Details about Fumio Hayashi

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

Access statistics for papers by Fumio Hayashi.

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

Short-id: pha83

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Jump to Journal Articles Books Edited books Chapters

Working Papers

2016

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

2014

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

2013

3. A Regime-Switching SVAR Analysis of Quantitative Easing
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (9)

2008

4. Emerging Market Currency Excess Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   See also Journal Article Emerging Market Currency Excess Returns, American Economic Journal: Macroeconomics, American Economic Association (2011) View citations (45) (2011)

2007

5. The Fundamentals of Commodity Futures Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (61)
   See also Journal Article The Fundamentals of Commodity Futures Returns, Review of Finance, European Finance Association (2013) View citations (247) (2013)

2006

6. The Depressing Effect of Agricultural Institutions on the Prewar Japanese Economy
   NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (147) (2008)

2005

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

2002

8. Data Appendix to The 1990s in Japan: A Lost Decade
   Online Appendices, Review of Economic Dynamics View citations (314)
   See also Journal Article The 1990s in Japan: A Lost Decade, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2002) View citations (504) (2002)

2000

9. Bekaert-Hodrick93
   Instructional Stata datasets for econometrics, Boston College Department of Economics
10. Christensen-Greene76
    Instructional Stata datasets for econometrics, Boston College Department of Economics
11. Griliches76
    Instructional Stata datasets for econometrics, Boston College Department of Economics
12. Is There a Liquidity Effect in the Japanese Market?
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research
13. LTaylor96
    Instructional Stata datasets for econometrics, Boston College Department of Economics
14. Mishkin92
    Instructional Stata datasets for econometrics, Boston College Department of Economics
15. Nerlove63
    Instructional Stata datasets for econometrics, Boston College Department of Economics
16. Stock-Watson93
    Instructional Stata datasets for econometrics, Boston College Department of Economics
17. Summers-Heston91
    Instructional Stata datasets for econometrics, Boston College Department of Economics
18. The 1990s in Japan: a lost decade
    Working Papers, Federal Reserve Bank of Minneapolis 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) View citations (504) (2002)
    Chapter The 1990s in Japan: a lost decade*, Chapters, Edward Elgar Publishing (2004) View citations (1) (2004)

1997

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

1996

20. The Effects of Income and Wealth on Time and Money Transfers between Parents and Children
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (43)
    Also in IPR working papers, Institute for Policy Resarch at Northwestern University View citations (45)

1995

21. Is the Japanese Extended Family Altruistically Linked? A Test based on Engel Curves
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (75)
    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) View citations (79) (1995)
22. Parental Altruism and Inter Vivos Transfers: Theory and Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    Also in IPR working papers, Institute for Policy Resarch at Northwestern University View citations (13)
    Boston University - Institute for Economic Development, Boston University, Institute for Economic Development (1995) 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) View citations (474) (1997)

1994

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

1991

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

1990

26. Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) 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) View citations (7) (1990)
27. 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 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) View citations (262) (1991)

1989

28. Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (33)
    See also Journal Article Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data, American Economic Review, American Economic Association (1992) View citations (437) (1992)
29. Japan's Saving Rate: New Data and Reflections
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
30. Research and Development As An Investment
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (1989) View citations (29)
    Economics Working Papers, University of California at Berkeley (1989) View citations (32)
31. 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 View citations (7)

1987

32. 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 View citations (8)

1985

33. Taxes and Corporate Investment in Japanese Manufacturing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Chapter Taxes and Corporate Investment in Japanese Manufacturing, NBER Chapters, National Bureau of Economic Research, Inc (1991) (1991)
34. Tests for Liquidity Constraints: A Critical Survey
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (64)

1984

35. The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data
    NBER Working Papers, National Bureau of Economic Research, Inc
    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) View citations (119) (1985)

1983

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

1982

37. The Effect of Liquidity Constraints on Consumption: A Cross-Sectional Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (1982) 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) View citations (111) (1985)

1981

38. Tobin's Marginal q and Average a: A Neoclassical Interpretation
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (5)
    See also Journal Article Tobin's Marginal q and Average q: A Neoclassical Interpretation, Econometrica, Econometric Society (1982) View citations (986) (1982)

1980

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

1979

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

Journal Articles

2019

1. Exiting from quantitative easing
   Quantitative Economics, 2019, 10, (3), 1069-1107 View citations (21)
2. Peril of the Inflation Exit Condition
   The Japanese Economic Review, 2019, 70, (1), 4-27

2018

3. Computing equilibrium bond prices in the Vayanos-Vila model
   Research in Economics, 2018, 72, (2), 181-195 View citations (4)

2017

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

2013

5. The Fundamentals of Commodity Futures Returns
   Review of Finance, 2013, 17, (1), 35-105 View citations (247)
   See also Working Paper The Fundamentals of Commodity Futures Returns, NBER Working Papers (2007) View citations (61) (2007)

2012

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

2011

7. Commentary: Some Methodological Suggestions
   International Journal of Central Banking, 2011, 7, (1), 217-223
8. Emerging Market Currency Excess Returns
   American Economic Journal: Macroeconomics, 2011, 3, (4), 85-111 View citations (45)
   See also Working Paper Emerging Market Currency Excess Returns, NBER Working Papers (2008) View citations (7) (2008)

2008

9. The Depressing Effect of Agricultural Institutions on the Prewar Japanese Economy
   Journal of Political Economy, 2008, 116, (4), 573-632 View citations (147)
   See also Working Paper The Depressing Effect of Agricultural Institutions on the Prewar Japanese Economy, NBER Working Papers (2006) View citations (6) (2006)

