IMES Discussion Paper Series
2011
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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| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2011-E-28 | Mitsuru Katagiri | A Macroeconomic Approach to Corporate Capital Structure
/Corporate Capital Structure; Dynamic Trade-off Theory; Heterogeneous Firm Model |
2011-12 | 409KB |
| 2011-E-27 | Atif Mian, Amir Sufi, Francesco Trebbi | Foreclosures, House Prices, and the Real Economy | 2011-09 | 585KB |
| 2011-E-26 | Fabrizio Perri, Vincenzo Quadrini | International Recessions | 2011-09 | 717KB |
| 2011-E-25 | Gary Gorton, Guillermo Ordoñez | Collateral Crises | 2011-09 | 594KB |
| 2011-E-24 | Kosuke Aoki, Kalin Nikolov | Bubbles, Banks, and Financial Stability
/Rational bubbles; Financial Frictions; Financial Stability |
2011-09 | 406KB |
| 2011-E-23 | Charles A. E. Goodhart, Dimitrios P. Tsomocos | The Role of Default in Macroeconomics
/Default; Transversality; Money; Bankruptcy cost; Asset bubbles; Resolution mechanisms |
2011-09 | 321KB |
| 2011-E-22 | Maurice Obstfeld | International Liquidity: The Fiscal Dimension
/International liquidity; Sovereign debt; Euro zone crisis; Fiscal union; International Monetary Fund; Special Drawing Rights |
2011-09 | 541KB |
| 2011-E-21 | Florin O. Bilbiie, Ippei Fujiwara, Fabio Ghironi | Optimal Monetary Policy with Endogenous Entry and Product Variety
/Entry; Optimal Inflation Rate; Price Stability; Product Variety; Ramsey-Optimal Monetary Policy |
2011-09 | 824KB |
| 2011-E-20 | Satoshi Yamashita, Toshinao Yoshiba | Analytical Solution for the Loss Distribution of a Collateralized Loan under a Quadratic Gaussian Default Intensity Process
/default intensity; stochastic recovery; quadratic Gaussian; expected loss; measure change |
2011-09 | 183KB |
| 2011-E-19 | Bruce E. Aronson | A Reassessment of Japan's Big Bang Financial Regulatory Reform
/Big Bang; Financial Deregulation; Financial Reform; Corporate Bond Market; Venture Capital; Financial Center |
2011-08 | 508KB |
| 2011-E-18 | Masato Ubukata, Toshiaki Watanabe | Pricing Nikkei 225 Options Using Realized Volatility
/microstructure noise; Nikkei 225 stock index; non-trading hours; option pricing; realized volatility |
2011-08 | 391KB |
| 2011-E-17 | Masazumi Hattori,Kazuhiko Ohashi | Detrimental Effects of Retention Regulation:Incentives for Loan Screening in Securitization under Asymmetric Information
/originate-to-distribute; securitization; asymmetric information; financial regulation; screening; verification; retention |
2011-07 | 376KB |
| 2011-E-16 | Nao Sudo | Accounting for the Decline in the Velocity of Money in the Japanese Economy
/Velocity of Money; Liquidity Requirement; Financial Crises |
2011-07 | 512KB |
| 2011-E-15 | Ryo Kato,Takayuki Tsuruga | Bank Overleverage and Macroeconomic Fragility
/Financial crisis; Liquidity shortage; Maturity mismatch; Pecuniary externalities |
2011-07 | 318KB |
| 2011-E-14 | Mario J. Crucini, Mototsugu Shintani | Measuring International Business Cycles by Saving for a Rainy Day
/Error correction model; the Great Moderation; international comovement puzzle; permanent income hypothesis; stochastic trends; trend cycle decomposition |
2011-06 | 784KB |
| 2011-E-13 | Michal Franta | Identification of Monetary Policy Shocks in Japan Using Sign Restrictions within the TVP-VAR Framework
/Structural vector autoregressive model; time-varying parameters; sign restrictions; unconventional monetary policy; zero lower bound |
2011-06 | 184KB |
| 2011-E-12 | Yoshiyuki Nakazono, Kozo Ueda | Policy Commitment and Market Expectations:Lessons Learned from Survey Based Evidence under Japan's Quantitative Easing Policy
/Commitment policy; policy duration effect; unconventional monetary policy; zero lower bound |
2011-06 | 2,268KB |
| 2011-E-11 | Hirokazu Ishise | The World Has More Than Two Countries: Implications of Multi-Country International Real Business Cycle Models /International Real Business Cycles; Cross-Country Correlations; Multi-Country; Country Size |
2011-05 | 187KB |
| 2011-E-10 | Naohisa Hirakata, Nao Sudo, Kozo Ueda | Capital Injection, Monetary Policy, and Financial Accelerators
/Financial Accelerators; Spread-adjusted Taylor rule; Capital Injection |
2011-03 | 523KB |
| 2011-E-9 | Jouchi Nakajima | Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
/Bayesian inference; Markov chain Monte Carlo; Monetary policy; State space model; Structural vector autoregression; Stochastic volatility; Time-varying parameter |
2011-03 | 456KB |
| 2011-E-8 | Jouchi Nakajima | Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach
/Monetary policy; Zero lower bound of nominal interest rates; Markov chain Monte Carlo; Time-varying parameter vector autoregression with stochastic volatility |
2011-03 | 244KB |
| 2011-E-7 | Fabio Ghironi, Karen K. Lewis | Equity Sales and Manager Efficiency Across Firms and the Business Cycle
/Equity Sales; Managerial Efficiency; Firm Size; Business Cycles |
2011-03 | 348KB |
| 2011-E-6 | Kumiko Okazaki, Masazumi Hattori, Wataru Takahashi | The Challenges Confronting the Banking System Reform in China: An Analysis in Light of Japan's Experience of Financial Liberalization
/Banking System Reform; Financial Liberalization; State-owned Commercial Banks; Rent for Banks |
2011-03 | 1,039KB |
| 2011-E-5 | Hong Bum Jang | Financial Integration and Cooperation in East Asia: Assessment of Recent Developments and Their Implications
/Trade and Financial Integration; Cross-Border Investment and Settlement; Trade-Finance Linkage; Free Trade Agreements; Asian Bond Market; East Asia; Global Economic and Financial Crisis |
2011-02 | 3,563KB |
| 2011-E-4 | Guillaume Plantin | Good Securitization, Bad Securitization
/banking; securitization; liquidity |
2011-02 | 129KB |
| 2011-E-3 | Shigenori Shiratsuka | A
Macroprudential Perspective in Central Banking
/Macroprudential policy; Procyclicality; Financial imbalances; Asset-price and credit bubble; Constrained discretion. |
2011-02 | 298KB |
| 2011-E-2 | Kumiko Okazaki, Tomoyuki Fukumoto | Macro-financial Linkage and Financial Deepening in China after the Global Financial Crisis
/Macro-financial Linkage; Financial Deepening; Cross-border Capital Flow; Bank Lending |
2011-01 | 930KB |
| 2011-E-1 | Selahattin Imrohoroglu, Nao Sudo | Will a Growth Miracle Reduce Debt in Japan?
/Government Debt; Productivity; Fiscal Policy |
2011-01 | 390KB |