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IMES Discussion Paper Series (1998)
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December 24, 1998
Bank of Japan
Institute for Monetary and Economic Studies
Notice on copyright and other related matters regarding the site of the Institute for Monetary and Economic Studies.
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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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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 |
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Marvin H. Kosters | Wage and Job Trends in the U.S. Labor Market: An Assessment /Wage Inequality, Skill Premium, Job Security, Skill Intensive Economy |
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Charles I. Jones | The Japanese Economy in a World of Knowledge-Based Growth /Human Capital, Increasing Returns to Scale, Externalities, R&D |
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W. E. Diewert, Kevin J. Fox | The Productivity Paradox and Mismeasurement of Economic Activity /Productivity Paradox, Measurement Error, Quality Adjustment, Service Sector Output |
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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 |
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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 |
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Makoto Saito | Dynamic Allocation and Pricing in Incomplete Markets: A Survey /imcomplete markets, asset pricing |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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Shuji Kobayakawa | Designing Incentive Compatible Regurlation in Banking --Role of Penalty in the Precommitment Approach /mechanism design, Precommitment Approach |
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Tatsuya Yonetani Yuko Katsuo(Asami) |
Fair Value Accounting and Regulatory Capital Requirements /Investment securities, Fair value accounting, Regulatory capital, Earnings |
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Alan J. Auerbach, Laurence J. Kotlikoff Willi Leibfritz |
Generational Accounting Around the World /aging, fiscal deficits, fiscal policy, generational accounting |
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Noriyuki Takayama, Yukinobu Kitamura, Hiroshi Yoshida |
Generational Accouting in Japan /aging, fiscal deficits, fiscal policy, generational accounting |
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