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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.

Click the title to obtain an abstract of the thesis

Vol.18, No.2 / December 2000

Table : 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

Table : 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