IMES Discussion Paper Series
2009
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) |
|---|---|---|---|---|
| 2009-E-32 | Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, Sylvia Frwirth-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 |