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Details about Fumio Hayashi

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Homepage:https://sites.google.com/site/fumiohayashi/home
Workplace:National Graduate Institute for Policy Studies (GRIPS), (more information at EDIRC)

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Last updated 2023-03-16. Update your information in the RePEc Author Service.

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Working Papers

2016

  1. Affine term structure pricing with bond supply as factors
    FRB Atlanta CQER Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (3)

2014

  1. Exiting from QE
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)

2013

  1. A Regime-Switching SVAR Analysis of Quantitative Easing
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Downloads View citations (8)

2008

  1. Emerging Market Currency Excess Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article Emerging Market Currency Excess Returns, American Economic Journal: Macroeconomics, American Economic Association (2011) Downloads View citations (42) (2011)

2007

  1. The Fundamentals of Commodity Futures Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (61)
    See also Journal Article The Fundamentals of Commodity Futures Returns, Review of Finance, European Finance Association (2013) Downloads View citations (217) (2013)

2006

  1. The Depressing Effect of Agricultural Institutions on the Prewar Japanese Economy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article The Depressing Effect of Agricultural Institutions on the Prewar Japanese Economy, Journal of Political Economy, University of Chicago Press (2008) Downloads View citations (140) (2008)

2005

  1. Can IT be Japan's Savior?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article Can IT be Japan's savior?, Journal of the Japanese and International Economies, Elsevier (2005) Downloads View citations (3) (2005)

2002

  1. Data Appendix to The 1990s in Japan: A Lost Decade
    Online Appendices, Review of Economic Dynamics Downloads View citations (302)
    See also Journal Article The 1990s in Japan: A Lost Decade, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2002) Downloads View citations (492) (2002)

2000

  1. Bekaert-Hodrick93
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  2. Christensen-Greene76
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  3. Griliches76
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  4. Is There a Liquidity Effect in the Japanese Market?
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads
  5. LTaylor96
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  6. Mishkin92
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  7. Nerlove63
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  8. Stock-Watson93
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  9. Summers-Heston91
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  10. The 1990s in Japan: a lost decade
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (4)
    See also Journal Article The 1990s in Japan: A Lost Decade, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2002) Downloads View citations (492) (2002)
    Chapter The 1990s in Japan: a lost decade*, Chapters, Edward Elgar Publishing (2004) Downloads View citations (1) (2004)

1997

  1. The Main Bank System and Corporate Investment: An Empirical Reassessment
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)

1996

  1. The Effects of Income and Wealth on Time and Money Transfers between Parents and Children
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (43)
    Also in IPR working papers, Institute for Policy Resarch at Northwestern University View citations (44)

1995

  1. Is the Japanese Extended Family Altruistically Linked? A Test based on Engel Curves
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (73)
    See also Journal Article Is the Japanese Extended Family Altruistically Linked? A Test Based on Engel Curves, Journal of Political Economy, University of Chicago Press (1995) Downloads View citations (77) (1995)
  2. Parental Altruism and Inter Vivos Transfers: Theory and Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (20)
    Also in Boston University - Institute for Economic Development, Boston University, Institute for Economic Development (1995) View citations (11)
    IPR working papers, Institute for Policy Resarch at Northwestern University View citations (11)

    See also Journal Article Parental Altruism and Inter Vivos Transfers: Theory and Evidence, Journal of Political Economy, University of Chicago Press (1997) Downloads View citations (458) (1997)

1994

  1. A Model of Fiat Money and Barter
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article A Model of Fiat Money and Barter, Journal of Economic Theory, Elsevier (1996) Downloads View citations (13) (1996)

1991

  1. Measuring Depreciation For Japan: Rejoinder to Dekle and Summers
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  2. Risk-Sharing, Altruism, and the Factor Structure of Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1991) Downloads View citations (8)

1990

  1. Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) Downloads View citations (7)

    See also Journal Article Ex-day behavior of japanese stock prices: New insights from new methodology, Journal of the Japanese and International Economies, Elsevier (1990) Downloads View citations (7) (1990)
  2. The Relation Between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article The Relation between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms, Econometrica, Econometric Society (1991) Downloads View citations (256) (1991)

