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Details about Yohei Yamamoto

Homepage:https://sites.google.com/site/yoheiyama/
Postal address:Naka 2-1, Kunitachi, Tokyo, 186-8601, Japan
Workplace:Graduate School of Economics/Faculty of Economics, Hitotsubashi University, (more information at EDIRC)

Access statistics for papers by Yohei Yamamoto.

Last updated 2020-01-05. Update your information in the RePEc Author Service.

Short-id: pya247


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Working Papers

2019

  1. Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan Downloads
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2019) Downloads
    GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2019) Downloads
  2. 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 Downloads
    See also Journal Article in Econometrics (2019)
  3. 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 Downloads View citations (3)
  4. The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University Downloads

2018

  1. Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University Downloads
  2. Testing for Changes in Forecasting Performance
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    Also in Discussion Papers, Graduate School of Economics, Hitotsubashi University (2018) Downloads

2017

  1. The Exchange Rate Effects of Macro News after the Global Financial Crisis
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas Downloads
    Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2017) Downloads

    See also Journal Article in Journal of International Money and Finance (2019)

2016

  1. Asymptotic Inference for Common Factor Models in the Presence of Jumps
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University Downloads View citations (1)
    Also in Discussion Papers, Graduate School of Economics, Hitotsubashi University (2015) Downloads
  2. Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University Downloads
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2012) Downloads View citations (11)

    See also Journal Article in Journal of Applied Econometrics (2019)
  3. Is the Renminbi a safe haven?
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas Downloads View citations (1)
    Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit Downloads

    See also Journal Article in Journal of International Money and Finance (2017)
  4. Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads

2015

  1. Confidence Sets for the Break Date Based on Optimal Tests
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads View citations (8)
    See also Journal Article in Econometrics Journal (2015)

2014

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

2013

  1. Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (3)
    See also Journal Article in Journal of Business & Economic Statistics (2016)
  2. Testing for Factor Loading Structural Change under Common Breaks
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2015)
  3. 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 Downloads View citations (1)

2012

  1. Does Foreign Exchange Intervention Volume Matter?
    EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics Downloads
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2012) Downloads View citations (1)
  2. 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 Downloads
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2011)

    See also Journal Article in Econometrics Journal (2013)
  3. 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 Downloads View citations (4)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2008) View citations (2)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads

    See also Journal Article in Econometric Reviews (2016)

2011

  1. 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 (3)
    See also Journal Article in Econometric Theory (2014)
  2. 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 (11)
    See also Journal Article in Journal of Applied Econometrics (2015)

2008

  1. 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

2019

  1. Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions
    Journal of Applied Econometrics, 2019, 34, (2), 247-267 Downloads View citations (3)
    See also Working Paper (2016)
  2. Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model
    Econometrics, 2019, 7, (2), 1-11 Downloads View citations (1)
    See also Working Paper (2019)
  3. The exchange rate effects of macro news after the global Financial Crisis
    Journal of International Money and Finance, 2019, 95, (C), 424-443 Downloads View citations (1)
    See also Working Paper (2017)

2018

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

2017

  1. Is the Renminbi a safe haven?
    Journal of International Money and Finance, 2017, 79, (C), 189-202 Downloads View citations (3)
    See also Working Paper (2016)

2016

  1. Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series
    Journal of Business & Economic Statistics, 2016, 34, (1), 81-106 Downloads View citations (1)
    See also Working Paper (2013)
  2. Intra-safe haven currency behavior during the global financial crisis
    Journal of International Money and Finance, 2016, 66, (C), 49-64 Downloads View citations (27)
  3. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
    Econometric Reviews, 2016, 35, (5), 782-844 Downloads View citations (7)
    See also Working Paper (2012)

2015

  1. Confidence sets for the break date based on optimal tests
    Econometrics Journal, 2015, 18, (3), 412-435 Downloads View citations (6)
    See also Working Paper (2015)
  2. Testing for factor loading structural change under common breaks
    Journal of Econometrics, 2015, 189, (1), 187-206 Downloads View citations (20)
    See also Working Paper (2013)
  3. Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
    Journal of Applied Econometrics, 2015, 30, (1), 119-144 Downloads View citations (17)
    See also Working Paper (2011)

2014

  1. A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS
    Econometric Theory, 2014, 30, (2), 491-507 Downloads View citations (18)
    See also Working Paper (2011)
  2. Large versus small foreign exchange interventions
    Journal of Banking & Finance, 2014, 43, (C), 114-123 Downloads View citations (6)

2013

  1. Estimating and testing multiple structural changes in linear models using band spectral regressions
    Econometrics Journal, 2013, 16, (3), 400-429 Downloads View citations (8)
    See also Working Paper (2012)
 
Page updated 2020-04-05