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IMES Discussion Paper Series

1998

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.

Table : IMES Discussion Paper Series
No. Author(s) Title/Keywords Date Full Text (PDF)
1998-E-18 Kiyohiko G. Nishimura, Toshiaki Watanabe, Kentaro Iwatsubo Effects of the Developments of Knowledge-based Economy on Asset Price Movements: Theory and Evidence in the Japanese Stock Market
/Asymmetry of Information, Market Microstructure, Heterogeneous Expectation, Excess Sensitivity
1998-12 328 KB
1998-E-17 Marvin H. Kosters Wage and Job Trends in the U.S. Labor Market: An Assessment
/Wage Inequality, Skill Premium, Job Security, Skill Intensive Economy
1998-12 132 KB
1998-E-16 Charles I. Jones The Japanese Economy in a World of Knowledge-Based Growth
/Human Capital, Increasing Returns to Scale, Externalities, R&D
1998-12 149 KB
1998-E-15 W. E. Diewert, Kevin J. Fox The Productivity Paradox and Mismeasurement of Economic Activity
/Productivity Paradox, Measurement Error, Quality Adjustment, Service Sector Output
1998-12 421 KB
1998-E-14 Satoshi Daigo, Tatsuya Yonetani, Kohei Marumo Banks Recapitalization Policies in Japan and their Impact on the Market ---A study of the impact of emergency measures in the latter half of FY 1997 on stock prices
/BIS capital adequacy ratio, "lower of cost or market method", cost method, capital injection
1998-12 145 KB
1998-E-13 Tsutomu Saitou, Teruhiko Takahashi, Yuichi Nishikawa Chemical Study of the Medieval Japanese Mochu-sen (Bronze Coins)
/Mochu-sen coins, Shima-sen coins, Iutsushi-sen coins, Kajiki coins, Kanode Gen'yu coins, Dimension and Weight Measeurements, Lead Isotope Analysis
1998-11 351 KB
1998-E-12 Makoto Saito Dynamic Allocation and Pricing in Incomplete Markets: A Survey
/imcomplete markets, asset pricing
1998-11 413 KB
1998-E-11 Nobuyuki Oda Estimating Fair Premium Rates for Deposit Insurance Using Option Pricing Theory--An Empirical Study on Japanese Banks--
/Deposit insurance, variable deposit insurance rates, option pricing theory, stock price, credit risk, bankruptcy forecasting, forbearance
1998-10 302 KB
1998-E-10 Fuminobu Ohtake, Nobuyuki Oda, Toshinao Yoshiba Market Price Analysis and Risk Management for Convertible Bonds
/convertible bond, implied volatility, historical volatility, market risk, arbitrage, issuing conditions
1998-10 585 KB
1998-E-9 Akira Ieda, Toshikazu Ohba Risk Management for Equity Portfolios of Japanese Banks
/equity portfolio, loan, expected default probability, spread over Libor, equity price risk, credit risk, sensitivity
1998-10 405 KB
1998-E-8 Hisashi Nakamura, Shigenori Shiratsuka Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets
/Option Prices, Implied Probability Distribution, Market expectations, Monetary Policy, Information Variables
1998-09 724 KB
1998-E-7 Tetsuya Inoue Impact of Information Technology And Implications for Monetary Policy (Background Paper for the Eighth International Conference)
/Information Technology, IT paradox, Mismeasurement in Economic Statistics, Network Externalities, Adjustment Cost, Relative Price, Policy Commitment
1998-08 590 KB
1998-E-6 Kjell Doksum, Ryozo Miura, Hiroaki Yamauchi On Financial Time Series Decompositions with Applications to Volatility
/Autoregressive fit, BDS statistic, Decomposition, Exchange rate, Financial time series, LOWESS, Volatility
1998-08 557 KB
1998-E-5 Masahiro Higo, Sachiko Nakada(Kuroda) How can we extract a fundamental trend from an economic time series?
/A Fundamental Trend, Time Series Analysis, X-12-ARIMA, DECOMP, HP Filter, Fourier Transformation, Beveridge and Nelson Decompositon
1998-06 904 KB
1998-E-4 Shuji Kobayakawa Designing Incentive Compatible Regurlation in Banking --Role of Penalty in the Precommitment Approach
/mechanism design, Precommitment Approach
1998-04 130 KB
1998-E-3 Tatsuya Yonetani, Yuko Katsuo(Asami) Fair Value Accounting and Regulatory Capital Requirements
/Investment securities, Fair value accounting, Regulatory capital, Earnings
1998-04 153 KB
1998-E-2 Alan J. Auerbach, Laurence J. Kotlikoff, Willi Leibfritz Generational Accounting Around the World
/aging, fiscal deficits, fiscal policy, generational accounting
1998-03 150 KB
1998-E-1 Noriyuki Takayama, Yukinobu Kitamura, Hiroshi Yoshida Generational Accouting in Japan
/aging, fiscal deficits, fiscal policy, generational accounting
1998-03 94 KB