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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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Table : IMES Discussion Paper Series
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