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IMES Discussion Paper Series2015

IMES Discussion Paper Series (DPS) 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./Main Category Author(s) Title/Keywords Date Full Text (PDF)
2015-E-14/Finance Azusa Takeyama, Naoshi Tsuchida The Interaction between Funding Liquidity and Market Liquidity: Evidence from Subprime and European Crises
/Funding Liquidity; Market Liquidity; Limits of Arbitrage
Sept. 30, 2015 1,976KB
2015-E-13/Economics Yushi Endo, Takushi Kurozumi, Takemasa Oda, Kenichirou Watanabe Monetary Policy: Its Effects and Implementation:
Summary of the 2015 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan
Sept. 18, 2015 314KB
2015-E-12/History Masanao Itoh, Ryoji Koike, Masato Shizume Bank of Japan's Monetary Policy in the 1980s: a View Perceived from Archived and Other Materials
/Monetary policy management; Price stability in the medium and long term; Financial imbalance; External imbalance; Financial deregulation
Aug. 20, 2015 1,367KB
2015-E-11/Finance Tetsuya Adachi, Yoshihiko Uchida Variation of Wrong-Way Risk Management and Its Impact on Security Price Changes
/Wrong-way risk; Systemic risk; Jump-diffusion process; Asset pricing; Market microstructure
Jul. 28, 2015 543KB
2015-E-10/Economics Ichiro Fukunaga, Naoya Kato, Junko Koeda Maturity Structure and Supply Factors in Japanese Government Bond Markets
/Japanese Government Bonds; Term structure of interest rates; Preferred habitat; Unconventional monetary policy
Jul. 28, 2015 1,370KB
2015-E-9/Economics Gauti B. Eggertsson, Neil R. Mehrotra A Model of Secular Stagnation
/Secular stagnation; monetary policy; zero lower bound
Jul. 28, 2015 857KB
2015-E-8/Economics Antoine Martin, James McAndrews, Ali Palida, David Skeie Federal Reserve Tools for Managing Rates and Reserves
/monetary policy; fixed-rate full allocation overnight reverse repurchases; term deposit facility; interest on excess reserves; FOMC; banking
Jul. 28, 2015 293KB
2015-E-7/Economics Marcel Fratzscher, Marco Lo Duca, Roland Straub On the International Spillovers of US Quantitative Easing
/monetary policy; quantitative easing; portfolio choice; capital flows; Federal Reserve; United States; policy responses; emerging markets; panel data
Jul. 28, 2015 389KB
2015-E-6/Economics Yildiz Akkaya, Refet S. Gurkaynak, Burcin Kisacikoglu, Jonathan H. Wright Forward Guidance and Asset Prices
/Forward guidance; zero lower bound; term structure; event study
Jul. 28, 2015 330KB
2015-E-5/Economics Barry Eichengreen Wall of Worries: Reflections on the Secular Stagnation Debate
/Secular stagnation; Real interest rates; Economic growth
Jun. 29, 2015 262KB
2015-E-4/Finance Frank J. Fabozzi, Rosella Giacometti, Naoshi Tsuchida The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads
/independent component analysis (ICA); credit default swap (CDS); Eurozone sovereign debt crisis; redenomination risk
Jun. 12, 2015 511KB
2015-E-3/Economics Eri Egawa, Akira Otani, Toshiyuki Sakiyama What Determines Institutional Arrangements for Macroprudetial Policy?
/Macroprudential policy; Ordered probit analyses; Institutional arrangements; Financial stability committee
Jun. 12, 2015 292KB
2015-E-2/Economics Kiminori Matsuyama, Iryna Sushko, Laura Gardini Revisiting the Model of Credit Cycles with Good and Bad Projects
/borrower net worth; composition of credit flows; financial instability; corridor stability; asymmetric cycles; regime-switching; bifurcation analysis of a piecewise smooth nonlinear dynamical system
Feb. 13, 2015 696KB
2015-E-1/Finance Toshinao Yoshiba Risk Aggregation with Copula for Banking Industry
/copula; multivariate distribution; tail dependence; risk aggregation; economic capital
Jan. 26, 2015 170KB