Details about Jun Nagayasu
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Short-id: pna93
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Working Papers
2024
- AI and Financial Systemic Risk in the Global Market
TUPD Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Credit Constraints, Corporate Transparency, and Export
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Does Supply Chain Transparency Help Identify and Prevent Corporate Greenwashing?
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Measuring Climate Policy Uncertainty with LLMs: New Insights into Corporate Bond Credit Spreads
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
2023
- A Dynamic Analysis of Chinese Yuan (RMB) Internationalization with Bayesian-Based Time Series Model
TUPD Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Agglomeration and Selection Effects in Privatized-SOEs: The Role of SOE Reforms
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Financial Systemic Risk behind Artificial Intelligence:Evidence from China
TUPD Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Regional Policies’ Impacts on Urban Migration:Evidence from Special Economic Zones in China
TUPD Discussion Papers, Graduate School of Economics and Management, Tohoku University
2022
- Privatization's Influence on Agglomeration and Selection Effects: Evidence from China's Manufacturing Industry
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
- The Non-monotonic Relationship Between ESG Disclosure and Stock Price Crash Risk
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
2021
- Causal and Frequency Analyses of Purchasing Power Parity
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University View citations (5)
See also Journal Article Causal and frequency analyses of purchasing power parity, Journal of International Financial Markets, Institutions and Money, Elsevier (2021) View citations (5) (2021)
- Cyclical Reaction of Fiscal Policy and its Relationship with the Current Account Balance
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Is Corporate Environmental Responsibility More Valuable in the Shaky Period? The Moderating Effect of Ownership Type
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
2020
- Economic Activities and Regional Correlation During Economic and Natural Disasters
MPRA Paper, University Library of Munich, Germany 
Also in DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University (2020)
- International and Interprefectural Migration in Japan: Implications for the Spatial Assimilation Theory
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
2019
- Is Inflation Fiscally Determined?
MPRA Paper, University Library of Munich, Germany 
See also Journal Article Is Inflation Fiscally Determined?, Sustainability, MDPI (2021) (2021)
- Spatial Dependence, Social Networks, and Economic Structures in Regional Labor Migration
MPRA Paper, University Library of Munich, Germany View citations (2)
2018
- Condominium Prices and Inflation: The Role of Financial Inflows and Transaction Volumes in Japan
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Financial Flows, Global Interest Rates, and Political Integration
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University 
See also Journal Article Financial flows, global interest rates, and political integration, Finance Research Letters, Elsevier (2019) View citations (1) (2019)
- Homeownership and Residential Mobility during the "Lost Decades"
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Intra-temporal Substitution between Tradable and Nontradable Goods: Evidence from the Japanese Cross-sectional Survey Data
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Productivity Spillovers in the Global Market
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
- Spatial Dependence and Social Networks in Regional Labor Migration
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University
2016
- Commonality and Heterogeneity in Real Effective Exchange Rates: Evidence from Advanced and Developing Countries
MPRA Paper, University Library of Munich, Germany
- Inflation and Bubbles in the Japanese Condominium Market
MPRA Paper, University Library of Munich, Germany View citations (1)
2015
- Global and country-specific factors in real effective exchange rates
MPRA Paper, University Library of Munich, Germany
- Regional Inflation and Consumption Behaviors
MPRA Paper, University Library of Munich, Germany
2014
- Regional inflation, spatial location and the Balassa-Samuelson effect
MPRA Paper, University Library of Munich, Germany View citations (2)
2013
- An Investigation of Housing Affordability in the UK Regions
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) View citations (1)
- Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013)
- Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013)
- Interdependence in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model
MPRA Paper, University Library of Munich, Germany
- The Forward Premium Puzzle And The Euro
MPRA Paper, University Library of Munich, Germany 
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013)  SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2013) 
See also Journal Article The forward premium puzzle and the Euro, Journal of International Financial Markets, Institutions and Money, Elsevier (2014) View citations (2) (2014)
- UK House Prices: Convergence Clubs and Spillovers
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2013) View citations (1)
See also Journal Article UK house price convergence clubs and spillovers, Journal of Housing Economics, Elsevier (2015) View citations (37) (2015)
2012
- Long-Run Implications of the Covered Interest Rate Parity Condition: Evidence during the Recent Crisis and Non-Crisis Periods
