation of deposit-taking and lending services; Liquidity |
80 KB |
| 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 |
94 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Kunio Okina, Masaaki, Shirakawa, Shigenori Shiratsuka | Financial Market Globalization: Present and Future
/Globalization; Central bank; International capital mobility; Risk diversification; Monetary policy; Stability of fiancial system |
384 KB |
| Robert J. Gordon | The Boskin Commission Report and Its Aftermath
/Inflation; Price measurement; Quality change; New products |
331 KB |
| Shigenori Shiratsuka | Measurement Errors in the Japanese Consumer Price Index
/Consumer price index; Measurement errors; Cost of living index; Quality changes; Boskin Report |
334 KB |
| Shigenori Shiratsuka | Asset Price Fluctuation and Price Indices
/Asset price; Intertemporal cost of living index; Dynamic equilibrium price index; Monetary policy; Information variable |
283 KB |
| Masahiro Higo, Sachiko Kuroda Nakada | What Determines the Relation between the 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 |
328 KB |
| Kunio Okina (Comments; Ronald I. McKinnon, Allan H. Meltzer, Rejoinder; 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 |
397 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Milton H. Marquis | The Joint and Several Effects of Liquidity Constraints, Financing Constraints, and Financial Intermediation on the Welfare Cost of Inflation
/Financing constraints; Financial intermediation; Welfare costs of inflation |
218 KB |
| Curtis J. Milhaupt | Japan's Experience with Deposit Insurance and Failing Banks: Implications for Financial Regulatory Design?
/Deposit insurance; Bank failure |
275 KB |
| 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 |
291 KB |
| 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 |
261 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| 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 |
967 KB |
| Makoto Saito | Dynamic Allocation and Pricing in Incomplete Markets: A Survey
/Incomplete markets; Asset pricing |
211 KB |
| Michael F. Bryan, Stephen G. Cecchetti | The Monthly Measurement of Core Inflation in Japan
/Inflation measurement; Core inflation; Trimmed means; Median |
206 KB |
| Hitoshi Mio, Masahiro Higo | Underlying Inflation and the Distribution of Price Change: Evidence from the JapaneseTrimmed-Mean CPI
/Underlying inflation; Trimmed CPI; Price change distribution; Temporary relative price shock |
327 KB |
| Nobuyuki Oda | Estimating Fair Premium Rates for Deposit Insurance Using Option Pricing Theory: An Empirical Study of Japanese Banks
/Deposit insurance; Variable deposit insurance rates; Option pricing theory; Stock price; Credit risk; Bankruptcy forecasting; Forbearance |
400 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Allan H. Meltzer | Monetary Policy and the Quality of Information
/Monetary policy; Demand for monetary base; Japan; United States; Germany |
172 KB |
| John B. Taylor | Information Technology and Monetary Policy
/Monetary policy rules; Robustness; Information Technology |
68 KB |
| Tetsuya Inoue | Impact of Information Technology and Implications for Monetary Policy
/Information Technology; IT paradox; Mismeasurement in economic statistics; Network externalities; Adjustment cost; Relative price; Policy commitment |
243 KB |
| Masahiro Higo, Sachiko Kuroda Nakada | How Can We Extract a Fundamental Trend from an Economic Time-Series?
