Details about Yohei Yamamoto

Access statistics for papers by Yohei Yamamoto.

Last updated 2023-08-05. Update your information in the RePEc Author Service.

Short-id: pya247

Working Papers

2023

1. The Trend Effect of Foreign Exchange Intervention
   Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University

2022

2. The Efficiency of the Government’s Revenue Projections
   Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University

2020

3. Reserves and Risk: Evidence from China
   Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University
   Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2020)
   GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2020)
   See also Journal Article in Journal of International Money and Finance (2023)
4. Testing jointly for structural changes in the error variance and coe¢ cients of a linear regression model
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (15)
5. The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)
   Also in Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University (2019)
   See also Journal Article in Empirical Economics (2022)

2019

6. Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (2)
   Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2019) View citations (1)
   GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2019)
7. Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model
   Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (7)
   See also Journal Article in Econometrics (2019)
8. Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model
   Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University View citations (3)
   See also Journal Article in Quantitative Economics (2020)
9. Testing for Changes in Forecasting Performance
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2018)
   Discussion Papers, Graduate School of Economics, Hitotsubashi University (2018)

2018

10. Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University
    See also Journal Article in Journal of Applied Econometrics (2022)

2017

11. The Exchange Rate Effects of Macro News after the Global Financial Crisis
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)
    Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2017)
    See also Journal Article in Journal of International Money and Finance (2019)

2016

12. Asymptotic Inference for Common Factor Models in the Presence of Jumps
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University View citations (1)
    Also in Discussion Papers, Graduate School of Economics, Hitotsubashi University (2015) View citations (1)
13. Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University View citations (1)
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2012) View citations (12)
    See also Journal Article in Journal of Applied Econometrics (2019)
14. Is the Renminbi a Safe Haven?
    Working Papers, Tokyo Center for Economic Research View citations (1)
    Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (1)
    See also Journal Article in Journal of International Money and Finance (2017)
15. Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (1)

2015

16. Confidence Sets for the Break Date Based on Optimal Tests
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (9)
    See also Journal Article in Econometrics Journal (2015)

2014

17. A Modified Confidence Set for the Structural Break Date in Linear Regression Models
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (5)
    See also Journal Article in Econometric Reviews (2018)

2013

18. Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (3)
    See also Journal Article in Journal of Business & Economic Statistics (2016)
19. Testing for Factor Loading Structural Change under Common Breaks
    Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (4)
    See also Journal Article in Journal of Econometrics (2015)
20. Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)

2012

21. Does Foreign Exchange Intervention Volume Matter?
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics View citations (1)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2012) View citations (1)
22. Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011)
    See also Journal Article in Econometrics Journal (2013)
23. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (4)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2008) View citations (3)
    See also Journal Article in Econometric Reviews (2016)

2011

24. A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (4)
    See also Journal Article in Econometric Theory (2014)
25. Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (12)
    See also Journal Article in Journal of Applied Econometrics (2015)

2008

26. Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (7)

Journal Articles

2023

1. A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
   Econometric Theory, 2023, 39, (2), 389-411
2. Reserves and risk: Evidence from China
   Journal of International Money and Finance, 2023, 134, (C)
   See also Working Paper (2020)

2022

3. Identifying factor‐augmented vector autoregression models via changes in shock variances
   Journal of Applied Econometrics, 2022, 37, (4), 722-745
   See also Working Paper (2018)
4. Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods
   Journal of Time Series Analysis, 2022, 43, (3), 389-411
5. The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence
   Empirical Economics, 2022, 62, (3), 1193-1218 View citations (2)
   See also Working Paper (2020)

2020

6. Testing jointly for structural changes in the error variance and coefficients of a linear regression model
   Quantitative Economics, 2020, 11, (3), 1019-1057 View citations (10)
   See also Working Paper (2019)

2019

7. Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions
   Journal of Applied Econometrics, 2019, 34, (2), 247-267 View citations (10)
   See also Working Paper (2016)
8. Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model
   Econometrics, 2019, 7, (2), 1-11 View citations (7)
   See also Working Paper (2019)
9. The exchange rate effects of macro news after the global Financial Crisis
   Journal of International Money and Finance, 2019, 95, (C), 424-443 View citations (8)
   See also Working Paper (2017)

2018

10. A modified confidence set for the structural break date in linear regression models
    Econometric Reviews, 2018, 37, (9), 974-999 View citations (1)
    See also Working Paper (2014)

2017

11. Is the Renminbi a safe haven?
    Journal of International Money and Finance, 2017, 79, (C), 189-202 View citations (17)
    See also Working Paper (2016)

2016

12. Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series
    Journal of Business & Economic Statistics, 2016, 34, (1), 81-106 View citations (3)
    See also Working Paper (2013)
13. Intra-safe haven currency behavior during the global financial crisis
    Journal of International Money and Finance, 2016, 66, (C), 49-64 View citations (66)
14. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
    Econometric Reviews, 2016, 35, (5), 782-844 View citations (11)
    See also Working Paper (2012)

2015

15. Confidence sets for the break date based on optimal tests
    Econometrics Journal, 2015, 18, (3), 412-435 View citations (8)
    See also Working Paper (2015)
16. Testing for factor loading structural change under common breaks
    Journal of Econometrics, 2015, 189, (1), 187-206 View citations (31)
    See also Working Paper (2013)
17. Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
    Journal of Applied Econometrics, 2015, 30, (1), 119-144 View citations (26)
    See also Working Paper (2011)

2014

18. A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
    Econometric Theory, 2014, 30, (2), 491-507 View citations (24)
    See also Working Paper (2011)
19. Large versus small foreign exchange interventions
    Journal of Banking & Finance, 2014, 43, (C), 114-123 View citations (12)

2013

20. Estimating and testing multiple structural changes in linear models using band spectral regressions
    Econometrics Journal, 2013, 16, (3), 400-429 View citations (10)
    See also Working Paper (2012)