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IMES Discussion Paper Series 2019

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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IMES Discussion Paper Series
No./Main Category Author(s) Title/Keywords Date Full Text (PDF)
2019-E-21/Economics Kosuke Aoki, Ko Munakata, Nao Sudo Prolonged Low Interest Rates and Banking Stability
/Prolonged low interest rates; Bank profits; Banking stability
Nov. 27, 2019 5,698KB
2019-E-20/Accounting Yuta Shibasaki, Chikara Toyokura The Disclosure of Non-GAAP Performance Measures and the Adoption of IFRS: Evidence from Japanese Firms' Experience
/Non-GAAP performance measures; IFRS; Primary Financial Statements project
Nov. 8, 2019 884KB
2019-E-19/Economics Fumitaka Nakamura Household Income, Portfolio Choice and Heterogeneous Consumption Responses to Monetary Policy Shocks
/Consumption; Household income; Monetary policy; Liquidity
Nov. 8, 2019 2,307KB
2019-E-18/Economics Jesus Fernandez-Villaverde, Federico Mandelman, Yang Yu, Francesco Zanetti Search Complementarities, Aggregate Fluctuations, and Fiscal Policy
/Aggregate fluctuations; Strategic complementarities; Macroeconomic volatility; Government spending
Nov. 1, 2019 1,912KB
2019-E-17/History Mariko Hatase, Yoichi Matsubayashi Tax Incentives for Investment: Evidence from Japan's High-Growth Era
/Capital investments; Corporate taxes; Special depreciation; Investment policy; High-growth era
Sept. 13, 2019 1,403KB
2019-E-16/Economics Naoko Hara, Ryuzo Miyao, Tatsuyoshi Okimoto The Effects of Asset Purchases and Normalization of US Monetary Policy
/Quantitative easing; Unconventional monetary policy; LSAP; MSVAR
Aug. 30, 2019 462KB
2019-E-15/Economics Tatsushi Okuda, Tomohiro Tsuruga, Francesco Zanetti Imperfect Information, Shock Heterogeneity, and Inflation Dynamics
/Imperfect information; Shock heterogeneity; Inflation dynamics
Aug. 30, 2019 1,365KB
2019-E-14/Economics Shigenori Shiratsuka, Nao Sudo, Shingo Watanabe Central Bank Design under a Continued Low Inflation and Interest Rate Environment
Summary of the 2019 BOJ-IMES Conference
Aug. 21, 2019 597KB
2019-E-13/Economics Carl E. Walsh Alternatives to Inflation Targeting in Low Interest Rate Environments
/Optimal monetary policy; Inflation targeting; Price-level targeting; Average inflation targeting
Aug. 21, 2019 869KB
2019-E-12/Economics Jean-Claude Trichet The Euro Area Economic, Fiscal and Financial Governance: Difficulties and Successes in the Past - Present Challenges - Future Steps Aug. 21, 2019 681KB
2019-E-11/Economics Makoto Nirei, Jose A. Scheinkman Self-Organization of Inflation Volatility
/Trend inflation; Inflation volatility; State-dependent pricing; Aggregate fluctuations; Self-organized criticality; Power law
Jul. 29, 2019 880KB
2019-E-10/Economics Michinao Okachi Sovereign Default Triggered by Inability to Repay Debt
/Sovereign Default; Dynamic Stochastic General Equilibrium; Inability to Repay Debt; Strategic Decision to Default; Fiscal Limit; Laffer Curve
Jul. 22, 2019 791KB
2019-E-9/Economics Saleem Bahaj, Ricardo Reis Central Bank Swap Lines: Evidence on the Effects of the Lender of Last Resort
/liquidity facilities; currency basis; bond portfolio flows
Jul. 11, 2019 1,659KB
2019-E-8/Economics Julio A. Carrillo, Enrique G. Mendoza, Victoria Nuguer, Jessica Roldan-Pena Tight Money-Tight Credit: Coordination Failure in the Conduct of Monetary and Financial Policies
/Monetary policy; Financial frictions; Macroprudential policy; Leaning against the wind; Policy coordination
Jul. 5, 2019 1,212KB
2019-E-7/History Ryoji Koike Interpolation of Japan's Household Consumption during World War II
/Household survey; Black-market prices; Effective prices; In-kind outlay; World War II
Jun. 28, 2019 1,188KB
2019-E-6/Economics Markus K. Brunnermeier, Yann Koby The Reversal Interest Rate
/Monetary Policy; Lower Bound; Negative Rates; Banking
Jun. 21, 2019 1,014KB
2019-E-5/Information technology Shiori Inoue, Masashi Une Security Analysis of Machine Learning Systems for the Financial Sector
/Artificial Intelligence; Machine Learning System; Security; Threat; Vulnerability
May 17, 2019 1,042KB
2019-E-4/Economics Hidehiko Matsumoto Foreign Reserve Accumulation, Foreign Direct Investment, and Economic Growth
/Foreign Reserve Accumulation; Foreign Direct Investment; Sudden Stops; Endogenous Growth; Real Exchange Rate; Gross Capital Flows
Mar. 1, 2019 985KB
2019-E-3/Economics Carlo Pizzinelli, Konstantinos Theodoridis, Francesco Zanetti State Dependence in Labor Market Fluctuations: Evidence, Theory, and Policy Implications
/Search and Matching Models; State Dependence in Business Cycles; Threshold Vector Autoregression
Feb. 22, 2019 1,599KB
2019-E-2/Economics Rasmus Fatum, Naoko Hara, Yohei Yamamoto Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields
/NIRP; Bond Yields; Macroeconomic News
Feb. 13, 2019 689KB
2019-E-1/Finance Tetsuya Adachi, Takumi Sueshige, Toshinao Yoshiba Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas
/Credit valuation adjustment; Credit default swap; Affine jump diffusion; Fractional fast Fourier transform; Characteristic function
Jan. 25, 2019 671KB