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.
Click the title to obtain an abstract of the thesis
| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2023-E-2 | Kazutoshi Kan | Seeking the Ideal Privacy Protection: Strengths and Limitations of Differential Privacy
/Differential Privacy; Privacy Protection; Control over Personal Information about Oneself; Anonymization; Ethical, Legal and Social Issues |
2023-01 | 923 KB |
| 2023-E-1 | Takuji Fueki, Shinnosuke Katsuki, Ichiro Muto, Yu Sugisaki | Automation and Nominal Rigidities
/Automation; Monetary policy; Nominal rigidities; Phillips curve |
2023-01 | 3,071 KB |
| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2022-E-18 | Ulrike Schaede | The Digital Transformation (DX) and the Financialization of Japan: A Case Study of Private Equity
/Japan; financialization; marketization; private equity; digital transformation; corporate reorganization |
2022-12 | 2,019 KB |
| 2022-E-17 | Hiroyuki Kubota, Ichiro Muto, Mototsugu Shintani | Monetary Policy, Labor Force Participation, and Wage Rigidity
/Labor force participation; Monetary policy; Unemployment; Wage rigidity |
2022-11 | 905 KB |
| 2022-E-16 | Hidekatsu Kamio, Yasuko Morita | Perception of the Balance of Payments and Monetary Policy in the Late 1960s: Focusing on the Bank of Japan's Viewpoint before and after the Monetary Policy Shift
/Balance of payment; Monetary policy; Responsibility of a surplus country |
2022-11 | 706 KB |
| 2022-E-15 | R. Anton Braun, Daisuke Ikeda | Why Aging Induces Deflation and Secular Stagnation
/Aging; Deflation; Lifecycle; Monetary policy; Portfolio choice; Secular stagnation; Tobin effect |
2022-10 | 2,513 KB |
| 2022-E-14 | Toshitaka Sekine, Frank Packer, Shunichi Yoneyama | Individual Trend Inflation
/Inflation forecast; Disagreement; Unobserved components model; Noisy information; Inflation target; Quantitative and qualitative monetary easing; Bank of Japan |
2022-08 | 443 KB |
| 2022-E-13 | Takuji Fueki, Yutaka Soejima, Shunichi Yoneyama | New Dimensions and Frontiers in Central Banking Summary of the 2022 BOJ-IMES Conference | 2022-08 | 449 KB |
| 2022-E-12 | Carl E. Walsh | Inflation Surges and Monetary Policy
/Inflation; Monetary policy; COVID-19 |
2022-07 | 723 KB |
| 2022-E-11 | Raphael Abiry, Marien Ferdinandusse, Alexander Ludwig, Carolin Nerlich | Climate Change Mitigation: How Effective is Green Quantitative Easing?
/Climate Change; Integrated Assessment Model; 2-Sector Model; Green Quantitative Easing; Carbon Taxation |
2022-07 | 1,290 KB |
| 2022-E-10 | Daisuke Ikeda | Digital Money as a Medium of Exchange and Monetary Policy in Open Economies
/Cryptocurrency; Monetary policy autonomy; Currency counterfeiting; Government transaction policy |
2022-07 | 486 KB |
| 2022-E-9 | Kenneth S. Rogoff | Institutional Innovation and Central Bank Independence 2.0 | 2022-07 | 707 KB |
| 2022-E-8 | Kensuke Fukunaga, Daisuke Miyakawa | Supply Chain Network and Credit Supply
/Credit supply; supply chain network; cluster detection |
2022-05 | 665 KB |
| 2022-E-7 | Yojiro Ito, Daisuke Miyakawa | Performance of Exiting Firms in Japan: An Empirical Analysis Using Exit Mode Data
/Productivity dynamics; Exit effects; Mergers |
2022-05 | 500 KB |
| 2022-E-6 | Taisuke Nakata, Takeki Sunakawa | Credible Forward Guidance
/Average Inflation Targeting; Effective Lower Bound; Forward Guidance; Sustainable Plan; Time-Consistency |
2022-04 | 2,947 KB |
| 2022-E-5 | Reona Hagiwara | Welfare Effects of Health Insurance Reform: The Role of Elastic Medical Demand
