Details about Jouchi Nakajima

Access statistics for papers by Jouchi Nakajima.

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

Short-id: pna189

Working Papers

2022

1. An evolution of global and regional banking networks: A focus on Japanese banks’ international expansion
   Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University

2021

2. Extracting Firms' Short-Term Inflation Expectations from the Economy Watchers Survey Using Text Analysis
   Bank of Japan Working Paper Series, Bank of Japan View citations (2)
3. Supplementary Paper Series for the "Assessment" (2): Estimating Effects of Expansionary Monetary Policy since the Introduction of Quantitative and Qualitative Monetary Easing (QQE) Using the Macroeconomic Model (Q-JEM)
   Bank of Japan Working Paper Series, Bank of Japan View citations (5)
4. Supplementary Paper Series for the "Assessment" (3): Inflation-Overshooting Commitment:An Analysis Using a Macroeconomic Model
   Bank of Japan Working Paper Series, Bank of Japan
5. Taylor Rule Yield Curve
   Working Papers, Tokyo Center for Economic Research
6. Using Text Analysis to Gauge the Reasons for Respondents' Assessment in the Economy Watchers Survey
   Bank of Japan Research Laboratory Series, Bank of Japan

2020

7. Characteristics of Uncertainty Indices in the Macroeconomy
   Bank of Japan Working Paper Series, Bank of Japan View citations (2)

2019

8. Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
   Working Paper, Norges Bank
   Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2019) View citations (13)
   See also Journal Article Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting, Journal of the American Statistical Association, Taylor & Francis Journals (2020) View citations (19) (2020)
9. Steady-state growth
   BIS Working Papers, Bank for International Settlements
   See also Journal Article Steady‐state growth, International Finance, Wiley Blackwell (2021) (2021)

2018

10. Effectiveness of unconventional monetary policies in a low interest rate environment
    BIS Working Papers, Bank for International Settlements View citations (16)
11. Identifying oil price shocks and their consequences: the role of expectations in the crude oil market
    BIS Working Papers, Bank for International Settlements View citations (13)
    See also Journal Article Identifying oil price shocks and their consequences: The role of expectations in the crude oil market, International Finance, Wiley Blackwell (2021) View citations (9) (2021)
12. The Role of Corporate Governance in Japanese Unlisted Companies
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (8)
    See also Journal Article The role of corporate governance in Japanese unlisted companies, Japan and the World Economy, Elsevier (2018) View citations (8) (2018)
13. The role of household debt heterogeneity on consumption: Evidence from Japanese household data
    BIS Working Papers, Bank for International Settlements View citations (3)
    See also Journal Article The role of household debt heterogeneity on consumption: Evidence from Japanese household data, Economic Analysis and Policy, Elsevier (2020) View citations (8) (2020)

2016

14. Identifying Oil Price Shocks and Their Consequences:Role of Expectations and Financial Factors in the Crude Oil Market
    Bank of Japan Working Paper Series, Bank of Japan View citations (3)
15. Slow Trade: Structural and Cyclical Factors in Global Trade Slowdown
    Bank of Japan Research Papers, Bank of Japan View citations (5)

2015

16. Are Household Inflation Expectations Anchored in Japan?
    Bank of Japan Working Paper Series, Bank of Japan View citations (21)
17. Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
    Also in CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2015)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2015) View citations (1)
    See also Journal Article Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes, Journal of Applied Statistics, Taylor & Francis Journals (2017) View citations (4) (2017)
18. Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model
    Bank of Japan Working Paper Series, Bank of Japan View citations (19)
19. Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model
    Bank of Japan Working Paper Series, Bank of Japan View citations (21)
20. Household Inflation Expectations: The Term Structure and the Anchor Effects of Monetary Policy
    Bank of Japan Research Laboratory Series, Bank of Japan
21. The natural yield curve: its concept and developments in Japan
    Bank of Japan Research Laboratory Series, Bank of Japan View citations (3)
22. The natural yield curve: its concept and measurement
    Bank of Japan Working Paper Series, Bank of Japan View citations (8)
    See also Journal Article The natural yield curve: its concept and measurement, Empirical Economics, Springer (2018) View citations (10) (2018)
23. What do negative inflation risk premia tell us?
    Bank of Japan Research Laboratory Series, Bank of Japan

2014

24. Disagreement in households' inflation expectations and its evolution
    Bank of Japan Review Series, Bank of Japan View citations (13)

