IMES Discussion Paper Series
2008
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.
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| 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 |