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IMES Discussion Paper Series

2009

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)
2009-E-32 Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, Sylvia Frwirth-Scnatter Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
/Extreme values; Generalized extreme value distribution; Markov chain Monte Carlo; Mixture sampler; State space model; Stock returns
2009-11 630 KB
2009-E-31 Ippei Fujiwara, Nao Sudo, Yuki Teranishi Global Liquidity Trap: A Simple Analytical Investigation
/Optimal Monetary Policy Cooperation; Zero Lower Bound
2009-11 218 KB
2009-E-30 Naohisa Hirakata, Nao Sudo, Kozo Ueda Chained Credit Contracts and Financial Accelerators
/Chain of Credit Contracts; Net Worth of Financial Intermediaries; Cross-sectional Net Worth Distribution; Financial Accelerator effect
2009-11 474 KB
2009-E-29 Keisuke Otsu International Business Cycle Accounting
/Business Cycle Accounting; International Business Cycles
2009-11 417 KB
2009-E-28 Keisuke Otsu Accounting for Japanese Business Cycles: a Quest for Labor Wedges
/Business Cycle Accounting; Japanese Labor Market
2009-11 250 KB
2009-E-27 Hiroshi Fujiki, Migiwa Tanaka Demand for Currency, New Technology and the Adoption of Electronic Money: Evidence Using Individual Household Data
/Currency Demand; Transaction Demands for Money; Electronic Money
2009-11 291 KB
2009-E-26 Masazumi Hattori, Kazuhiko Ohashi Incentives to Issue Low-Quality Securitized Products in the OTD Business Model
/Originate-to-distribute; Securitization; Asymmetric information; Screening; Verification
2009-11 258 KB
2009-E-25 Shigenori Shiratsuka Size and Composition of the Central Bank Balance Sheet:Revisiting Japan's Experience of the Quantitative Easing Policy
/Quantitative easing; Credit easing; Unconventional monetary policy; Central bank balance sheet
2009-11 490 KB
2009-E-24 Ichiro Fukunaga, Naohisa Hirakata, Nao Sudo The Effects of Oil Price Changes on the Industry-Level Production and Prices in the U.S. and Japan
/Oil price; Identified VAR; Industry-level data; Japan
2009-10 473 KB
2009-E-23 Daisuke Nagakura Inconsistency of a Unit Root Test against Stochastic Unit Root Processes
/Locally Best Invariant Test; Consistency; Dickey-Fuller Test; LBI; RCA; STUR
2009-10 138 KB
2009-E-22 Takashi Nanjo, Makoto Kasuya Part-Paid Stock, Corporate Finance, and Investment: Economic Consequences of the Part-Paid Stock System and Supplementary Installments in the Early 1930s of Japan
/part-paid stock; joint-stock company; corporate finance; investment; financial system; interwar period; Great Depression
2009-09 400 KB
2009-E-21 Ichiro Fukunaga, Masashi Saito Asset Prices and Monetary Policy
/asset prices; monetary policy; financial frictions; policy tradeoffs
2009-09 391 KB
2009-E-20 Shigenori Shiratsuka, Wataru Takahashi, Kozo Ueda Financial System and Monetary Policy Implementation: Summary of the 2009 International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan 2009-08 111 KB
2009-E-19 Masazumi Hattori, Hyun Song Shin, Wataru Takahashi A Financial System Perspective on Japan's Experience in the Late 1980s
/Balance sheet; Commitment; Credit supply; Financial liberalization; Financial system perspective; Japan; Subprime crisis
2009-08 513 KB
2009-E-18 Maurice Obstfeld Lenders of Last Resort in a Globalized World
/Lender of Last Resort; Financial Crisis; Central Banking; International Monetary System; International Monetary Fund
2009-08 206 KB
2009-E-17 Bennett T. McCallum The Role of 'Determinacy' in Monetary Policy Analysis
/Determinacy; Learnability; Rational Expectations; Multiple Solutions; Monetary Policy
2009-08 168 KB
2009-E-16 Toshihiko Mukoyama On the Establishment Dynamics in the United States and Japan
/Establishment Dynamics; Sectoral Composition; Industry Dynamics Model; Reallocation
2009-07 249 KB
2009-E-15 Mariko Hatase, Mari Ohnuki Did the Structure of Trade and Foreign Debt Affect Reserve Currency Composition?Evidence from Interwar Japan
/Foreign Exchange Reserves; Gold Exchange Standard; Exchange Rate; Trade Strucutre; Debt Structure; Japan
2009-06 611 KB
2009-E-14 Yuki Teranishi Credit Spread and Monetary Policy
/Credit spread; optimal monetary policy
2009-06 274 KB
2009-E-13 Jouchi Nakajima, Munehisa Kasuya, Toshiaki Watanabe Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy
/Bayesian inference; Markov chain Monte Carlo; Monetary policy; State space model; Structural vector autoregressive model; Stochastic volatility; Time-varying parameter
2009-05 260 KB
2009-E-12 Rasmus Fatum Official Japanese Intervention in the JPY/USD Exchange Rate Market: Is It Effective and Through Which Channel Does It Work?
/Exchange Rates; Foreign Exchange Market Intervention; Channels of Transmission
2009-03 253 KB
2009-E-11 Daisuke Nagakura, Toshiaki Watanabe A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
/Realized Variance; Integrated Variance; Microstructure Noise
2009-03 531 KB
2009-E-10 Jouchi Nakajima, Yuki Teranishi The Evolution of Loan Rate Stickiness Across the Euro Area
/banking integration; sticky loan interest rate; Bayesian analysis; time-varying regression; Markov chain Monte Carlo
2009-03 407 KB
2009-E-9 Ippei Fujiwara, Yuki Teranishi Financial Stability in Open Economies
/optimal monetary policy; policy coordination; global banking; international staggered loan contracts
2009-03 426 KB
2009-E-8 Kozo Ueda Determinants of Households' Inflation Expectations
/expected inflation; structured vector autoregression; monetary policy
2009-03 643 KB
2009-E-7 Takashi Shibata, Tetsuya Yamada Dynamic Model of Credit Risk in Relationship Lending:A Game-theoretic Real Options Approach
/Credit risk; Relationship lending; Real option; Game theory; Concentration risk
2009-03 309 KB
2009-E-6 Chih-nan Chen, Tsutomu Watanabe, Tomoyoshi Yabu A New Method for Identifying the Effects of Foreign Exchange Interventions
/Foreign exchange intervention; Intraday data; Markov-chain Monte Carlo method; Endogeneity problem; Temporal aggregation
2009-02 486 KB
2009-E-5 Kozo Ueda Central Bank Communication and Multiple Equilibria
/Transparency; disclosure; coordination
2009-02 136 KB
2009-E-4 Michio Suzuki Consumption Smoothing without Secondary Markets for Small Durable Goods
/Durable Goods; Irreversibility; Consumption Insurance
2009-02 262 KB
2009-E-3 Patrick McGuire Bank Ties and Firm Performance in Japan:Some Evidence since FY2002
/Cross-Shareholding; Main Bank; Japanese Banks; Firm Performance
2009-01 324 KB
2009-E-2 Matthew Brzozowski, Martin Gervais, Paul Klein, Michio Suzuki Dimensions of Inequality in Canada
/Income Inequality; Consumption Inequality; Wealth Inequality
2009-01 493 KB
2009-E-1 Naohisa Hirakata, Nao Sudo Accounting for Oil Price Variation and Weakening Impact of the Oil Crisis
/Oil Price Accounting; DSGE Model; Total Factor Productivity (TFP)
2009-01 517 KB