2013

25. Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach
    Bank of Japan Working Paper Series, Bank of Japan View citations (10)
    See also Journal Article Identifying conventional and unconventional monetary policy shocks: a latent threshold approach, The B.E. Journal of Macroeconomics, De Gruyter (2016) View citations (33) (2016)
26. On the Reliability of Japanese Inflation Expectations Using Purchasing Power Parity
    Bank of Japan Working Paper Series, Bank of Japan View citations (3)
    See also Journal Article On the reliability of Japanese inflation expectations using purchasing power parity, Economic Analysis and Policy, Elsevier (2014) View citations (5) (2014)

2012

27. Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
    See also Journal Article Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-, Economic Review, Hitotsubashi University (2012) View citations (1) (2012)

2011

28. Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (85)
29. Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (5)
    Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2009) View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (2)
    See also Journal Article Generalized extreme value distribution with time-dependence using the AR and MA models in state space form, Computational Statistics & Data Analysis, Elsevier (2012) View citations (7) (2012)
30. Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (36)
    See also Journal Article Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach, The B.E. Journal of Macroeconomics, De Gruyter (2011) View citations (39) (2011)
31. Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (289)
    See also Journal Article Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications, Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan (2011) View citations (300) (2011)

2010

32. "GH skew Student's t-distribution in stochastic volatility model with application to stock returns" (in Japanese)
    CIRJE J-Series, CIRJE, Faculty of Economics, University of Tokyo
33. How Well Do the Sticky Price Models Explain the Disaggregated Price Responses to Aggregate Technology and Monetary Policy Shocks?
    Discussion papers, Graduate School of Economics Project Center, Kyoto University View citations (5)
    Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2010) View citations (5)
34. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
35. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo View citations (1)
    Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (3)
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2010) View citations (2)
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009)
    See also Journal Article Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution, Computational Statistics & Data Analysis, Elsevier (2012) View citations (49) (2012)
36. The Effects of Monetary Policy Commitment: Evidence from Time- varying Parameter VAR Analysis
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (18)

2009

37. Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (16)
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2009) View citations (18)
    See also Journal Article Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy, Journal of the Japanese and International Economies, Elsevier (2011) View citations (145) (2011)
38. The Evolution of Loan Rate Stickiness Across the Euro Area
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (3)

2008

39. EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan

2007

40. Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
41. Leverage, heavy-tails and correlated jumps in stochastic volatility models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (2)
    See also Journal Article Leverage, heavy-tails and correlated jumps in stochastic volatility models, Computational Statistics & Data Analysis, Elsevier (2009) View citations (50) (2009)

2005

42. Bank Health and Investment: An Analysis of Unlisted Companies in Japan
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (14)
    Also in Bank of Japan Working Paper Series, Bank of Japan (2005) View citations (14)
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2005) View citations (14)
43. Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies Undergoing Financial Distress
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (6)
44. Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies Undergoing Financial Distress (Subsequently published in "Journal of the Asia Pacific Economy" Vo.11, No.4, December 2006, pp.482-501. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

2004

45. Stochastic Volatility with Leverage: Fast Likelihood Inference
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (4)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2004) View citations (3)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (7)
46. Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )
    CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Journal Articles

2021

1. Identifying oil price shocks and their consequences: The role of expectations in the crude oil market
   International Finance, 2021, 24, (1), 53-76 View citations (9)
   See also Working Paper Identifying oil price shocks and their consequences: the role of expectations in the crude oil market, BIS Working Papers (2018) View citations (13) (2018)
2. Steady‐state growth
   International Finance, 2021, 24, (1), 40-52
   See also Working Paper Steady-state growth, BIS Working Papers (2019) (2019)

2020

3. Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions”
   Annals of the Institute of Statistical Mathematics, 2020, 72, (1), 33-36
4. Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
   Journal of the American Statistical Association, 2020, 115, (531), 1092-1110 View citations (19)
   See also Working Paper Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting, Working Paper (2019) (2019)
5. Skew selection for factor stochastic volatility models
   Journal of Applied Statistics, 2020, 47, (4), 582-601 View citations (2)
6. The role of household debt heterogeneity on consumption: Evidence from Japanese household data
   Economic Analysis and Policy, 2020, 65, (C), 186-197 View citations (8)
   See also Working Paper The role of household debt heterogeneity on consumption: Evidence from Japanese household data, BIS Working Papers (2018) View citations (3) (2018)

