IMES Discussion Paper Series
2001
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.
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| No. | Author(s) | Title/Keywords | Date | Full Text (PDF) |
|---|---|---|---|---|
| 2001-E-21 | Makoto Saito, Shigenori Shiratsuka, Tsutomu Watanabe, Noriyuki Yanagawa | Liquidity Demand and Asset Pricing: Evidence from the Periodic Settlement in Japan /Liquidity-based asset pricing model; Periodic settlement; Term structure of interest rates |
2001-12 | 396 KB |
| 2001-E-20 | Mark M. Spiegel | The Disposition of Failed Japanese Bank Assets: Lessons from the U.S. Savings and Loan Crisis. /Banks; Failures; Asset disposition |
2001-12 | 241 KB |
| 2001-E-19 | Hiroshi Fujiki, Cheng Hsiao, Yan Shen | Is There a Stable Money Demand Function Under the Low Interest Rate Policy? --A Panel Data Analysis /Money demand; Interest rate; Panel data; Prefecture data |
2001-12 | 213 KB |
| 2001-E-18 | Masashi UNE | The Security Evaluation of Time Stamping Schemes: The Present Situation and Studies /time stamping, security evaluation |
2001-12 | 226 KB |
| 2001-E-17 | Toshiaki WATANABE, Manabu ASAI | Stochastic Volatility Models with Heavy-Tailed Distributions: A Bayesian Analysis /Bayes factor, Generalized error distribution, Marginal Likelihood, Markov-chain Monte Carlo, Multimove sampler, Student-t distribution |
2001-11 | 1,089 KB |
| 2001-E-16 | Kunio Okina, Shigenori Shiratsuka | Asset Price Bubbles, Price Stability, and Monetary Policy: Japan's Experience /Monetary policy; Asset price bubble; Price stability; Financial stability |
2001-10 | 599 KB |
| 2001-E-15 | Howard J. Wall | Has Japan Been Left Out in the Cold by Regional Integration? /Regional Integration; Japanese Trade; Gravity Model |
2001-08 | 107 KB |
| 2001-E-14 | Toshinao YOSHIBA, Yasuhiro YAMAI | Comparative Analyses of Expected Shortfall and Value-at-Risk (2): expected utility maximization and tail risk /expected shortfall, Value-at-Risk, tail risk, stochastic dominance, expected utility maximization |
2001-08 | 185 KB |
| 2001-E-13 | Hiroshi Fujiki | Money demand near zero interest rate: Evidence from regional data /Zero interest rate policy; Demand for Money |
2001-08 | 172 KB |
| 2001-E-12 | Yasuhiro YAMAI, Toshinao YOSHIBA | Comparative Analyses of Expected Shortfall and VaR: their estimation error, decomposition, and optimization /expected shortfall, value at risk, optimization |
2001-07 | 423 KB |
| 2001-E-11 | Naohiko Baba | Optimal Timing in Banks' Write-off Decisions under the Possible Implementation of a Subsidy Scheme: A Real Options Approach /Write-off, Non-Performing Loans, Dynamic Programming, Real Options, Reputation, Forbearance Policy |
2001-07 | 238 KB |
| 2001-E-10 | Hiroshi Fujiki, Shigenori Shiratsuka | Policy Duration Effect under the Zero Interest Rate Policy in 1999-2000: Evidence from Japan's Money Market Data /Zero interest rate policy; Policy duration effect; Liquidity constraint; Forward interest rates. |
2001-06 | 467 KB |
| 2001-E-9 | Hitoshi MIO | Identifying Aggregate Demand and Aggregate Supply Components of Inflation Rate: A Structural VAR Analysis for Japan /Aggregate demand and aggregate supply shocks; Decomposition of inflation rate; Identification of structural VAR |
2001-06 | 252 KB |
| 2001-E-8 | Kotaro TSURU | The choice of lending patterns by Japanese banks during the 1980s and 1990s: The causes and consequences of a real estate lending boom /Real estate lending; Financial liberalization; Land price inflation; Non-performing loans; Soft-budget-constraints; Credit crunch |
2001-06 | 218 KB |
| 2001-E-7 | Kotaro TSURU | Should banks choose collateral or non-collateral lending? : The impact of project's risk, bank's monitoring efficiency and land price inflation /Bank lending; Collateral; Bank monitoring; Land price inflation; Soft-budget-constraints; Credit crunch |
2001-06 | 278 KB |
| 2001-E-6 | John A. Weinberg | The Pricing of Interbank Payment Services in a Changing Competitive Environment /interbank payments, interconnection pricing |
2001-05 | 82 KB |
| 2001-E-5 | Takeshi AMEMIYA | Endogenous Sampling in Duration Models /Duration Models; Endogenous Sampling; Bank Failure; Loan Default; Insolvency; Maximum Likelihood Estimator; Asymptotic Distribution |
2001-03 | 184 KB |
| 2001-E-4 | Yasuhiro YAMAI, Toshinao YOSHIBA | On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall /Value-at-risk, Expected shortfall, Tail risk, Sub-additivity |
2001-03 | 441 KB |
| 2001-E-3 | Technological Innovation and Banking IndustryMonetary Policy -Forum on the Development of Electronic Payment Technologies and Its Implications for Monetary Policy: Report | 2001-02 | 826 KB | |
| 2001-E-2 | Ronald J. Mann | CARD-BASED PAYMENT SYSTEMS IN THE UNITED STATES AND JAPAN /Credit cards, debit cards, internet payments, E-commerce |
2001-02 | 299 KB |
| 2001-E-1 | Shigenori Shiratsuka | Information Content of Implied Probability Distributions: Empirical Studies on Japanese Stock Price Index Options /Information content of option prices, Implied probability distribution, SUR estimation, Autocorrelation, Granger causality. |
2001-01 | 709 KB |