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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)
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