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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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Table : IMES Discussion Paper Series
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