/Fundamental trend; Time-series analysis; X-12-ARIMA; DECOMP; HP Filter; Fourier transformation; Beveridge and Nelson decomposition |
589 KB |
| Akira Ieda, Toshikazu Ohba | Recent Trends in the Spread over Libor on the Domestic Straight Bond Trading Market in Japan
/Domestic straight bonds; LS (spread over Libor); Credit risk |
148 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Yoshinao Kiyama, Tsukasa Yamashita, Tohsinao Yoshiba, Toshihiro Yoshida | Interest Rate Risk of Banking Accounts: Measurement Using the VaR Framework
/Value at risk; Monte Carlo simulation; Holding period; Term-structure model; Heath-Jarrow-Morton model; Administered rate; Prepayment |
351 KB |
| Toshitaka Sekine | Financial Liberalization, the Wealth Effect, and the Demand for Broad Money in Japan
/Demand for money; Monetary policy; Wealth effect; Cointegration; Error correction; Exogeneity; Japan |
272 KB |
| Cheng Hisao, Hiroshi Fujiki | Nonstationary Time-Series Modeling versus Structural Equation Modeling: With an Application to Japanese Money Demand
/Nonstationary time series; Structural model; Identi-fication; Estimation; Prior information |
276 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Shigenori Shiratsuka | Inflation Measures for Monetary Policy: Measuring the 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 |
351 KB |
| Nobuyuki Oda, Jun Muranaga | A New Framework for Measuring the Credit Risk of a Portfolio: The "ExVaR" Model
/Value at risk; Credit risk; Risk integration; Default probability; Diversification/concentration; Collateral effect |
382 KB |
| Susanne Lohmann | Is Japan Special? Monetary Linkages and Price Stability
/Design of central banking institutions; Linkage politics; Japanese political economy |
210 KB |
| Menzie D.Chinn, Michael P.Dooley | Financial Repression and Capital Mobility: Why Capital Flows and Covered Interest Rate Differentials Fail to Measure Capital Market Integration
/Capital mobility; Monetary transmission; Bank credit |
293 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Yukinobu Kitamura | Indexed Bonds and Monetary Policy: The Real Interest Rate and the Expected Rate of Inflation
/Indexed bond; Real interest rate; Expected rate of inflation |
171 KB |
| Naohiko Baba | Markup Pricing and Monetary Policy: A Reexamination of the Effectiveness of Monetary Policy under Imperfect Competition
/Markup pricing; Monetary policy; Welfare cost of inflation |
263 KB |
| Edward J. Green | Money and Debt in the Structure of Payments
/Payments; Settlement; Clearinghouse; Central bank; Novation and substitution |
185 KB |
| Carl E. Walsh | Inflation and Central Bank Independence: Is Japan Really an Outlier?
/Central banks; Monetary policy; Inflation |
203 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Peter M. Garber | The Use of the Yen as a Reserve Currency
/Reserve currency;Internationalization;Market liquidity;Transaction tax;Securities settlement |
1,569 KB |
| Yutaka Soejima | The Long-Run Relationship between Real GDP, Money Supply, and Price Level: Unit Root and Cointegration Tests with Structual Changes
/Structural change;Deterministic cointegration;Stochastic cointegration;Money demand function |
1,748 KB |
| Hiroshi Fujiki, Casey B. Mulligan | A Structural Analysis of Money Demand: Cross-Sectional Evidence from Japan
/Demand for money;Monetary policy |
1,575 KB |
| Hiroshi Fujiki | Central Bank Independence Indexes in Economic Analysis: A Reappraisal
/Central bank independence indexes;Panel data;Cross-country comparison |
1,401 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Allan H. Meltzer | On Making Monetary Policy More Effective Domestically and Internationally
/Price stability;Inflation;Monetary policy;Central banks;Credibility;Adaptive rules |
1,856 KB |
| John B. Taylor | Policy Rules as a Means to a More Effective Monetary Policy
/Monetary policy;Policy rule;Inflation target;Price stability;Output stability;Time inconsistency |
836 KB |
| Tommaso Padoa-Schioppa | Styles of Monetary Management
/Central banking;Styles of monetary policy |
1,750 KB |
| Hiroshi Fujiki, Casey B. Mulligan | Production, Financial Sophistication, and the Demand for Money by Households and Firms
