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IMES Discussion Paper Series

2007

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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Table : IMES Discussion Paper Series
No. Author(s) Title/Keywords Date Full Text (PDF)
2007-E-21 Satoshi Yamashita, Toshinao Yoshiba Analytical solutions for expected and unexpected losses with an additional loan
/Probability of default (PD); Loss given default (LGD); Exposure at default (EaD); Expected loss (EL); Unexpected loss (UL); Stressed EL (SEL)
2007-12 158 KB
2007-E-20 Daisuke Nagakura Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process
/Random Coefficient Autoregressive Model; Stability; Constancy
2007-11 430 KB
2007-E-19 Masazumi Hattori, Hyun Song Shin The Broad Yen Carry Trade
/Yen carry trade; liquidity; risk appetite; monetary policy
2007-10 458 KB
2007-E-18 Marvin Goodfriend Monetary Policy in East Asia : Common Concerns
/East Asia; Monetary Policy; Banking Policy; Exchange Rates; Trade Balance; International Reserves
2007-09 83 KB
2007-E-17 Kris James Mitchener, Mari Ohnuki Capital Market Integration in Japan
/Financial Market Development; Capital Market Integration; Economic Integration;Japanese Banks
2007-08 674 KB
2007-E-16 Keisuke Otsu A Neoclassical Analysis of the Asian Crisis: Business Cycle Accounting of a Small Open Economy
/Business Cycle Accounting; Small Open Economy; Asian Crisis
2007-08 916 KB
2007-E-15 George W. Evans Monetary and Fiscal Policy under Learning in the Presence of a Liquidity Trap
/Adaptive Learning; Monetary Policy; Fiscal Policy; Zero Interest Rate Lower Bound; Indeterminacy
2007-08 665 KB
2007-E-14 Sanghoon Ahn, Jong-Wha Lee Integration and Growth in East Asia
/integration; growth; trade; foreign direct investment; East Asia
2007-08 379 KB
2007-E-13 Michael B Devereux Financial Globalization and Emerging Market Portfolios
/Asia; Financial Globalization; FDI; Foreign Exchange Rate Reserves
2007-08 344 KB
2007-E-12 Hiroshi Fujiki, Akiko Terada-Hagiwara Financial Integration in East Asia
/Exchange rate regime; financial integration; risk sharing
2007-08 327 KB
2007-E-11 Maurice Obstfeld The Renminbi's Dollar Peg at the Crossroads
/Renminbi; China Currency; China Balance of Payments; Fixed Exchange Rate Exit Strategy
2007-08 240 KB
2007-E-10 Bennett T. McCallum Monetary Policy in East Asia: the Case of Singapore
/exchange rate; inflation targeting; instrument variable; target variable; open economy; monetary policy
2007-08 97 KB
2007-E-9 Ippei Fujiwara, Naoko Hara, Naohisa Hirakata, Takeshi Kimura, Shinichiro Watanabe Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policy-making under Uncertainty
/Collapse of the Bubble Economy; Monetary Policy; Uncertainty
2007-07 596 KB
2007-E-8 Ichiro Muto Productivity Growth, Transparency, and Monetary Policy
/New Keynesian Model; Monetary Policy; Transparency; Productivity Growth; Learning
2007-06 590 KB
2007-E-7 Ippei Fujiwara, Naohisa Hirakata Dynamic Aspects of Productivity Spillovers, Terms of Trade and The "Home Market Effects"
/Endogenous variety; Home market effect; Productivity spillover
2007-06 423 KB
2007-E-6 Naohiko Baba, Masakazu Inada Price Discovery of Credit Spreads for Japanese Mega-Banks:Subordinated Bond and CDS
/Subordinated Bond; Credit Default Swap; Japanese Banks; Price Discovery; Volatility Spillover; Bivariate GARCH
2007-05 280 KB
2007-E-5 Sachiko Kuroda, Isamu Yamamoto Estimating Frisch Labor Supply Elasticity in Japan
/Labor supply; Frisch elasticity; Extensive margin; Intensive margin
2007-04 201 KB
2007-E-4 Ippei Fujiwara, Yuki Teranishi A Dynamic New Keynesian Life-Cycle Model:Societal Ageing, Demographics and Monetary Policy
/Heterogenous Agents; Life-Cycle; New Keynesian Model
2007-03 377 KB
2007-E-3 Naohiko Baba, Masakazu Inada, Yasuo Maeda Determinants of Subordinated Debt Issuance by Japanese Regional Banks
/subordinated debt; Japanese banks; Basel Accord; market discipline; non-performing loan problem
2007-03 241 KB
2007-E-2 Arata Ito, Tsutomu Watanabe, Tomoyoshi Yabu Fiscal Policy Switching: Evidence from Japan, the U.S., and the U.K.
/Fiscal Policy Rule; Fiscal Discipline; Markov-Switching Regression
2007-02 381 KB
2007-E-1 Keisuke Otsu A Neoclassical Analysis of the Postwar Japanese Economy
/Japanese Postwar Growth; Neoclassical Growth Model; TFP
2007-01 999 KB