/Copayment Increase; Price Elasticity of Medical Demand; Welfare Effects; Overlapping Generations |
2022-04 | 1,092 KB |
| 2022-E-4 | Tatsuya Kato | The Effects of Corporate Governance on ESG-related Information Disclosure: Evidence from Japanese Firms
/ESG; Corporate Governance; GRI Standards; Disclosure; Machine Learning; GA2M |
2022-04 | 2,101 KB |
| 2022-E-3 | Robert S. Chirinko | What Went Wrong? The Puerto Rican Debt Crisis, the "Treasury Put," and the Failure of Market Discipline
/Puerto Rican debt crisis; Implicit government guarantees; Failure of market discipline |
2022-03 | 1,010 KB |
| 2022-E-2 | Robert S. Chirinko, Debdulal Mallick | The Return on Private Capital: Rising and Diverging
/Return on private capital; International capital allocations |
2022-03 | 884 KB |
| 2022-E-1 | Ryo Aruga, Keiichi Goshima, Takashi Chiba | CO2 Emissions and Corporate Performance: Japan's Evidence with Double Machine Learning
/CO2 Emissions; Corporate Performance; Double Machine Learning |
2022-02 | 684 KB |
| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2021-E-12 | Shunichi Yoneyama | Central Bank Transparency and Disagreement in Inflation Expectations
/Central bank transparency; forecast disagreement; inflation dynamics; imperfect information |
2021-12 | 666 KB |
| 2021-E-11 | Naoto Soma | Parameter Uncertainty and Effective Lower Bound Risk
/Model Uncertainty; Effective Lower Bound; Deflationary Bias; Risky Steady State |
2021-11 | 1,009 KB |
| 2021-E-10 | Athanasios Orphanides | The Power of Central Bank Balance Sheets
/Zero lower bound; Balance sheet policies; Quantitative easing; Eligibility; Fiscal-monetary interactions |
2021-08 | 1,182 KB |
| 2021-E-9 | R. Anton Braun, Daisuke Ikeda | Monetary Policy over the Lifecycle
/Monetary policy; Lifecycle; Portfolio choice; Nominal government debt |
2021-08 | 1,599 KB |
| 2021-E-8 | Takuji Fueki, Ken Matsushita, Ichiro Muto, Fumitaka Nakamura, Shunichi Yoneyama | Adapting to the New Normal: Perspectives and Policy Challenges after the COVID-19 Pandemic Summary of the 2021 BOJ-IMES Conference |
2021-07 | 243 KB |
| 2021-E-7 | Tatsushi Okuda, Tomohiro Tsuruga | Inflation Expectations and Central Bank Communication with Unknown Prior
/Imperfect information; inflation expectations; communication |
2021-07 | 3,311 KB |
| 2021-E-6 | Fumitaka Nakamura, Nao Sudo, Yu Sugisaki | Monetary Policy Shocks and the Employment of Young, Middle-Aged, and Old Workers
/Monetary policy; Age structure; Labor market slack; Wage Phillips curve; High frequency identification |
2021-06 | 1,939 KB |
| 2021-E-5 | Kazutoshi Kan, Masashi Une | Recent Trends on Research and Development of Quantum Computers and Standardization of Post-Quantum Cryptography
/Elliptic-curve cryptography; Post-quantum cryptography; Public-key cryptographic algorithm; Quantum computer; RSA; Standardization |
2021-06 | 1,593 KB |
| 2021-E-4 | Hidehiko Matsumoto | Monetary and Macroprudential Policies under Dollar-Denominated Foreign Debt
/Exchange rate; Balance of payments; Sudden stops; Monetary policy; Macroprudential policy |
2021-05 | 3,000 KB |
| 2021-E-3 | Kazutoshi Kan | Security Risks of Machine Learning Systems and Taxonomy Based on the Failure Mode Approach
/Machine learning; Failure mode; Secuirty risk; Vulnerability |
2021-05 | 1,137 KB |
| 2021-E-2 | Fumitaka Nakamura, Nao Sudo, Yu Sugisaki | A Quest for Monetary Policy Shocks in Japan by High Frequency Identification
/Monetary policy shocks; high frequency identification; effective lower bound |
2021-04 | 639 KB |