MPRA Paper, University Library of Munich, Germany
- Regional inflation and industrial structure in monetary union
MPRA Paper, University Library of Munich, Germany View citations (4)
- The Forward Premium Puzzle And Risk Premiums
MPRA Paper, University Library of Munich, Germany
- The threshold consumption correlation-based approach to international capital mobility: evidence from advanced and developing countries
MPRA Paper, University Library of Munich, Germany View citations (1)
See also Journal Article The threshold consumption correlation-based approach to international capital mobility: Evidence from advanced and developing countries, Structural Change and Economic Dynamics, Elsevier (2012) View citations (1) (2012)
2011
- Common factors of the exchange risk premium in emerging European markets
MPRA Paper, University Library of Munich, Germany View citations (2)
See also Journal Article COMMON FACTORS OF THE EXCHANGE RISK PREMIUM IN EMERGING EUROPEAN MARKETS, Bulletin of Economic Research, Wiley Blackwell (2012) View citations (6) (2012)
- Financial Innovation and Regional Money
MPRA Paper, University Library of Munich, Germany View citations (2)
See also Journal Article Financial innovation and regional money, Applied Economics, Taylor & Francis Journals (2012) View citations (9) (2012)
- Regional deposits and demographic changes
MPRA Paper, University Library of Munich, Germany 
See also Journal Article Regional deposits and demographic changes, Applied Economics Letters, Taylor & Francis Journals (2012) (2012)
- The threshold nonstationary panel data approach to forward premiums
MPRA Paper, University Library of Munich, Germany
2010
- Domestic Capital Mobility: A Panel Data Approach
MPRA Paper, University Library of Munich, Germany View citations (2)
- Economic Factors Contributing to Time-Varying Conditional Correlations in Stock Returns
MPRA Paper, University Library of Munich, Germany
- Macroeconomic Interdependence in East Asia
MPRA Paper, University Library of Munich, Germany 
See also Journal Article Macroeconomic interdependence in East Asia, Japan and the World Economy, Elsevier (2010) (2010)
- Regional Inflation (Price) Behaviors: Heterogeneity and Convergence
MPRA Paper, University Library of Munich, Germany View citations (2)
- The Common Component in the Forward Premium: Evidence from the Asia-Pacific Region
MPRA Paper, University Library of Munich, Germany View citations (2)
See also Journal Article The Common Component in Forward Premiums: Evidence from the Asia–Pacific Region, Review of International Economics, Wiley Blackwell (2011) View citations (5) (2011)
2009
- Regional Inflation in China
MPRA Paper, University Library of Munich, Germany View citations (4)
2008
- Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
Also in Working Papers, Business School - Economics, University of Glasgow (2008) View citations (2)
- Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship
Working Papers, Business School - Economics, University of Glasgow View citations (1)
Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) View citations (1)
See also Journal Article Structural breaks in the real exchange rate and real interest rate relationship, Global Finance Journal, Elsevier (2010) View citations (8) (2010)
2003
- The Efficiency of the Japanese Equity Market
IMF Working Papers, International Monetary Fund View citations (15)
- The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period
IMF Working Papers, International Monetary Fund View citations (3)
See also Journal Article The Term Structure of Interest Rates and Monetary Policy during a Zero Interest Rate Period, Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan (2004) View citations (6) (2004)
2000
- Currency Crisis and Contagion: Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand
IMF Working Papers, International Monetary Fund View citations (8)
See also Journal Article Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand, Journal of Asian Economics, Elsevier (2001) View citations (29) (2001)
1999
- Determinants of Angola’s Parallel Market Real Exchange Rate
IMF Working Papers, International Monetary Fund View citations (6)
- The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study
IMF Working Papers, International Monetary Fund View citations (28)
See also Journal Article The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study, IMF Staff Papers, Palgrave Macmillan (2000) View citations (84) (2000)
1998
- Does the Long-Run Ppp Hypothesis Hold for Africa? Evidence From Panel Co-Integration Study
IMF Working Papers, International Monetary Fund View citations (29)
See also Journal Article Does the Long-Run PPP Hypothesis Hold for Africa? Evidence from a Panel Cointegration Study, Bulletin of Economic Research, Wiley Blackwell (2002) View citations (28) (2002)
- Japanese Effective Exchange Rates and Determinants: Prices, Real Interest Rates, and Actual and Optimal Current Accounts
IMF Working Papers, International Monetary Fund View citations (4)
Journal Articles
2023
- Is corporate environmental responsibility more valuable in the transitory period? The moderating effect of ownership type
Finance Research Letters, 2023, 53, (C) View citations (1)
2022
- Spatial Dependence, Social Networks, and Economic Structures in Japanese Regional Labor Migration
Sustainability, 2022, 14, (3), 1-31 View citations (2)
2021
- Causal and frequency analyses of purchasing power parity
Journal of International Financial Markets, Institutions and Money, 2021, 71, (C) View citations (5)
See also Working Paper Causal and Frequency Analyses of Purchasing Power Parity, DSSR Discussion Papers (2021) View citations (5) (2021)
- Is Inflation Fiscally Determined?
