IMES Discussion Paper Series
2010
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.
- to IMES Home
- Notice on copyright and other related matters regarding the site of the Institute for Monetary and Economic Studies.
Click the title to obtain an abstract of the thesis
| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2010-E-26 | Pierre L. Siklos | Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation
/forecast disagreement; central bank transparency; inflation, quantile regression; panel regression |
2010-11 | 891 KB |
| 2010-E-25 | Naoki Makimoto, Yoshihiko Sugihara | Optimal Execution of Multiasset Block Orders under Stochastic Liquidity
/optimal execution strategy; market impact; transaction cost; stochastic liquidity; limit order book; price manipulation; mean-variance optimization |
2010-11 | 1,199 KB |
| 2010-E-24 | Junko Koeda, Ryo Kato | The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates
/GARCH; Estimation; Term Structure of Interest Rates; Financial Markets and the Macro-economy; Monetary Policy |
2010-10 | 474 KB |
| 2010-E-23 | Selahattin Imrohoroglu, Nao Sudo | Productivity and Fiscal Policy in Japan: Short Term Forecasts from the Standard Growth Model
/Primary Balance; Fiscal Policy; Productivity; Growth Theory |
2010-09 | 408 KB |
| 2010-E-22 | Jouchi Nakajima, Nao Sudo, Takayuki Tsuruga | How well do the sticky price models explain the disaggregated price responses to aggregate technology and monetary policy shocks?
/Disaggregated Prices; Technology Shocks; Monetary Policy Shocks; Sticky Price Models |
2010-09 | 371 KB |
| 2010-E-21 | Shigenori Shiratsuka, Wataru Takahashi, Yuki Teranishi, Kozo Ueda | Future of Central Banking under Globalization: Summary of the 2010 International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan | 2010-09 | 160 KB |
| 2010-E-20 | Pierre-Olivier Gourinchas, Helene Rey, Nicolas Govillot | Exorbitant Privilege and Exorbitant Duty | 2010-08 | 707 KB |
| 2010-E-19 | Makoto Saito, Shiba Suzuki, Tomoaki Yamada | Can Cross-Border Financial Markets Create Endogenously Good Collateral in a Crisis?
/Solvency Constraints; Collateral Constraints; Dynamic Optimal Contract; Catastrophic Shocks |
2010-08 | 204 KB |
| 2010-E-18 | Franklin Allen, Elena Carletti | Financial Regulation Going Forward
/Bubbles; Monetary Policy; Global Imbalances |
2010-07 | 304 KB |
| 2010-E-17 | Pierpaolo Benigno, Ester Faia | Globalization, Pass-Through and Inflation Dynamic
/AS equations; Oligopolistic Competition; Inflation Dynamic |
2010-07 | 388 KB |
| 2010-E-16 | Kozo Ueda | Banking Globalization and International Business Cycles
/Financial accelerator; financial intermediaries; correlation (quantity) puzzle; business cycle synchronization; contagion; monetary policy |
2010-07 | 699 KB |
| 2010-E-15 | William R. White | Some Alternative Perspectives on Macroeconomic Theory and Some Policy Implications | 2010-07 | 434 KB |
| 2010-E-14 | Bennett T. McCallum | The Future of Central Banking: A Lesson From United States History | 2010-07 | 57 KB |
| 2010-E-13 | Naohisa Hirakata, Nao Sudo, Kozo Ueda | Do Banking Shocks Matter for the U.S. Economy?
/Monetary Policy; Financial Accelerators; Financial Intermediaries; Chained Credit Contracts |
2010-07 | 498 KB |
| 2010-E-12 | Kozo Ueda | A Time-Invariant Duration Policy under the Zero Lower Bound
/Zero lower bound on nominal interest rates; optimal monetary policy; liquidity trap; time-inconsistency |
2010-07 | 390 KB |
| 2010-E-11 | Ippei Fujiwara, Tomoyuki Nakajima, Nao Sudo, Yuki Teranishi | Global Liquidity Trap
/Zero Interest Rate Policy; Two-country Model; International Spillover; Monetary Policy Coordination |
2010-07 | 480 KB |
| 2010-E-10 | Satoshi Yamashita, Toshinao Yoshiba | Analytical Solution for Expected Loss of a Collateralized Loan: A Square-root Intensity Process Negatively Correlated with Collateral Value
/stochastic recovery; default intensity model; affine diffusion; extended affine; survival probability; measure change |
2010-06 | 162 KB |
| 2010-E-9 | Yoshihiko Sugihara, Nobuyuki Oda | An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes
/implied distribution; implied moment; jump diffusion process; nonparametric method; GMM; characteristic function GMM |
2010-06 | 6,440 KB |
| 2010-E-8 | Tetsuya Yamada | Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A Real Options Approach
/Low interest rate environment; Investment behavior; Credit risk; Real options model; Corporate finance; Time-inconsistent discount rate; Behavioral economics |
2010-06 | 478 KB |
| 2010-E-7 | Yasushi Asako | Partially Binding Platforms and the Advantages of Being an Extreme Candidate
/Electoral Competition; Campaign Promise; Signaling Game |
2010-05 | 430 KB |
| 2010-E-6 | Jouchi Nakajima, Shigenori Shiratsuka, Yuki Teranishi | The Effects of Monetary Policy Commitment: Evidence from Time-varying Parameter VAR Analysis
/Policy commitment; policy duration effect; expectations management; Bayesian estimation; time-varying parameter vector autoregression with stochastic volatility |
2010-03 | 424 KB |
| 2010-E-5 | R. Anton Braun, Lena Mareen Koerber | New Keynesian Dynamics in a Low Interest Rate Environment
/Government purchases; zero nominal interest rates; monetary policy |
2010-03 | 555 KB |
| 2010-E-4 | Hiroshi Fujiki | Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard
/Standing swap lines; Operations supplying US dollar funds outside the US; Cross-border collateral arrangements |
2010-03 | 343 KB |
| 2010-E-3 | Ippei Fujiwara, Kozo Ueda | The Fiscal Multiplier and Spillover in a Global Liquidity Trap
/Zero lower bound; two-country model; fiscal policy; beggar-thy-neighbor |
2010-03 | 161 KB |
| 2010-E-2 | Klaus Adam, Albert Marcet | Booms and Busts in Asset Prices | 2010-02 | 420 KB |
| 2010-E-1 | Yasushi Asako | Partially Binding Platforms: Political Promises as a Partial Commitment Device
/Electoral Competition; Median-voter Theorem; Valence; Campaign Platforms |
2010-02 | 311 KB |