| 2021-E-1 | Daisuke Ikeda, Hidehiko Matsumoto | Procyclical Leverage and Crisis Probability in a Macroeconomic Model of Bank Runs
/Banking crises; global games; macroprudential policy |
2021-03 | 4,049 KB |
| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2020-E-15 | Daisuke Ikeda | Digital Money as a Unit of Account and Monetary Policy in Open Economies
/Digital money; monetary policy; dollarization |
2020-12 | 1,142 KB |
| 2020-E-14 | Makoto Nirei, Nao Sudo | Necessities, Home Production, and Economic Impacts of Stay-at-Home Policies
/Stay-at-home policies; Home production; Stone-Geary Preference; Sectoral spillover |
2020-12 | 1,695 KB |
| 2020-E-13 | Felipe Benguria, Hidehiko Matsumoto, Felipe Saffie | Productivity and Trade Dynamics in Sudden Stops
/Endogenous growth; Firm dynamics; Trade dynamics; Sudden Stops |
2020-10 | 1,136 KB |
| 2020-E-12 | Tomoaki Kotera | Sustainability of Social Security in the Aging Economy from the Perspective of Improving Health
/Elderly Workers; Health; Social Security Reform; Benefit Claim; Overlapping Generations |
2020-08 | 558 KB |
| 2020-E-11 | Daisuke Miyakawa, Kohei Shintani | Disagreement between Human and Machine Predictions
/Machine Learning; Human Prediction; Disagreement |
2020-08 | 394 KB |
| 2020-E-10 | Daisuke Ikeda, Shangshang Li, Sophocles Mavroeidis, Francesco Zanetti | Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States
/Effective lower bound; unconventional monetary policy; structural VAR |
2020-07 | 905 KB |
| 2020-E-9 | Toshiaki Ogawa, Masato Ubukata, Toshiaki Watanabe | Stock Return Predictability and Variance Risk Premia around the ZLB
/Excess returns; Heterogeneous autoregressive model; Nikkei 225; Realized volatility; S&P500; Variance risk premium; Zero lower bound |
2020-07 | 1,043 KB |
| 2020-E-8 | Shingo Watanabe | Investment-Specific Technology Shocks Revisited
/investment-specific technology; total factor productivity; labor productivity; relative price of investment; structural vector autoregression; Max Share |
2020-06 | 690 KB |
| 2020-E-7 | Kei-Ichiro Inaba | A Global Look into Corporate Cash after the Global Financial Crisis
/Corporate finance; Cash holdings; Precautionary saving motive; Corporate governance; Agency problem |
2020-06 | 1,477 KB |
| 2020-E-6 | Masanao Itoh, Yasuko Morita, Mari Ohnuki | Monetary Policy in the 1990s: Bank of Japan's Views Summarized Based on the Archives and Other Materials
/Monetary policy conduct; Disposal of nonperforming loans; Financial system crisis; Bank of Japan Act of 1997; Zero interest rate policy |
2020-03 | 1,666 KB |
| 2020-E-5 | Toshiaki Ogawa | Liquidity Management of Heterogeneous Banks during the Great Recession
/Great Recession; Bank liquidity management; Occasionally binding constraints; Heterogeneous bank model; General equilibrium model |
2020-03 | 2,806 KB |
| 2020-E-4 | Giancarlo Corsetti, Luca Dedola, Sylvain Leduc | Exchange Rate Misalignment and External Imbalances: What is the Optimal Monetary Policy Response?
/Currency misalignments; trade imbalances; asset markets and risk sharing; optimal targeting rules; international policy cooperation; exchange rate pass-through |
2020-03 | 1,029 KB |
| 2020-E-3 | Toshiaki Ogawa | Welfare Implications of Bank Capital Requirements under Dynamic Default Decisions
/Bank capital requirements; Occasionally binding constraints; Endogenous default; Entry and exit; General equilibrium model |
2020-03 | 1,662 KB |
| 2020-E-2 | Pierre L. Siklos | Looking into the Rear-View Mirror: Lessons from Japan for the Eurozone and the U.S?