1989

  1. Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    See also Journal Article Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data, American Economic Review, American Economic Association (1992) Downloads View citations (426) (1992)
  2. Japan's Saving Rate: New Data and Reflections
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
  3. Research and Development As An Investment
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (31)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1989) Downloads View citations (29)
    Economics Working Papers, University of California at Berkeley (1989) View citations (32)
  4. The relationship of firm growth and Q with multiple capital goods: theory and evidence from panel data on Japanese firms
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (7)

1987

  1. Housing Finance Imperfections and Private Saving: A Comparative Simulation Analysis of the U.S. and Japan
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)

1985

  1. Taxes and Corporate Investment in Japanese Manufacturing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Chapter Taxes and Corporate Investment in Japanese Manufacturing, NBER Chapters, National Bureau of Economic Research, Inc (1991) Downloads (1991)
  2. Tests for Liquidity Constraints: A Critical Survey
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (63)

1984

  1. The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data, The Quarterly Journal of Economics, President and Fellows of Harvard College (1985) Downloads View citations (118) (1985)

1983

  1. Real and Financial Decisions of a Firm with Bankruptcy and Default: An Integration
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

1982

  1. The Effect of Liquidity Constraints on Consumption: A Cross-Sectional Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (1982) Downloads View citations (7)

    See also Journal Article The Effect of Liquidity Constraints on Consumption: A Cross-Sectional Analysis, The Quarterly Journal of Economics, President and Fellows of Harvard College (1985) Downloads View citations (106) (1985)

1981

  1. Tobin's Marginal q and Average a: A Neoclassical Interpretation
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (5)
    See also Journal Article Tobin's Marginal q and Average q: A Neoclassical Interpretation, Econometrica, Econometric Society (1982) Downloads View citations (952) (1982)

1980

  1. Efficient Estimation of Time Series Models with Predetermined
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (3)
  2. Estimation of Macroeconometric Models Under Rational Expectations: A Survey
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (4)
  3. Intertemporal Optimization and Demand Analysis
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads

1979

  1. The Permanent Income Hypothesis: Estimation and Testing
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (9)

Journal Articles

2019

  1. Exiting from quantitative easing
    Quantitative Economics, 2019, 10, (3), 1069-1107 Downloads View citations (15)
  2. Peril of the Inflation Exit Condition
    The Japanese Economic Review, 2019, 70, (1), 4-27 Downloads

2018

  1. Computing equilibrium bond prices in the Vayanos-Vila model
    Research in Economics, 2018, 72, (2), 181-195 Downloads View citations (3)

2017

  1. The long-run Taylor principle revisited
    Economics Letters, 2017, 161, (C), 24-26 Downloads

2013

  1. The Fundamentals of Commodity Futures Returns
    Review of Finance, 2013, 17, (1), 35-105 Downloads View citations (217)
    See also Working Paper The Fundamentals of Commodity Futures Returns, NBER Working Papers (2007) Downloads View citations (61) (2007)

2012

  1. Corrigendum: Emerging Market Currency Excess Returns
    American Economic Journal: Macroeconomics, 2012, 4, (1), 283-283 Downloads View citations (2)

2011

  1. Commentary: Some Methodological Suggestions
    International Journal of Central Banking, 2011, 7, (1), 217-223 Downloads
  2. Emerging Market Currency Excess Returns
    American Economic Journal: Macroeconomics, 2011, 3, (4), 85-111 Downloads View citations (42)
    See also Working Paper Emerging Market Currency Excess Returns, NBER Working Papers (2008) Downloads View citations (7) (2008)

2008

  1. The Depressing Effect of Agricultural Institutions on the Prewar Japanese Economy
    Journal of Political Economy, 2008, 116, (4), 573-632 Downloads View citations (140)
    See also Working Paper The Depressing Effect of Agricultural Institutions on the Prewar Japanese Economy, NBER Working Papers (2006) Downloads View citations (6) (2006)

