IMES Discussion Paper Series
2012
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) |
|---|---|---|---|---|
| 2012-E-17 | Hiroshi Fujiki, Naohisa Hirakata, Etsuro Shioji | Aging and Household Stockholdings: Evidence from Japanese Household Survey Data
/Stockholding Puzzle; Participation; Online Financial Transactions |
2012-11 | 671KB |
| 2012-E-16 | Mitsuru Katagiri, Ryo Kato, Takayuki Tsuruga | Managing Financial Crises: Lean or Clean?
/Financial Crisis; Credit Externalities; Bailout; Macroprudential Policy |
2012-11 | 265KB |
| 2012-E-15 | Azusa Takeyama, Nick Constantinou, Dmitri Vinogradov | Credit Risk Contagion and the Global Financial Crisis
/Credit Default Swap (CDS); Probability of Default (PD); Loss Given Default (LGD); Credit Risk Contagion |
2012-10 | 585KB |
| 2012-E-14 | Azusa Takeyama, Nick Constantinou, Dmitri Vinogradov | A Framework for Extracting the Probability of Default from Stock Option Prices
/probability of default (PD); option pricing under credit risk; perturbation method |
2012-10 | 395KB |
| 2012-E-13 | James Bullard, Carlos Garriga, Christopher J. Waller | Demographics, Redistribution, and Optimal Inflation
/monetary policy; inflation bias; deflation; central bank design |
2012-09 | 474KB |
| 2012-E-12 | Alan J. Auerbach | Societal Aging: Implications for Fiscal Policy
/deficits; fiscal imbalances; tax reform; political economy; stabilization policy |
2012-09 | 441KB |
| 2012-E-11 | Ronald Lee | Macroeconomic Implications of Demographic Changes: A Global Perspective
/population aging; macroeconomic; demographic transition; human capital; economic growth; support ratio; demand for wealth |
2012-09 | 1,205KB |
| 2012-E-10 | Otmar Issing | Central Banks - Paradise Lost
/Central banking; Financial stability; Monetary policy |
2012-09 | 377KB |
| 2012-E-9 | Marvin Goodfriend | The Elusive Promise of Independent Central Banking
/Bank of England; central bank independence; credit turmoil of 2007-8; Federal Reserve; Great Inflation; lender of last resort; monetary policy |
2012-09 | 269KB |
| 2012-E-8 | Kentaro Kikuchi | Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions
/affine term structure model; quadratic Gaussian term structure model; mixture of normal distributions; unscented Kalman filter; maximum likelihood method |
2012-06 | 756KB |
| 2012-E-7 | Masazumi Hattori, Kohei Shintani, Hirofumi Uchida | Authority and Soft Information Production within a Bank Organization
/Authority; Soft information; Organizational structure; Banks |
2012-05 | 214KB |
| 2012-E-6 | Ippei Fujiwara, Hibiki Ichiue, Yoshiyuki Nakazono, Yosuke Shigemi | Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold? /Anchoring; Bold; Herding; Survey Forecasts |
2012-05 | 146KB |
| 2012-E-5 | Yasushi Asako, Tetsuya Matsubayashi, Michiko Ueda | Seniority, Term Limits, and Government Spending: Theory and Evidence from the United States
/Legislative Term Limits; Seniority; Legislative Bargaining; Fiscal Spending |
2012-04 | 213KB |
| 2012-E-4 | Kentaro Kikuchi, Kohei Shintani | Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data
/coupon-bearing government bond; zero coupon yield; piecewise polynomial function |
2012-04 | 440KB |
| 2012-E-4: Supplemental Data | Kentaro Kikuchi, Kohei Shintani | Supplemental Data: Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data
/coupon-bearing government bond; zero coupon yield; piecewise polynomial function |
2012-04 | 1,458KB |
| 2012-E-3 | Mitsuru Katagiri | Economic Consequences of Population Aging in Japan: Effects through Changes in Demand Structure
/Population Aging; Matching; Productivity; Deflation |
2012-03 | 387KB |
| 2012-E-2 | R. Anton Braun, Tomoyuki Nakajima | Why Prices Don't Respond Sooner to a Prospective Sovereign Debt Crisis
/Sovereign Debt Crisis; Deflation; Fiscal Risk; Leverage; Borrowing Constraint |
2012-03 | 932KB |
| 2012-E-1 | Mikhail Golosov, Maxim Troshkin, Aleh Tsyvinski | Optimal
Dynamic Taxes /Optimal taxation; Efficiency; Optimal Social insurance |
2012-02 | 408KB |