/Bank of Japan; monetary policy regimes; deflation; central bank credibility |
2020-03 | 1,671 KB |
| 2020-E-1 | Kei-Ichiro Inaba | The Integration of Countries' Sovereign Bond Markets: An Empirical Illustration of a Global Financial Cycle
/Sovereign bonds; Market integration; Global financial cycle; Monetary policy; Capital control |
2020-02 | 1,325 KB |
| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2019-E-21 | Kosuke Aoki, Ko Munakata, Nao Sudo | Prolonged Low Interest Rates and Banking Stability
/Prolonged low interest rates; Bank profits; Banking stability |
2019-11 | 5,698 KB |
| 2019-E-20 | Yuta Shibasaki, Chikara Toyokura | The Disclosure of Non-GAAP Performance Measures and the Adoption of IFRS: Evidence from Japanese Firms' Experience
/Non-GAAP performance measures; IFRS; Primary Financial Statements project |
2019-11 | 884 KB |
| 2019-E-19 | Fumitaka Nakamura | Household Income, Portfolio Choice and Heterogeneous Consumption Responses to Monetary Policy Shocks
/Consumption; Household income; Monetary policy; Liquidity |
2019-11 | 2,307 KB |
| 2019-E-18 | Jesus Fernandez-Villaverde, Federico Mandelman, Yang Yu, Francesco Zanetti | Search Complementarities, Aggregate Fluctuations, and Fiscal Policy
/Aggregate fluctuations; Strategic complementarities; Macroeconomic volatility; Government spending |
2019-11 | 1,912 KB |
| 2019-E-17 | Mariko Hatase, Yoichi Matsubayashi | Tax Incentives for Investment: Evidence from Japan's High-Growth Era
/Capital investments; Corporate taxes; Special depreciation; Investment policy; High-growth era |
2019-09 | 1,403 KB |
| 2019-E-16 | Naoko Hara, Ryuzo Miyao, Tatsuyoshi Okimoto | The Effects of Asset Purchases and Normalization of US Monetary Policy
/Quantitative easing; Unconventional monetary policy; LSAP; MSVAR |
2019-08 | 462 KB |
| 2019-E-15 | Tatsushi Okuda, Tomohiro Tsuruga, Francesco Zanetti | Imperfect Information, Shock Heterogeneity, and Inflation Dynamics
/Imperfect information; Shock heterogeneity; Inflation dynamics |
2019-08 | 1,365 KB |
| 2019-E-14 | Shigenori Shiratsuka, Nao Sudo, Shingo Watanabe | Central Bank Design under a Continued Low Inflation and Interest Rate Environment Summary of the 2019 BOJ-IMES Conference |
2019-08 | 585 KB |
| 2019-E-13 | Carl E. Walsh | Alternatives to Inflation Targeting in Low Interest Rate Environments
/Optimal monetary policy; Inflation targeting; Price-level targeting; Average inflation targeting |
2019-08 | 869 KB |
| 2019-E-12 | Jean-Claude Trichet | The Euro Area Economic, Fiscal and Financial Governance: Difficulties and Successes in the Past – Present Challenges – Future Steps | 2019-08 | 681 KB |
| 2019-E-11 | Makoto Nirei, Jose A. Scheinkman | Self-Organization of Inflation Volatility
/Trend inflation; Inflation volatility; State-dependent pricing; Aggregate fluctuations; Self-organized criticality; Power law |
2019-07 | 880 KB |
| 2019-E-10 | Michinao Okachi | Sovereign Default Triggered by Inability to Repay Debt
/Sovereign Default; Dynamic Stochastic General Equilibrium; Inability to Repay Debt; Strategic Decision to Default; Fiscal Limit; Laffer Curve |
2019-07 | 791 KB |
| 2019-E-9 | Saleem Bahaj, Ricardo Reis | Central Bank Swap Lines: Evidence on the Effects of the Lender of Last Resort
/liquidity facilities; currency basis; bond portfolio flows |
2019-07 | 1,659 KB |
| 2019-E-8 | Julio A. Carrillo, Enrique G. Mendoza, Victoria Nuguer, Jessica Roldan-Pena | Tight Money-Tight Credit: Coordination Failure in the Conduct of Monetary and Financial Policies
/Monetary policy; Financial frictions; Macroprudential policy; Leaning against the wind; Policy coordination |
2019-07 | 1,212 KB |
| 2019-E-7 | Ryoji Koike | Interpolation of Japan's Household Consumption during World War II
/Household survey; Black-market prices; Effective prices; In-kind outlay; World War II |
2019-06 | 1,188 KB |
| 2019-E-6 | Markus K. Brunnermeier, Yann Koby | The Reversal Interest Rate
/Monetary Policy; Lower Bound; Negative Rates; Banking |
2019-06 | 1,014 KB |
| 2019-E-5 | Shiori Inoue, Masashi Une | Security Analysis of Machine Learning Systems for the Financial Sector
/Artificial Intelligence; Machine Learning System; Security; Threat; Vulnerability |
2019-05 | 1,042 KB |
| 2019-E-4 | Hidehiko Matsumoto | Foreign Reserve Accumulation, Foreign Direct Investment, and Economic Growth
/Foreign Reserve Accumulation; Foreign Direct Investment; Sudden Stops; Endogenous Growth; Real Exchange Rate; Gross Capital Flows |
2019-03 | 984 KB |