2006

  1. Comment on "Crowding out and the rate of return on capital in Japan" by Levon Barseghyan
    Japan and the World Economy, 2006, 18, (3), 298-301 Downloads
  2. INTRODUCTION
    The Japanese Economic Review, 2006, 57, (2), 157-160 Downloads
  3. Introduction to aspects of Japan's prolonged slump special issue
    Japan and the World Economy, 2006, 18, (4), 357-357 Downloads

2005

  1. Can IT be Japan's savior?
    Journal of the Japanese and International Economies, 2005, 19, (4), 543-567 Downloads View citations (3)
    See also Working Paper Can IT be Japan's Savior?, NBER Working Papers (2005) Downloads View citations (3) (2005)

2002

  1. Commentary: Is there a role for discretionary fiscal policy?
    Proceedings - Economic Policy Symposium - Jackson Hole, 2002, 163-172 Downloads View citations (5)
  2. The 1990s in Japan: A Lost Decade
    Review of Economic Dynamics, 2002, 5, (1), 206-235 Downloads View citations (492)
    See also Working Paper The 1990s in Japan: a lost decade, Working Papers (2000) Downloads View citations (4) (2000)
    Working Paper Data Appendix to The 1990s in Japan: A Lost Decade, Online Appendices (2002) Downloads View citations (302) (2002)
    Chapter The 1990s in Japan: a lost decade*, Chapters, 2004 (2004) Downloads View citations (1) (2004)

2001

  1. Identifying a Liquidity Effect in the Japanese Interbank Market
    International Economic Review, 2001, 42, (2), 287-315 View citations (13)

1997

  1. Parental Altruism and Inter Vivos Transfers: Theory and Evidence
    Journal of Political Economy, 1997, 105, (6), 1121-66 Downloads View citations (458)
    See also Working Paper Parental Altruism and Inter Vivos Transfers: Theory and Evidence, NBER Working Papers (1995) Downloads View citations (20) (1995)

1996

  1. A Model of Fiat Money and Barter
    Journal of Economic Theory, 1996, 68, (1), 111-132 Downloads View citations (13)
    See also Working Paper A Model of Fiat Money and Barter, NBER Working Papers (1994) Downloads View citations (7) (1994)
  2. ANALYSIS OF HOUSEHOLD SAVING: PAST, PRESENT, AND FURTURE
    The Japanese Economic Review, 1996, 47, (1), 21-33 Downloads View citations (8)
  3. Risk-Sharing between and within Families
    Econometrica, 1996, 64, (2), 261-94 Downloads View citations (233)

1995

  1. Is the Japanese Extended Family Altruistically Linked? A Test Based on Engel Curves
    Journal of Political Economy, 1995, 103, (3), 661-74 Downloads View citations (77)
    See also Working Paper Is the Japanese Extended Family Altruistically Linked? A Test based on Engel Curves, NBER Working Papers (1995) Downloads View citations (73) (1995)

1992

  1. Explaining Japan's Saving: A Review of Recent Literature
    Monetary and Economic Studies, 1992, 10, (2), 63-78 Downloads View citations (2)
  2. Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data
    American Economic Review, 1992, 82, (5), 1177-98 Downloads View citations (426)
    See also Working Paper Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data, NBER Working Papers (1989) Downloads View citations (32) (1989)
  3. On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Comment
    Journal of Business & Economic Statistics, 1992, 10, (1), 15-17 View citations (3)

1991

  1. Rejoinder to Dekle and Summers
    Monetary and Economic Studies, 1991, 9, (2), 79-89 Downloads View citations (3)
  2. The Relation between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms
    Econometrica, 1991, 59, (3), 731-53 Downloads View citations (256)
    See also Working Paper The Relation Between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms, NBER Working Papers (1990) Downloads View citations (7) (1990)

