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Details about Mototsugu Shintani

Homepage:https://sites.google.com/site/motoshintani/
Workplace:Faculty of Economics, University of Tokyo, (more information at EDIRC)
Bank of Japan, (more information at EDIRC)

Access statistics for papers by Mototsugu Shintani.

Last updated 2019-04-12. Update your information in the RePEc Author Service.

Short-id: psh5


Jump to Journal Articles

Working Papers

2018

  1. Current Account Dynamics under Information Rigidity and Imperfect Capital Mobility
    ESRI Discussion paper series, Economic and Social Research Institute (ESRI) Downloads
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2018) Downloads
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2018) Downloads
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) Downloads
  2. Cyclical Part-Time Employment in an Estimated New Keynesian Model with Search Frictions
    Working Papers, Georgetown University, Department of Economics Downloads
  3. Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan
    Working Papers, Tokyo Center for Economic Research Downloads View citations (3)
  4. Estimating a nonlinear new Keynesian model with the zero lower bound for Japan
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (5)
  5. Missing Wage Inflation? Downward Wage Rigidity and the Natural Rate of Unemployment
    Bank of Japan Research Laboratory Series, Bank of Japan Downloads
  6. Missing Wage Inflation? Estimating the Natural Rate of Unemployment in a Nonlinear DSGE Model
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan Downloads View citations (1)

2017

  1. Sticky-Wage Models and Knowledge Capital: A Note
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
  2. Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan Downloads

2015

  1. Improving the Finite Sample Performance of Autoregression Estimators in Dynamic Factor Models: A Bootstrap Approach
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2018)
  2. Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (1)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2015) Downloads View citations (1)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2017)

2014

  1. Noisy information, distance and law of one price dynamics across US cities
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (3)
    Discussion papers, Graduate School of Economics Project Center, Kyoto University (2012) Downloads View citations (2)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) Downloads View citations (4)

    See also Journal Article in Journal of Monetary Economics (2015)
  2. Quasi-Bayesian Model Selection
    Departmental Working Papers, Southern Methodist University, Department of Economics Downloads View citations (1)
    See also Journal Article in Quantitative Economics (2018)

2013

  1. Asymptotic Inference for Dynamic Panel Estimators of In nite Order Autoregressive Processes
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2018)
  2. Great earthquakes, exchange rate volatility and government interventions
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads

2012

  1. Exchange rate pass-through and inflation: a nonlinear time series analysis
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2009) Downloads View citations (13)

    See also Journal Article in Journal of International Money and Finance (2013)

2011

  1. Do Sticky Prices Increase Real Exchange Rate Volatility at the Sector Level?
    2011 Meeting Papers, Society for Economic Dynamics Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads
    Discussion papers, Graduate School of Economics Project Center, Kyoto University (2010) Downloads
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2010) Downloads

    See also Journal Article in European Economic Review (2013)
  2. Finite Sample Performance of Principal Components Estimators for Dynamic Factor Models: Asymptotic vs. Bootstrap Approximations
    EconStor Preprints, ZBW - Leibniz Information Centre for Economics Downloads View citations (4)

2010

  1. Measuring Business Cycles by Saving for a Rainy Day
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2010) Downloads
  2. Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan
    Levine's Working Paper Archive, David K. Levine Downloads View citations (5)
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2004) Downloads View citations (2)

    See also Journal Article in Journal of Money, Credit and Banking (2005)
  3. Trading volume and serial correlation in stock returns: a threshold regression approach
    Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics Downloads

2009

  1. Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (42)
    Also in Levine's Working Paper Archive, David K. Levine (2008) Downloads View citations (51)
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2008) Downloads View citations (13)

    See also Journal Article in Journal of Money, Credit and Banking (2011)
  2. The Law of One Price Without the Border: The Role of Distance Versus Sticky Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Economic Journal (2010)

2008

  1. Accounting for Persistence and Volatility of Good-Level Real Exchange Rates: The Role of Sticky Information
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (3)
    Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2008) Downloads View citations (7)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2008) Downloads View citations (8)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (8)

    See also Journal Article in Journal of International Economics (2010)
  2. Spurious Regressions in Technical Trading: Momentum or Contrarian?
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan Downloads View citations (1)

2006

  1. Menu Costs and Markov Inflation: A Theoretical Revision with New Evidence
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Monetary Economics (2007)
  2. Persistence in Law-Of-One-Price Deviations: Evidence from Micro-Data
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (10)
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2004) Downloads View citations (5)
    Levine's Bibliography, UCLA Department of Economics (2006) Downloads View citations (26)