| 2019-E-3 | Carlo Pizzinelli, Konstantinos Theodoridis, Francesco Zanetti | State Dependence in Labor Market Fluctuations: Evidence, Theory, and Policy Implications
/Search and Matching Models; State Dependence in Business Cycles; Threshold Vector Autoregression |
2019-02 | 1,599 KB |
| 2019-E-2 | Rasmus Fatum, Naoko Hara, Yohei Yamamoto | Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields
/NIRP; Bond Yields; Macroeconomic News |
2019-02 | 689 KB |
| 2019-E-1 | Tetsuya Adachi, Takumi Sueshige, Toshinao Yoshiba | Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas
/Credit valuation adjustment; Credit default swap; Affine jump diffusion; Fractional fast Fourier transform; Characteristic function |
2019-01 | 671 KB |
| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2018-E-17 | Masato Shizume | Black Market Prices during World War II in Japan: An Estimate Using the Hedonic Approach
/Price Formation; Black Markets; World War II; Hedonic Approach; Economic Controls |
2018-11 | 356 KB |
| 2018-E-16 | Junko Koeda | Macroeconomic Effects of Quantitative and Qualitative Monetary Easing Measures
/effective lower bound of nominal interest rates; quantitative and qualitative monetary easing policy; forward guidance; structural vector autoregression; maximum likelihood |
2018-11 | 1,224 KB |
| 2018-E-15 | Hikaru Saijo | Redistribution and Fiscal Uncertainty Shocks
/fiscal policy uncertainty; ambiguity; limited stock market participation; redistribution |
2018-10 | 894 KB |
| 2018-E-14 | Loriana Pelizzon, Marti G. Subrahmanyam, Reiko Tobe, Jun Uno | Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan
/Sovereign Bonds; Quantitative Easing; Market Liquidity; Scarcity; Spotlight |
2018-09 | 714 KB |
| 2018-E-13 | Keiichi Goshima, Yusuke Kumano | Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market
/Algorithmic trading; Monetary policy; High frequency data, Foreign exchange market; News trading; Market microstructure; Web access record |
2018-08 | 699 KB |
| 2018-E-12 | Parantap Basu, Kenji Wada | Unconventional Monetary Policy and the Bond Market in Japan: A New-Keynesian Perspective
/QE; QQE; Excess Reserve; Overnight Borrowing Rate; IOER; Yield Curve Control |
2018-08 | 755 KB |
| 2018-E-11 | Shigenori Shiratsuka | Central Banking in a Changing World Summary of the 2018 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan |
2018-08 | 374 KB |
| 2018-E-10 | Athanasios Orphanides | The Boundaries of Central Bank Independence: Lessons from Unconventional Times
/Bank of Japan; Zero lower bound; Quantitative easing; Central bank independence; Price stability; Inflation target; Balance sheet risk |
2018-08 | 369 KB |
| 2018-E-9 | Raghuram G. Rajan | Whither Bank Regulation: Current Debates and Challenges | 2018-08 | 471 KB |
| 2018-E-8 | Yuto Iwasaki, Ichiro Muto, Mototsugu Shintani | Missing Wage Inflation? Estimating the Natural Rate of Unemployment in a Nonlinear DSGE Model
/downward wage rigidity; natural rate of unemployment; Phillips curve; particle filter |
2018-07 | 2,675 KB |
| 2018-E-7 | Klaus Adam, Henning Weber | Optimal Trend Inflation
/optimal inflation rate; sticky prices; firm heterogeneity |
2018-07 | 675 KB |
| 2018-E-6 | Taisuke Nakata, Sebastian Schmidt, Paul Yoo | Speed Limit Policy and Liquidity Traps
/Liquidity Traps; Markov-Perfect Equilibrium; Speed Limit Policy; Zero Lower Bound |
2018-06 | 560 KB |
| 2018-E-5 | Hibiki Ichiue, Yoichi Ueno | A Survey-based Shadow Rate and Unconventional Monetary Policy Effects
/Monetary Policy; Effective Lower Bound; Zero Lower Bound; Shadow Rate; Survey Forecasts |
2018-06 | 1,108 KB |
| 2018-E-4 | Kenji Suganuma, Yoichi Ueno | The Effects of the Bank of Japan's Corporate and Government Bond Purchases on Credit Spreads
/Credit spreads; Default risk channel; Local supply channel; Global supply channel; Risk taking channel; Monetary policy |
2018-06 | 1,901 KB |
| 2018-E-3 | Masayuki Kazato, Tetsuya Yamada | The Implied Bail-in Probability in the Contingent Convertible Securities Market
/Market-implied bail-in probability; Contingent convertible securities; Basel III; Financial stability |
2018-05 | 667 KB |
| 2018-E-2 | Koichiro Kamada, Tetsuo Kurosaki, Ko Miura, Tetsuya Yamada | Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data
/Central bank announcements; Government bond futures; Herding behavior; Information efficiency; Market microstructure |
2018-03 | 1,223 KB |
| 2018-E-1 | Marlene Amstad, Frank Packer, Jimmy Shek | Does Sovereign Risk in Local and Foreign Currency Differ?