1990

  1. Ex-day behavior of japanese stock prices: New insights from new methodology
    Journal of the Japanese and International Economies, 1990, 4, (4), 401-427 Downloads View citations (7)
    See also Working Paper Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology, NBER Working Papers (1990) Downloads View citations (9) (1990)

1989

  1. Is Japan's saving rate high?
    Quarterly Review, 1989, 13, (Spr), 3-9 Downloads View citations (27)

1988

  1. Housing finance imperfections, taxation, and private saving: A comparative simulation analysis of the United States and Japan
    Journal of the Japanese and International Economies, 1988, 2, (3), 215-238 Downloads View citations (60)
  2. Life cycle and bequest savings A study of Japanese and U.S. households based on data from the 1984 NSFIE and the 1983 survey of consumer finances
    Journal of the Japanese and International Economies, 1988, 2, (4), 450-491 Downloads View citations (40)

1985

  1. Corporate finance side of the Q theory of investment
    Journal of Public Economics, 1985, 27, (3), 261-280 Downloads View citations (34)
  2. The Effect of Liquidity Constraints on Consumption: A Cross-Sectional Analysis
    The Quarterly Journal of Economics, 1985, 100, (1), 183-206 Downloads View citations (106)
    See also Working Paper The Effect of Liquidity Constraints on Consumption: A Cross-Sectional Analysis, NBER Working Papers (1982) Downloads View citations (5) (1982)
  3. The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data
    The Quarterly Journal of Economics, 1985, 100, (4), 1083-1113 Downloads View citations (118)
    See also Working Paper The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data, NBER Working Papers (1984) Downloads (1984)

1983

  1. Nearly Efficient Estimation of Time Series Models with Predetermined, but Not Exogenous, Instruments
    Econometrica, 1983, 51, (3), 783-98 Downloads View citations (88)

1982

  1. The Permanent Income Hypothesis: Estimation and Testing by Instrumental Variables
    Journal of Political Economy, 1982, 90, (5), 895-916 Downloads View citations (147)
  2. Tobin's Marginal q and Average q: A Neoclassical Interpretation
    Econometrica, 1982, 50, (1), 213-24 Downloads View citations (952)
    See also Working Paper Tobin's Marginal q and Average a: A Neoclassical Interpretation, Discussion Papers (1981) Downloads View citations (5) (1981)

1979

  1. A new estimation procedure under rational expectations
    Economics Letters, 1979, 4, (1), 41-43 Downloads

Books

2003

  1. Structural Impediments to Growth in Japan
    NBER Books, National Bureau of Economic Research, Inc View citations (85)

Edited books

2003

  1. Structural Impediments to Growth in Japan
    National Bureau of Economic Research Books, University of Chicago Press View citations (21)

Chapters

2006

  1. The Over-Investment Hypothesis
    Chapter 10 in Long-run Growth and Short-run Stabilization, 2006 Downloads

2004

  1. The 1990s in Japan: a lost decade*
    Chapter 2 in The Economics of an Ageing Population, 2004 Downloads View citations (1)
    See also Journal Article The 1990s in Japan: A Lost Decade, Elsevier for the Society for Economic Dynamics (2002) Downloads View citations (492) (2002)
    Working Paper The 1990s in Japan: a lost decade, Federal Reserve Bank of Minneapolis (2000) Downloads View citations (4) (2000)

2003

  1. Introduction to "Structural Impediments to Growth in Japan"
    A chapter in Structural Impediments to Growth in Japan, 2003, pp 1-8 Downloads View citations (2)

1991

  1. Taxes and Corporate Investment in Japanese Manufacturing
    A chapter in Productivity Growth in Japan and the United States, 1991, pp 295-316 Downloads
    See also Working Paper Taxes and Corporate Investment in Japanese Manufacturing, National Bureau of Economic Research, Inc (1985) Downloads View citations (1) (1985)

1986

  1. Why Is Japan's Saving Rate So Apparently High?
    A chapter in NBER Macroeconomics Annual 1986, Volume 1, 1986, pp 147-234 Downloads View citations (105)
 
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