    See also Journal Article in Journal of Monetary Economics (2008)
  3. Quantifying Inflation Pressure and Monetary Policy Response in the United States
    Levine's Bibliography, UCLA Department of Economics Downloads
  4. Testing for a Unit Root against Transitional Autoregressive Models
    Levine's Bibliography, UCLA Department of Economics Downloads View citations (2)
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2005) Downloads View citations (23)

    See also Journal Article in International Economic Review (2016)

2005

  1. On the Long-Run Variance Ratio Test for a Unit Root
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads

2004

  1. A Dynamic Factor Approach to Nonlinear Stability Analysis
    Levine's Bibliography, UCLA Department of Economics Downloads
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004)
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2004) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2008)
  2. A Nonparametric Measure of Convergence Toward Purchasing Power Parity
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
    Also in Levine's Working Paper Archive, David K. Levine (2003) Downloads

    See also Journal Article in Journal of Applied Econometrics (2006)
  3. Measuring Inflation Pressure and Monetary Policy Response: A General Approach Applied to US Data 1966 - 2001
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (2)

2003

  1. Bootstrapping GMM Estimators for Time Series
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2006)
  2. Measuring the Economic Impact of Monetary Union: The Case of Okinawa
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
    See also Journal Article in The Review of Economics and Statistics (2004)
  3. Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads

    See also Journal Article in Journal of Econometrics (2004)

2002

  1. Persistence in Law-of-One-Price Deviations: Evidence From Micro-Price Data
    NajEcon Working Paper Reviews, www.najecon.org Downloads View citations (9)
    Also in Levine's Working Paper Archive, David K. Levine (2002) Downloads View citations (4)

2001

  1. Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
    Also in FMG Discussion Papers, Financial Markets Group (2001) Downloads View citations (4)

    See also Journal Article in International Economic Review (2003)

2000

  1. A Simple Cointegrating Rank Test Without Vector Autoregression
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2001)

1995

  1. The Effects of Demographics on the Japanese Housing Market
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (2)
    See also Journal Article in Regional Science and Urban Economics (1996)

1994

  1. Capital Mobility in the World Economy: An Alternative Measure
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (1)
  2. Excess Smoothness of Consumption
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (1993) View citations (1)

1993

  1. Cointegration and Tests Of the Permanent Income Hypothesis: Japanese Evidence with International Comparisons
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (2)
    See also Journal Article in Journal of the Japanese and International Economies (1994)

Journal Articles

2018

  1. Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
    Journal of Econometrics, 2018, 204, (2), 147-158 Downloads View citations (1)
    See also Working Paper (2013)
  2. Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach
    Econometric Reviews, 2018, 37, (4), 360-379 Downloads
    See also Working Paper (2015)
  3. Quasi‐Bayesian model selection
    Quantitative Economics, 2018, 9, (3), 1265-1297 Downloads View citations (1)
    See also Working Paper (2014)

2017

  1. Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component
    Oxford Bulletin of Economics and Statistics, 2017, 79, (5), 822-850 Downloads
    See also Working Paper (2015)

2016

  1. TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS
    International Economic Review, 2016, 57, 635-664 Downloads
    See also Working Paper (2006)

2015

  1. Measuring international business cycles by saving for a rainy day
    Canadian Journal of Economics, 2015, 48, (4), 1266-1290 Downloads View citations (4)
  2. Noisy information, distance and law of one price dynamics across US cities
    Journal of Monetary Economics, 2015, 74, (C), 52-66 Downloads View citations (6)
    See also Working Paper (2014)

2014

  1. Real exchange rate dynamics in sticky wage models
    Economics Letters, 2014, 123, (2), 160-163 Downloads View citations (2)

2013

  1. Consistent co‐trending rank selection when both stochastic and non‐linear deterministic trends are present
    Econometrics Journal, 2013, 16, (3), 473-484 Downloads
  2. Do sticky prices increase real exchange rate volatility at the sector level?
    European Economic Review, 2013, 62, (C), 58-72 Downloads View citations (4)
    See also Working Paper (2011)
  3. Exchange rate pass-through and inflation: A nonlinear time series analysis
    Journal of International Money and Finance, 2013, 32, (C), 512-527 Downloads View citations (28)
    See also Working Paper (2012)
  4. THE INF-T TEST FOR A UNIT ROOT AGAINST ASYMMETRIC EXPONENTIAL SMOOTH TRANSITION AUTOREGRESSIVE MODELS
    The Japanese Economic Review, 2013, 64, (1), 3-15 Downloads View citations (5)