Sustainability, 2021, 13, (20), 1-26 
See also Working Paper Is Inflation Fiscally Determined?, MPRA Paper (2019) (2019)
- Life Cycles and Gender in Residential Mobility Decisions
The Journal of Real Estate Finance and Economics, 2021, 62, (3), 370-401
- Toward Coexistence of Immigrants and Local People in Japan: Implications from Spatial Assimilation Theory
Sustainability, 2021, 13, (7), 1-16 View citations (1)
2019
- Financial flows, global interest rates, and political integration
Finance Research Letters, 2019, 31, (C) View citations (1)
See also Working Paper Financial Flows, Global Interest Rates, and Political Integration, DSSR Discussion Papers (2018) (2018)
2017
- Global and country-specific movements in real effective exchange rates: Implications for external competitiveness
Journal of International Money and Finance, 2017, 76, (C), 88-105 View citations (1)
- Inflation and consumption of nontradable goods: Global implications from regional analyses
International Review of Economics & Finance, 2017, 48, (C), 478-491
- Regional inflation, spatial locations and the Balassa-Samuelson effect: Evidence from Japan
Urban Studies, 2017, 54, (6), 1482-1499 View citations (6)
2015
- Currency forecast errors and carry trades at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate
Journal of International Money and Finance, 2015, 53, (C), 1-19 View citations (11)
- UK house price convergence clubs and spillovers
Journal of Housing Economics, 2015, 30, (C), 50-58 View citations (37)
See also Working Paper UK House Prices: Convergence Clubs and Spillovers, SIRE Discussion Papers (2013) View citations (1) (2013)
2014
- The forward premium puzzle and the Euro
Journal of International Financial Markets, Institutions and Money, 2014, 32, (C), 436-451 View citations (2)
See also Working Paper The Forward Premium Puzzle And The Euro, MPRA Paper (2013) (2013)
2013
- A dynamic factor approach to domestic capital mobility
Empirical Economics, 2013, 44, (2), 685-700
- Asia-Pacific Stock Returns around the Lehman Shock and Beyond: time-varying conditional correlations
Journal of Economic Integration, 2013, 28, 412-440 View citations (3)
2012
- COMMON FACTORS OF THE EXCHANGE RISK PREMIUM IN EMERGING EUROPEAN MARKETS
Bulletin of Economic Research, 2012, 64, (Supplement 1), s71-s85 View citations (6)
See also Working Paper Common factors of the exchange risk premium in emerging European markets, MPRA Paper (2011) View citations (2) (2011)
- Financial innovation and regional money
Applied Economics, 2012, 44, (35), 4617-4629 View citations (9)
See also Working Paper Financial Innovation and Regional Money, MPRA Paper (2011) View citations (2) (2011)
- Regional deposits and demographic changes
Applied Economics Letters, 2012, 19, (10), 939-942 
See also Working Paper Regional deposits and demographic changes, MPRA Paper (2011) (2011)
- The threshold consumption correlation-based approach to international capital mobility: Evidence from advanced and developing countries
Structural Change and Economic Dynamics, 2012, 23, (3), 256-263 View citations (1)
See also Working Paper The threshold consumption correlation-based approach to international capital mobility: evidence from advanced and developing countries, MPRA Paper (2012) View citations (1) (2012)
2011
- Heterogeneity and convergence of regional inflation (prices)
Journal of Macroeconomics, 2011, 33, (4), 711-723 View citations (24)
- The Common Component in Forward Premiums: Evidence from the Asia–Pacific Region
Review of International Economics, 2011, 19, (4), 750-762 View citations (5)
