IMES Discussion Paper Series
2006
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) |
|---|---|---|---|---|
| 2006-E-29 | Kenshi Taketa, Gregory F. Udell | Lending Channels and Financial Shocks: The Case of SME Trade Credit and the Japanese Banking Crisis
/Trade Credit; Credit Crunch |
2006-12 | 564 KB |
| 2006-E-28 | Sachiko Kuroda, Isamu Yamamoto | Why are Nominal Wages Downwardly Rigid, but Less So in Japan?: An Explanation based on Behavioral Economics and Labor Market/Macroeconomic Differences
/Downward nominal wage rigidity; Behavioral economics; Labor mobility; Employment protection legislation; Inflation rate; Indexation |
2006-11 | 415 KB |
| 2006-E-27 | Mari Ohnuki | Bank of Japan Network and Financial Market Integration: From the Establishment of the Bank of Japan Until the Early 20th Century
/Financial Market Integration; Payments Network; Bank of Japan; Correspondent Network Funds Transfers; Movement of Funds |
2006-11 | 476 KB |
| 2006-E-26 | Keisuke Otsu | A Neoclassical Analysis of the Korean Crisis
/Korean Crisis; Neoclassical Model; Small Open Economy; Total Factor Productivity; Financial Crisis |
2006-11 | 890 KB |
| 2006-E-25 | Ichiro Muto | Can the New Keynesian Phillips Curve Explain Japanese Inflation Dynamics? A Labor Share Correction Approach
/New Keynesian Phillips Curve; Real Marginal Cost; Labor Adjustment Cost; Material Price; Real Wage Rigidity; Inflation Persistence |
2006-11 | 1,268 KB |
| 2006-E-24 | Hiroshi Fujiki, Howard J. Wall | Controlling for Geographic Dispersion When Estimating the Japanese Phillips Curve
/Japanese Phillips curve |
2006-11 | 553 KB |
| 2006-E-23 | Bill Dupor, Tomiyuki Kitamura, Takayuki Tsuruga | Do Sticky Prices Need to Be Replaced with Sticky Information?
/Inflation; Sticky Price Model; Sticky Information Model; Labor Share |
2006-10 | 336 KB |
| 2006-E-22 | Alessandra Fogli, Fabrizio Perri | The Great Moderation and the US External Imbalance
/Business Cycle Volatility; Precautionary Saving; Current Account; Net Foreign Asset Position |
2006-09 | 234 KB |
| 2006-E-21 | Jun Pan, Kenneth J. Singleton | Interpreting Recent Changes in the Credit Spreads of Japanese Banks
/default risk premium; credit default swap; Japanese banks; zero interest rate policy; event risk |
2006-09 | 417 KB |
| 2006-E-20 | Howard J. Wall | Regional Business Cycle Phases in Japan
/Markov-switching; regional business cycles; Japan |
2006-09 | 567 KB |
| 2006-E-19 | Gauti B. Eggertsson, Benjamin Pugsley | The Mistake of 1937: A General Equilibrium Analysis
/deflation; zero bound on interest rates; regime changes; Great Depression |
2006-08 | 382 KB |
| 2006-E-18 | Simon Gilchrist, Masashi Saito |
Expectations, Asset Prices, and Monetary Policy: The Role of Learning /monetary policy, asset prices, financial market imperfections, technology growth, imperfect information |
2006-08 | 587 KB |
| 2006-E-17 | Glenn D. Rudebusch, Eric T. Swanson, Tao Wu | The Bond Yield "Conundrum" from a Macro-Finance Perspectivece
/Term Structure; Term Premium; Bond Pricing; Affine No-Arbitrage Model |
2006-07 | 284 KB |
| 2006-E-16 | Naohiko Baba |
Financial Market Functioning and Monetary Policy: Japan's Experience /Bank of Japan; Term Structure of Interest Rates; Zero Lower Bound; Zero Interest Rates; Quantitative Monetary Easing Policy; Bank Risk Premium |
2006-07 | 484 KB |
| 2006-E-15 | Maurice Obstfeld | Implications for the Yen of Japanese Current Account Adjustment