2012

  1. Spurious regressions in technical trading
    Journal of Econometrics, 2012, 169, (2), 301-309 Downloads View citations (2)

2011

  1. Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach
    Journal of Money, Credit and Banking, 2011, 43, (1), 1-29 View citations (70)
    See also Working Paper (2009)
  2. Nonparametric lag selection for nonlinear additive autoregressive models
    Economics Letters, 2011, 111, (2), 131-134 Downloads

2010

  1. Accounting for persistence and volatility of good-level real exchange rates: The role of sticky information
    Journal of International Economics, 2010, 81, (1), 48-60 Downloads View citations (28)
    See also Working Paper (2008)
  2. The Law of One Price without the Border: The Role of Distance versus Sticky Prices
    Economic Journal, 2010, 120, (544), 462-480 Downloads View citations (38)
    See also Working Paper (2009)

2008

  1. A dynamic factor approach to nonlinear stability analysis
    Journal of Economic Dynamics and Control, 2008, 32, (9), 2788-2808 Downloads View citations (2)
    See also Working Paper (2004)
  2. Persistence in law of one price deviations: Evidence from micro-data
    Journal of Monetary Economics, 2008, 55, (3), 629-644 Downloads View citations (127)
    See also Working Paper (2006)
  3. Reassessing Cyclical Changes in Workers' Labor Market Status: Gross Flows and the Types of Workers Who Determine Them
    ILR Review, 2008, 61, (2), 244-257 Downloads View citations (3)

2007

  1. Menu costs and Markov inflation: A theoretical revision with new evidence
    Journal of Monetary Economics, 2007, 54, (3), 753-784 Downloads View citations (18)
    See also Working Paper (2006)

2006

  1. A nonparametric measure of convergence towards purchasing power parity
    Journal of Applied Econometrics, 2006, 21, (5), 589-604 Downloads View citations (14)
    See also Working Paper (2004)
  2. Bootstrapping GMM estimators for time series
    Journal of Econometrics, 2006, 133, (2), 531-555 Downloads View citations (43)
    See also Working Paper (2003)
  3. Chaotic monetary dynamics with confidence
    Journal of Macroeconomics, 2006, 28, (1), 228-252 Downloads View citations (11)
  4. Does the prediction horizon matter for the forward premium anomaly? Evidence from panel data
    Economics Letters, 2006, 93, (2), 255-260 Downloads View citations (2)
  5. ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
    Econometric Theory, 2006, 22, (03), 347-372 Downloads View citations (6)

2005

  1. Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan
    Journal of Money, Credit and Banking, 2005, 37, (3), 517-38 View citations (12)
    See also Working Paper (2010)

2004

  1. Measuring the Economic Impact of Monetary Union: The Case of Okinawa
    The Review of Economics and Statistics, 2004, 86, (4), 858-867 Downloads View citations (2)
    See also Working Paper (2003)
  2. Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
    Journal of Econometrics, 2004, 120, (1), 1-33 Downloads View citations (42)
    See also Working Paper (2003)

2003

  1. Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
    International Economic Review, 2003, 44, (1), 331-357 Downloads View citations (24)
    See also Working Paper (2001)

2002

  1. An Eastern Asian Macroeconometric LINK model (in Japanese)
    Economic Analysis, 2002, 164, 3-205 Downloads View citations (1)

2001

  1. A simple cointegrating rank test without vector autoregression
    Journal of Econometrics, 2001, 105, (2), 337-362 Downloads View citations (11)
    See also Working Paper (2000)

1998

  1. Capital mobility in the world economy: an alternative test
    Journal of International Money and Finance, 1998, 17, (5), 741-756 Downloads View citations (45)

1996

  1. EXCESS SMOOTHNESS OF CONSUMPTION IN JAPAN
    The Japanese Economic Review, 1996, 47, (3), 271-285 Downloads View citations (2)
  2. The effect of demographics on the Japanese housing market
    Regional Science and Urban Economics, 1996, 26, (2), 189-201 Downloads View citations (20)
    See also Working Paper (1995)

1994

  1. Cointegration and Tests of the Permanent Income Hypothesis: Japanese Evidence with International Comparisons
    Journal of the Japanese and International Economies, 1994, 8, (2), 144-172 Downloads View citations (4)
    See also Working Paper (1993)
 
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