See also Working Paper The Common Component in the Forward Premium: Evidence from the Asia-Pacific Region, MPRA Paper (2010) View citations (2) (2010)
2010
- Macroeconomic interdependence in East Asia
Japan and the World Economy, 2010, 22, (4), 219-227 
See also Working Paper Macroeconomic Interdependence in East Asia, MPRA Paper (2010) (2010)
- Structural breaks in the real exchange rate and real interest rate relationship
Global Finance Journal, 2010, 21, (2), 138-151 View citations (8)
See also Working Paper Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship, Working Papers (2008) View citations (1) (2008)
2009
- PPP: Further evidence from Japanese regional data
International Review of Economics & Finance, 2009, 18, (3), 419-427 View citations (18)
2008
- Japanese stock movements from 1991 to 2005: evidence from high- and low-frequency data
Applied Financial Economics, 2008, 18, (4), 295-307 View citations (2)
- Relative Prices and Wages in China: Evidence from a Panel of Provincial Data
Journal of Economic Integration, 2008, 23, 183-203 View citations (6)
2007
- Empirical analysis of the exchange rate channel in Japan
Journal of International Money and Finance, 2007, 26, (6), 887-904 View citations (7)
- Putting the dividend-price ratio under the microscope
Finance Research Letters, 2007, 4, (3), 186-195 View citations (2)
2004
- The Term Structure of Interest Rates and Monetary Policy during a Zero Interest Rate Period
Monetary and Economic Studies, 2004, 22, (2), 19-43 View citations (6)
See also Working Paper The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period, IMF Working Papers (2003) View citations (3) (2003)
- The effectiveness of Japanese foreign exchange interventions during 1991-2001
Economics Letters, 2004, 84, (3), 377-381 View citations (22)
2003
- A re-examination of the Japanese money demand function and structural shifts
Journal of Policy Modeling, 2003, 25, (4), 359-375 View citations (19)
- Asymmetric effects of monetary indicators on the Japanese yen
Japan and the World Economy, 2003, 15, (2), 143-159 View citations (4)
2002
- Does the Long-Run PPP Hypothesis Hold for Africa? Evidence from a Panel Cointegration Study
Bulletin of Economic Research, 2002, 54, (2), 181-87 View citations (28)
See also Working Paper Does the Long-Run Ppp Hypothesis Hold for Africa? Evidence From Panel Co-Integration Study, IMF Working Papers (1998) View citations (29) (1998)
- On the term structure of interest rates and inflation in Japan
Journal of Economics and Business, 2002, 54, (5), 505-523 View citations (4)
2001
- Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand
Journal of Asian Economics, 2001, 12, (4), 529-546 View citations (29)
See also Working Paper Currency Crisis and Contagion: Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand, IMF Working Papers (2000) View citations (8) (2000)
2000
- The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study
IMF Staff Papers, 2000, 47, (1), 5 View citations (84)
See also Working Paper The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study, IMF Working Papers (1999) View citations (28) (1999)
1998
- On the Japanese Yen-U.S. Dollar Exchange Rate: A Structural Econometric Model Based on Real Interest Differentials
Journal of the Japanese and International Economies, 1998, 12, (1), 75-102 View citations (20)
Chapters
2021
- Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods
Springer
2006
- Modeling and Predicting Japanese Stock Returns Based on the ARFIMA-FIGARCH
Chapter 12 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 209-220
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