/Demand for money;Consumer economics;Household production;Firm behavior |
1,888 KB |
| Manfred J. M. Neumann | A Comparative Study of Seigniorage: Japan and Germany
/Seigniorage;Inflation tax;Bank of Japan;Bundesbank;Foreign exchange losses |
1,829 KB |
| Takatoshi Ito, Tokuo Iwaisako | Explaining Asset Bubbles in Japan
/Stock price;Land price;Asset bubbles;Bank lending to the real estate sector |
2,676 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Shigenori Shiratsuka | Automobile Prices and Quality Changes : A Hedonic Price Analysis of Japanese Automobile Market
/Hedonic Price Index; Quality Changes; Measurement Errors; Automobiles; Multicollinearity; Principal Components. |
2,826 KB |
| Naohiko Baba | On the Cause of Price and Differentials between Domestic and Overseas Markets : Approach Through Empirical Analyses of Markup Pricing
/Markup Pricing; Market Power; Price Differentials |
1,849 KB |
| Tetsuya Sakamoto | Collateralization of Derivative Transaction in Japan : A Comparison of Two Methods
/Collateralization; Derivatives; Netting. |
852 KB |
| Yosuke Shigemi | Asset Inflation in Selected Countries
/Asset Price Inflation; Tax Wedge. |
2,654 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Hiroshi Fujiki, Yukinobu Kitamura | Feldstein-Horioka Paradox Revisited
/Panel Data; International Capital Mobility; Feldstein-Horioka Paradox. |
741 KB |
| Shigenori Shiratsuka | Effects of Quality Changes on the Price Index: A Hedonic Approach to the Estimation of a Quality Adjusted Price Index for Personal Computers in Japan
/Hedonic Price Index; Personal Computers; Measurement Errors; Quality Changes |
1,945 KB |
| Yutaka Soejima | A Unit Root Test with Structural Change for Japanese Macroeconomic Variables
/Unit Root; Deterministic Trend; Structural Break; Null Hypothesis. |
980 KB |
| Marie Ogawa, Takashi Kubota | Bank Accounting and Market Valuation in Japan: An Overview of Accounting Issues of Financial Instruments
/Accounting; Financial Instruments; Market Valuation; Market Value Accounting. |
1,054 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Kyoji Fukao, Toshiyasu Izawa, Morio Kuninori, Toru Nakakita | R&D Investment and Overseas Production: An Empirical Analysis of Japan's Electric Machinery Industry Based on Corporate Data | 3,828 KB |
| Michael M. Hutchison | Asset Price Fluctuations in Japan: What Role for Monetary Policy? | 1,709 KB |
| Paul Sheard | Bank Executives on Japanese Corporate Boards | 2,520 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Allan H. Meltzer | Regulatory Arrangements, Financial Stability, and Regulatory Reform | 1,175 KB |
| Stanley Fischer | International Capital Flows, the International Agencies, and Financial Stability | 967 KB |
| Akio Kuroda, Masataka Kotani, Marie Ogawa | Features and Problems of Bank Accounting System in Japan | 2,949 KB |
| Satoru Kanoh, Saibi Saito | Extracting Actuality from Judgement: A New Index of the Business Cycle | 1,120 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
|---|---|---|
| Bennett T. McCallum | "Specification and Analysis of a Monetary Policy Rule for Japan" | 2,597 KB |
| Kunio Okina | Comments on "Specification and Analysis of a Monetary Policy Rule for Japan":A Central Banker's View | 457 KB |
| Bennett T. McCallum | "Specification and Analysis of a Monetary Policy Rule for Japan" Reply to Comments by Kunio Okina | 160 KB |
| Koichiro Kamada | The Real Value of Postal Savings Certificates | 1,828 KB |
| Osamu Saito | New Developments in Arguments on Legal Liability of Financial Institutoins | 2,792 KB |
| Masao Ogaki | Unit Roots in Macroeconometrics: A Survey | 1,535 KB |
| Author(s) | Title/Keywords | Full Text (PDF) |
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2,767 KB |
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1,524 KB |
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1,185 KB |
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2,699 KB |
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2,075 KB |
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| Author(s) | Title/Keywords | Full Text (PDF) |
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|---|---|---|
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