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IMES Discussion Paper Series

2000

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.

Table : IMES Discussion Paper Series
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