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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.

Click the title to obtain an abstract of the thesis

Table : IMES Discussion Paper Series
No. Author(s) Title/Keywords Date Full Text (PDF)
2008-E-25 Nao Sudo, Yuki Teranishi Optimal Monetary Policy under Imperfect Financial Integration
/optimal monetary policy; financial integration; heterogeneous financial market; staggered loan contracts
2008-12 472 KB
2008-E-24 Daisuke Nagakura How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models
/Business Cycle Analysis; Trend; Cycle; Permanent Component; Transitory Component; Unobserved Components Model
2008-10 170 KB
2008-E-23 Jouchi Nakajima EGARCH and Stochastic Volatility:Modeling Jumps and Heavy-tails for Stock Returns
/Bayesian analysis; EGARCH; Heavy-tailed error; Jumps; Marginal likelihood; Markov chain Monte Carlo; Stochastic volatility
2008-09 433 KB
2008-E-22 Ippei Fujiwara, Keisuke Otsu, Masashi Saito The Global Impact of Chinese Growth
/Productivity; Terms of Trade; Growth; Open Economy
2008-09 307 KB
2008-E-21 Ippei Fujiwara Growth Expectation
/Expectations; Equilibrium Business Cycle; Technological Progress
2008-09 455 KB
2008-E-20 Tomohiro Sugo, Yuki Teranishi The Zero Interest Rate Policy
/Zero Interest Rate Policy; Optimal Interest Rate Rule
2008-08 261 KB
2008-E-19 Hirokazu Ishise, Nao Sudo Inventory-Theoretic Model of Money Demand, Multiple Goods, and Price Dynamics
/Baumol-Tobin model; Durable; Luxury; Credit goods; Monetary policy
2008-08 585 KB
2008-E-18 Ippei Fujiwara, Kazuo Fukuda, Ichiro Muto, Yosuke Shigemi, Wataru Takahashi Frontiers in Monetary Theory and Policy:
Summary of the 2008 International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan
2008-08 428 KB
2008-E-17 Hiroshi Fujiki, Cheng Hsiao Aggregate and Household Demand for Money:
Evidence from Public Opinion Survey on Household Financial Assets and Liabilities

/Demand for Money; Aggregation; Heterogeneity
2008-07 349 KB
2008-E-16 Ippei Fujiwara, Yasuo Hirose, Mototsugu Shintani Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach
/Bayesian Estimation; Business Cycles; News; Total Factor Productivity (TFP)
2008-07 564 KB
2008-E-15 Nao Sudo Sectoral Co-Movement, Monetary-Policy Shock, and Input-Output Structure
/Monetary Policy; Input-Output Matrix; Durables; Non-durables
2008-07 399 KB
2008-E-14 John B. Taylor The Way Back to Stability and Growth in the Global Economy 2008-07 152 KB
2008-E-13 Toshitaka Sekine, Yuki Teranishi Inflation Targeting and Monetary Policy Activism
/Inflation-targeting Policy; Monetary Policy Activism; New Keynesian Model; Markov chain Monte Carlo; Time-varying Parameter with Stochastic Volatility Model
2008-07 429 KB
2008-E-12 Kris James Mitchener, Mari Ohnuki Institutions, Competition, and Capital Market Integration in Japan
/Financial Market Development; Capital Market Integration; Economic Integration; Japanese Banks
2008-07 424 KB
2008-E-11 Ippei Fujiwara, Yuki Teranishi Real Exchange Rate Dynamics under Staggered Loan Contracts
/Financial Market Imperfections; Real Exchange Rates; Staggered Loan Contracts
2008-06 297 KB
2008-E-10 Graciela L. Kaminsky Crises and Sudden Stops: Evidence from International Bond and Syndicated-Loan Markets
/contagion; financial integration; globalization; international primary issuance; sudden stops
2008-06 217 KB
2008-E-9 Mototsugu Shintani, Tomoyoshi Yabu, Daisuke Nagakura Spurious Regressions in Technical Trading:
Momentum or Contrarian?

/Efficient market hypothesis; Nonstationary time series; Random walk; Technical analysis
2008-06 682 KB
2008-E-8 Yuki Teranishi Optimal Monetary Policy under Staggered Loan Contracts
/Staggered Loan Interest Rate Contract; Optimal Monetary Policy; Economic Fluctuation
2008-05 554 KB
2008-E-7 Charles W. Mooney,Jr. Law and Systems for Intermediated Securities and the Relationship of Private Property Law to Securities Clearance and Settlement: United States, Japan, and the UNIDROIT Draft Convention
/book-entry; central securities depository; intermediary; securities; securities account; security interest; settlement
2008-05 697 KB
2008-E-6 Kiyohito Utsunomiya Economic Fluctuations in Japan during the Interwar Period -Re-estimation of the LTES Personal Consumption Expenditures-
/Japanese Economy; Interwar Period; Showa Depression; Great Depression; Personal Consumption; National Accounts; Deflator; Imputation
2008-04 447 KB
2008-E-5 Mario J. Crucini, Mototsugu Shintani, Takayuki Tsuruga Accounting for Persistence and Volatility of Good-level Real Exchange Rates: The Role of Sticky Information
/Good-level Real Exchange Rates; Law of One Price; Sticky Information; Dynamic Panel
2008-03 521 KB
2008-E-4 Laurence Ball Helicopter Drops and Japan's Liquidity Trap
/opter Drop; Liquidity Trap; Deflation
2008-03 346 KB
2008-E-3 Shigeaki Fujiwara Credit Risk Assessment Considering Variations in Exposure:
Application to Commitment Lines

/Commitment lines; Probability of default; Loss given default; Exposure at default; Expected loss; Unexpected loss
2008-02 295 KB
2008-E-2 Migiwa Tanaka Deflation in Durable Goods Markets:An Empirical Model of the Tokyo Condominium Market
/Durable Goods; Dynamic Oligopoly; Housing Market
2008-02 308 KB
2008-E-1 Ichiro Muto Monetary Policy and Learning from the Central Bank's Forecast
/Adaptive Learning; E-stability; New Keynesian Model; Monetary Policy; Taylor principle
2008-01 214 KB