/Current Account Adjustment; International Capital Flows; Japanese Yen Exchange Rate |
2006-07 | 184 KB |
| 2006-E-14 | Bennett T. McCallum | Misconceptions Regarding the Zero Lower Bound on Interest Rates
/Interest Rates; Zero Lower Bound; Quantitative Easing; Expectations; Deflation Trap; Liquidity Trap |
2006-07 | 84 KB |
| 2006-E-13 | Yoshifumi Muroi | Pricing of Credit Derivatives with the Asymptotic Expansion Approach
/ Defaultable bond, counterparty credit risk, credit default swap, swaption, asymptotic expansion method, basket swap, Malliavin calculus |
2006-07 | 228 KB |
| 2006-E-12 | Hiroshi Fujiki, Etsuro Shioji |
Bank Health Concerns, Low Interest Rates and Money Demand: Evidence from the "Public Opinion Survey on Household Financial Assets and Liabilities" /Money demand; Low interest rates; Concern for the soundness of private financial institutions; Micro data; Self-selection bias; Personal financial education; Extensive margin; Intensive margin |
2006-07 | 745 KB |
| 2006-E-11 | Masashi Saito |
Changes in Perceptions of the Future: Macroeconomic Implications /Technology growth, regime switching, filtering, nonlinear impulse response, propagation |
2006-06 | 498 KB |
| 2006-E-10 | Andrew K. Rose | Well-Being in the Small and in the Large
/population, empirical, data, national, country, scale, size. |
2006-06 | 340 KB |
| 2006-E-9 | Steven Li |
The Arbitrage Efficiency of Nikkei 225 Options Market: A Put-call Parity Analysis /Put-callparity, market efficiency, Nikkei 225 options |
2006-06 | 117 KB |
| 2006-E-8 | Masashi Une, Masayuki Kanda | Year 2010 Issues on Cryptographic Algorithms
/cryptographic algorithm, symmetric cipher, asymmetric cipher, security, Year 2010 issues, hash function |
2006-06 | 176 KB |
| 2006-E-7 | Xinghua Yu | Competing Risk Analysis of Japan's Small Financial Institutions
/Competing Risks Duration Models, Identification, Maximum Likelihood Estimator, Bankruptcy and Merger, Credit Cooperatives in Japan |
2006-03 | 396 KB |
| 2006-E-6 | Takeshi Amemiya, Xinghua Yu | Endogenous Sampling and Matching Method in Duration Models
/Duration Models, Endogenous Sampling with Matching, Maximum Likelihood Estimator, Manski Lerman Estimator, Asymptotic Distribution |
2006-03 | 415 KB |
| 2006-E-5 | Ichiro Fukunaga | Imperfect Common Knowledge, Staggered Price Setting, and the Effects of Monetary Policy
/Imperfect common knowledge; Higher-order expectations; Public and private information; Staggered price setting |
2006-02 | 340 KB |
| 2006-E-4 | Yasuhiro Arikawa, Kumi Suzuki-Loffelholz, Kenshi Taketa | Experimental Analysis on the Role of a Large Speculator in Currency Crises
/Currency Crises; Global Game; Experimental Economics |
2006-01 | 1,909 KB |
| 2006-E-3 | Shiu-Sheng Chen, Kenshi Taketa | An Assessment of Weymark's Measures of Exchange Market Intervention: The Case of Japan
/Exchange market intervention, Japanese exchange market |
2006-01 | 224 KB |
| 2006-E-2 | Pierre Perron, Tomoyoshi Yabu | Testing for Shifts in Trend with an Integrated or Stationary Noise Component
/Structural Change, Unit Root, Median-Unbiased Estimates, GLS Procedure, Super Efficient Estimates |
2006-01 | 1,380 KB |
| 2006-E-1 | Pierre Perron, Tomoyoshi Yabu | Estimating Deterministic Trends with an Integrated or Stationary Noise Component
/Linear Trend, Unit Root, Median-Unbiased Estimates, GLS Procedure, Super Efficient Estimates |
2006-01 | 891 KB |