Monetary and Economic Studies
2000
Monetary and Economic Studies is published each year, by the Bank of Japan's Institute for Monetary and Economic Studies (IMES). In line with IMES policy, the publication seeks to provide information on monetary and economic issues to the general public. Articles include research achievements by the staff and visiting scholars, and selected works from the proceedings of conferences sponsored by IMES.
Views expressed in Monetary and Economic Studies are those of the authors and do not necessarily reflect those of the Bank of Japan or IMES.
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Click the title to obtain an abstract of the thesis
Vol.18, No.2 / December 2000
Author(s) | Title/Keywords | Full Text (PDF) |
---|---|---|
James Dow | What Is Systemic Risk? Moral Hazard, Initial Shocks, and Propagation
/Systemic risk; Moral hazard; Bank solvency; Financial system stability; Bank capital regulation |
211 KB |
Jon Danielsson, Yuji Morimoto | Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market
/Risk; Regulation; Extreme value theory; Volatility; Value-at-risk |
262 KB |
Akira Ieda, Kohei Marumo, Toshinao Yoshiba | A Simplified Method for Calculating the Credit Risk of Lending Portfolios
/Credit risk; Lending portfolio; Monte Carlo simulation; Credit concentration/diversification; Correlation between default events |
434 KB |
Yoshifumi Hisata, Yasuhiro Yamai | Research Toward the Practical Application of Liquidity Risk Evaluation Methods
/Liquidity risk; Value at risk; Market risk; Market impact; Optimal execution strategy; Optimal holding period |
473 KB |
Toshiyasu Kato, Toshinao Yoshiba | Model Risk and Its Control
/Model risk; Pricing model; Risk measurement model; Risk management systems; Reserves; Scenario analysis; Position limits |
325 KB |
Naohiko Baba | Exploring the Role of Money in Asset Pricing in Japan: Monetary Considerations and Stochastic Discount Factors
/Asset pricing; CAPM; Money-in-the-utility; Cash-in-advance; Habit formation; Volatility bound; Market frictions |
440 KB |
Vol.18, No.1 / May 2000
Author(s) | Title/Keywords | Full Text (PDF) |
---|---|---|
Forum on the Development of Electronic Payment Technologies and Its Implications for Monetary Policy: Interim Report | 170 KB | |
Naohiko Baba | Testing the Ex Ante Relationship between Asset and Investment Returns in Japan: An Application of the P-CAPM to Japanese Asset Returns
/Asset pricing; P-CAPM; GMM; Equity premium puzzle; Risk-free rate puzzle; Volatility bound test; q theory of investment |
205 KB |
Patricia Hagan Kuwayama | Postal Banking in the United States and Japan: A Comparative Analysis
/U.S. postal savings; Japanese postal savings; Deposit insurance; Narrow bank |
163 KB |
Shuji Kobayakawa, Hisashi Nakamura | A Theoretical Analysis of Narrow Banking Proposals
/Narrow bank; Bank run; Integrated operation of deposit-taking and lending services; Liquidity |
80 KB |
Nobuyuki Oda, Tokiko Shimizu | Prospects for Prudential Policy: Toward Achieving an Efficient and Stable Banking System
/Prudential policy; Market discipline; Lender of last resort;Deposit insurance; Capital adequacy rule; Systemic risk |
94 KB |