IMES Discussion Paper Series 2024

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.

Click the title to obtain an abstract of the thesis

IMES Discussion Paper Series
No./Main Category	Author(s)	Title/Keywords	Date	Full Text (PDF)
2024-E-6/Finance	Kazuhiro Hiraki, Yuji Shinozaki	A Survey of Rough Volatility /Historical volatility; Implied volatility; Market microstructure; Highfrequency trading; Derivative pricing; Risk management; Market forecast	July 22, 2024	[PDF 1,222KB]
2024-E-5/Economics	Naohisa Hirakata, Mitsuru Katagiri	Role of Foreign Direct Investment as a Long-term Capital Flow Channel /Capital flows; Demographic changes; Foreign direct investment (FDI)	June 28, 2024	[PDF 520KB]
2024-E-4/Economics	Yasutaka Ogawa, Jiro Yoshida	Aging, Housing, and Macroeconomic Inefficiency /Aging; Natural Rate of Interest; Overlapping Generations Model; Bequest Motives; Intergenerational Transfer of Housing; Japan	June 28, 2024	[PDF 1,128KB]
2024-E-3/Economics	Takuji Fueki, Takeshi Shinohara, Mototsugu Shintani	International Comparison of Climate Change News Index with an Application to Monetary Policy /Climate Change; Text Analysis; Monetary Policy; Nonlinear Local Projection	Apr. 22, 2024	[PDF 3,111KB]
2024-E-2/Finance	Yuji Shinozaki	A Review of New Developments in Finance with Deep Learning: Deep Hedging and Deep Calibration /Financial engineering; Mathematical finance; Derivatives; Hedging; Calibration; Numerical optimization	Apr. 22, 2024	[PDF 1,642KB]
2024-E-1/Economics	Ichiro Muto, Fumitaka Nakamura, Makoto Nirei	Digitalization, Entrepreneurship, and Wealth Inequality /Digitalization; Entrepreneurship; Wealth inequality; Savings inequality	Mar. 27, 2024	[PDF 498KB]