2006

10. 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
11. INTRODUCTION
    The Japanese Economic Review, 2006, 57, (2), 157-160
12. Introduction to aspects of Japan's prolonged slump special issue
    Japan and the World Economy, 2006, 18, (4), 357-357

2005

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

2002

14. Commentary: Is there a role for discretionary fiscal policy?
    Proceedings - Economic Policy Symposium - Jackson Hole, 2002, 163-172 View citations (5)
15. The 1990s in Japan: A Lost Decade
    Review of Economic Dynamics, 2002, 5, (1), 206-235 View citations (504)
    See also Chapter The 1990s in Japan: a lost decade*, Chapters, 2004 (2004) View citations (1) (2004)
    Working Paper The 1990s in Japan: a lost decade, Working Papers (2000) View citations (4) (2000)
    Working Paper Data Appendix to The 1990s in Japan: A Lost Decade, Online Appendices (2002) View citations (314) (2002)

2001

16. Identifying a Liquidity Effect in the Japanese Interbank Market
    International Economic Review, 2001, 42, (2), 287-315 View citations (12)

1997

17. Parental Altruism and Inter Vivos Transfers: Theory and Evidence
    Journal of Political Economy, 1997, 105, (6), 1121-66 View citations (474)
    See also Working Paper Parental Altruism and Inter Vivos Transfers: Theory and Evidence, NBER Working Papers (1995) View citations (20) (1995)

1996

18. A Model of Fiat Money and Barter
    Journal of Economic Theory, 1996, 68, (1), 111-132 View citations (13)
    See also Working Paper A Model of Fiat Money and Barter, NBER Working Papers (1994) View citations (7) (1994)
19. ANALYSIS OF HOUSEHOLD SAVING: PAST, PRESENT, AND FURTURE
    The Japanese Economic Review, 1996, 47, (1), 21-33 View citations (11)
20. Risk-Sharing between and within Families
    Econometrica, 1996, 64, (2), 261-94 View citations (239)

1995

21. Is the Japanese Extended Family Altruistically Linked? A Test Based on Engel Curves
    Journal of Political Economy, 1995, 103, (3), 661-74 View citations (79)
    See also Working Paper Is the Japanese Extended Family Altruistically Linked? A Test based on Engel Curves, NBER Working Papers (1995) View citations (75) (1995)

1992

22. Explaining Japan's Saving: A Review of Recent Literature
    Monetary and Economic Studies, 1992, 10, (2), 63-78 View citations (2)
23. Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data
    American Economic Review, 1992, 82, (5), 1177-98 View citations (437)
    See also Working Paper Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data, NBER Working Papers (1989) View citations (33) (1989)
24. 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

25. Rejoinder to Dekle and Summers
    Monetary and Economic Studies, 1991, 9, (2), 79-89 View citations (3)
26. 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 View citations (262)
    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) View citations (7) (1990)

1990

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

1989

28. Is Japan's saving rate high?
    Quarterly Review, 1989, 13, (Spr), 3-9 View citations (28)

1988

29. 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 View citations (63)
30. 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 View citations (40)

1985

31. Corporate finance side of the Q theory of investment
    Journal of Public Economics, 1985, 27, (3), 261-280 View citations (35)
32. The Effect of Liquidity Constraints on Consumption: A Cross-Sectional Analysis
    The Quarterly Journal of Economics, 1985, 100, (1), 183-206 View citations (111)
    See also Working Paper The Effect of Liquidity Constraints on Consumption: A Cross-Sectional Analysis, NBER Working Papers (1982) View citations (5) (1982)
33. The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data
    The Quarterly Journal of Economics, 1985, 100, (4), 1083-1113 View citations (119)
    See also Working Paper The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data, NBER Working Papers (1984) (1984)

1983

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

1982

35. The Permanent Income Hypothesis: Estimation and Testing by Instrumental Variables
    Journal of Political Economy, 1982, 90, (5), 895-916 View citations (147)
36. Tobin's Marginal q and Average q: A Neoclassical Interpretation
    Econometrica, 1982, 50, (1), 213-24 View citations (986)
    See also Working Paper Tobin's Marginal q and Average a: A Neoclassical Interpretation, Discussion Papers (1981) View citations (5) (1981)

1979

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

Books

2003

1. Structural Impediments to Growth in Japan
   NBER Books, National Bureau of Economic Research, Inc View citations (86)

Edited books

2003

1. Structural Impediments to Growth in Japan
   National Bureau of Economic Research Books, University of Chicago Press View citations (22)

Chapters

2006

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

2004

2. The 1990s in Japan: a lost decade*
   Chapter 2 in The Economics of an Ageing Population, 2004 View citations (1)
   See also Working Paper The 1990s in Japan: a lost decade, Federal Reserve Bank of Minneapolis (2000) View citations (4) (2000)
   Journal Article The 1990s in Japan: A Lost Decade, Elsevier for the Society for Economic Dynamics (2002) View citations (504) (2002)

2003

3. Introduction to "Structural Impediments to Growth in Japan"
   A chapter in Structural Impediments to Growth in Japan, 2003, pp 1-8 View citations (3)

1991

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

1986

5. Why Is Japan's Saving Rate So Apparently High?
   A chapter in NBER Macroeconomics Annual 1986, Volume 1, 1986, pp 147-234 View citations (106)