/Sovereign risk; local currency debt; foreign currency debt; credit ratings |
2018-03 | 735 KB |
| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2017-E-12 | Akinobu Shuto, Norio Kitagawa, Naoki Futaesaku | The Effect of Bank Monitoring on the Demand for Earnings Quality in Bond Contracts
/Accruals Quality; Bond Yield Spread; Main Bank; Private Information; Japan |
2017-12 | 454 KB |
| 2017-E-11 | Ryo Kato, Tatsushi Okuda | Market Concentration and Sectoral Inflation under Imperfect Common Knowledge
/Imperfect common knowledge; Inflation persistence; Market concentration |
2017-12 | 726 KB |
| 2017-E-10 | Yasufumi Gemma, Takushi Kurozumi, Mototsugu Shintani | Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve
/Inflation Dynamics; Trend Inflation; Generalized New Keynesian Phillips Curve; Bayesian GMM Estimation; Quasi-marginal Likelihood |
2017-11 | 322 KB |
| 2017-E-9 | Ko Nakayama, Shigenori Shiratsuka | Monetary Policy: Lessons Learned and Challenges Ahead Summary of the 2017 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan |
2017-10 | 281 KB |
| 2017-E-8 | Mark Gertler | Rethinking the Power of Forward Guidance: Lessons from Japan
/Forward guidance; Inflation targeting; Hybrid adaptive/rational expectations |
2017-10 | 1,680 KB |
| 2017-E-7 | Christine Ma, Chung Tran | Fiscal Space under Demographic Shift
/Population Ageing; Laffer Curve; Fiscal Limit; Sustainability; Heterogeneity; Dynamic General Equilibrium |
2017-09 | 518 KB |
| 2017-E-6 | Koichiro Kamada | The Transactions Demand for Paper and Digital Currencies
/Digital currency; Money demand; Network externality; Negative interest rate; Currency tax |
2017-07 | 616 KB |
| 2017-E-5 | Jeff Fuhrer | Japanese and U.S. Inflation Dynamics in the 21st Century
/Inflation dynamics; Intrinsic Persistence; Survey expectations |
2017-06 | 1,297 KB |
| 2017-E-4 | Greg Kaplan, Benjamin Moll, Giovanni L. Violante | Monetary Policy According to HANK
/Monetary Policy; Heterogeneous Agents; New Keynesian; Consumption; Liquidity; Inequality |
2017-06 | 1,228 KB |
| 2017-E-3 | Yasushi Asako, Tatsushi Okuda | Guiding the Economy Toward the Target Inflation Rate:An Evolutionary Game Theory Approach
/Target inflation rate; Evolutionary game; Best-response dynamics; Perfect-foresight dynamics; Multiple long-run equilibria; Capital-skill complementarity; Demand-creating innovation |
2017-05 | 832 KB |
| 2017-E-2 | Ignacio Tirado | Banking Crises and the Japanese Legal Framework
/Bank Resolution; Financial Crisis; Preventive Corrective Action; General Bankruptcy Proceedings; Systemic Risk |
2017-03 | 1,221 KB |
| 2017-E-1 | Yoichi Ueno | Term Structure Models with Negative Interest Rates
/Term Structure Model; Monetary Policy; Negative Interest Rate; Basis Swap Spreads |
2017-03 | 1,783 KB |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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: 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-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-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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |
| No. | Author(s) | Title/Keywords | Date | Full 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 |