2018

7. Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model
   Economic Analysis and Policy, 2018, 59, (C), 69-83 View citations (9)
8. The natural yield curve: its concept and measurement
   Empirical Economics, 2018, 55, (2), 551-572 View citations (10)
   See also Working Paper The natural yield curve: its concept and measurement, Bank of Japan Working Paper Series (2015) View citations (8) (2015)
9. The role of corporate governance in Japanese unlisted companies
   Japan and the World Economy, 2018, 47, (C), 27-39 View citations (8)
   See also Working Paper The Role of Corporate Governance in Japanese Unlisted Companies, CIRJE F-Series (2018) View citations (8) (2018)

2017

10. Bayesian analysis of multivariate stochastic volatility with skew return distribution
    Econometric Reviews, 2017, 36, (5), 546-562 View citations (9)
11. Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
    Journal of Applied Statistics, 2017, 44, (7), 1248-1268 View citations (4)
    See also Working Paper Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes, CIRJE F-Series (2015) (2015)
12. Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model
    Economic Review, 2017, 68, (3), 237-249 View citations (1)

2016

13. Identifying conventional and unconventional monetary policy shocks: a latent threshold approach
    The B.E. Journal of Macroeconomics, 2016, 16, (1), 277-300 View citations (33)
    See also Working Paper Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach, Bank of Japan Working Paper Series (2013) View citations (10) (2013)

2014

14. Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
    International Journal of Forecasting, 2014, 30, (4), 963-980 View citations (35)
15. On the reliability of Japanese inflation expectations using purchasing power parity
    Economic Analysis and Policy, 2014, 44, (3), 259-265 View citations (5)
    See also Working Paper On the Reliability of Japanese Inflation Expectations Using Purchasing Power Parity, Bank of Japan Working Paper Series (2013) View citations (3) (2013)

2013

16. Bayesian Analysis of Latent Threshold Dynamic Models
    Journal of Business & Economic Statistics, 2013, 31, (2), 151-164 View citations (71)
17. Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (5), 499-520 View citations (15)

2012

18. BAYESIAN ANALYSIS OF GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY AND STOCHASTIC VOLATILITY: MODELING LEVERAGE, JUMPS AND HEAVY‐TAILS FOR FINANCIAL TIME SERIES
    The Japanese Economic Review, 2012, 63, (1), 81-103 View citations (16)
19. Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach
    Journal of Financial Econometrics, 2012, 11, (1), 116-153 View citations (3)
20. Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
    Computational Statistics & Data Analysis, 2012, 56, (11), 3241-3259 View citations (7)
    See also Working Paper Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form, CIRJE F-Series (2011) View citations (5) (2011)
21. Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution
    Computational Statistics & Data Analysis, 2012, 56, (11), 3690-3704 View citations (49)
    See also Working Paper Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution, CARF F-Series (2010) View citations (1) (2010)
22. Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-
    Economic Review, 2012, 63, (3), 193-208 View citations (1)
    See also Working Paper Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -, Global COE Hi-Stat Discussion Paper Series (2012) (2012)

2011

23. Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
    Journal of the Japanese and International Economies, 2011, 25, (3), 225-245 View citations (145)
    See also Working Paper Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy, IMES Discussion Paper Series (2009) View citations (16) (2009)
24. Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach
    The B.E. Journal of Macroeconomics, 2011, 11, (1), 24 View citations (39)
    See also Working Paper Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach, IMES Discussion Paper Series (2011) View citations (36) (2011)
25. Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
    Monetary and Economic Studies, 2011, 29, 107-142 View citations (300)
    See also Working Paper Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications, IMES Discussion Paper Series (2011) View citations (289) (2011)

2009

26. Leverage, heavy-tails and correlated jumps in stochastic volatility models
    Computational Statistics & Data Analysis, 2009, 53, (6), 2335-2353 View citations (50)
    See also Working Paper Leverage, heavy-tails and correlated jumps in stochastic volatility models, CIRJE F-Series (2007) View citations (2) (2007)

2007

27. Stochastic volatility with leverage: Fast and efficient likelihood inference
    Journal of Econometrics, 2007, 140, (2), 425-449 View citations (295)

2006

28. Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies under Financial Distress
    Journal of the Asia Pacific Economy, 2006, 11, (4), 482-501 View citations (20)