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IMES Discussion Paper Series


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)
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
/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