Monetary and Economic Studies

1988 - 2023

From Institute for Monetary and Economic Studies, Bank of Japan
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What Is Systemic Risk? Moral Hazard, Initial Shocks, and Propagation pp. 1-24: James Dow
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market pp. 25-48: Jon Danielsson and Yuji Morimoto
A Simplified Method for Calculating the Credit Risk of Lending Portfolios pp. 49-82: Akira Ieda, Kohei Marumo and Toshinao Yoshiba
Research toward the Practical Application of Liquidity Risk Evaluation Methods pp. 83-127: Yoshifumi Hisata and Yasuhiro Yamai
Model Risk and Its Control pp. 129-157: Toshiyasu Kato and Toshinao Yoshiba
Exploring the Role of Money in Asset Pricing in Japan: Monetary Considerations and Stochastic Discount Factors pp. 159-198: Naohiko Baba

Testing the Ex Ante Relationship between Asset and Investment Returns in Japan: An Application of the P-CAPM to Japanese Asset Returns pp. 39-72: Naohiko Baba
Postal Banking in the United States and Japan: A Comparative Analysis pp. 73-104: Patricia-Hagan Kuwayama
A Theoretical Analysis of Narrow Banking Proposals pp. 105-118: Shuji Kobayakawa and Hisashi Nakamura
Prospects for Prudential Policy: Toward Achieving an Efficient and Stable Banking System pp. 119-136: Nobuyuki Oda and Tokiko Shimizu

Financial Market Globalization: Present and Future pp. 1-40: Kunio Okina, Masaaki Shirakawa and Shigenori Shiratsuka
The Boskin Commission Report and Its Aftermath pp. 41-68: Robert-J Gordon
Measurement Errors in the Japanese Consumer Price Index pp. 69-102: Shigenori Shiratsuka
Asset Price Fluctuation and Price Indices pp. 103-128: Shigenori Shiratsuka
What Determines the Relation between the Output Gap and Inflation ? An International Comparison of Inflation Expectations and Staggered Wage Adjustment pp. 129-155: Masahiro Higo and Sachiko Kuroda
Monetary Policy under Zero Inflation: A Response to Criticisms and Questions Regarding Monetary Policy pp. 157-182: Kunio Okina

The Joint and Several Effects of Liquidity Constraints, Financing Constraints, and Financial Intermediation on the Welfare Cost of Inflation pp. 1-20: Milton Marquis
Japan's Experience with Deposit Insurance and Failing Banks: Implications for Financial Regulatory Design? pp. 21-46: Curtis-J Milhaupt
Market Price Analysis and Risk Management for Convertible Bonds pp. 47-89: Fuminobu Ohtake, Nobuyuki Oda and Toshinao Yoshiba
Risk Management for Equity Portfolios of Japanese Banks pp. 91-117: Akira Ieda and Toshikazu Ohba

Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets pp. 1-43: Hisashi Nakamura and Shigenori Shiratsuka
Dynamic Allocation and Pricing in Incomplete Markets: A Survey pp. 45-75: Makoto Saito
The Monthly Measurement of Core Inflation in Japan pp. 77-101: Michael F. Bryan and Stephen Cecchetti
Underlying Inflation and the Distribution of Price Change: Evidence from the Japanese Trimmed-Mean CPI pp. 103-132: Hitoshi Mio and Masahiro Higo
Estimating Fair Premium Rates for Deposit Insurance Using Option Pricing Theory: An Empirical Study of Japanese Banks pp. 133-170: Nobuyuki Oda

Monetary Policy and the Quality of Information pp. 1-18: Allan Meltzer
Information Technology and Monetary Policy pp. 19-28: John Taylor
Impact of Information Technology and Implications for Monetary Policy pp. 29-60: Tetsuya Inoue
How Can We Extract a Fundamental Trend from an Economic Time- Series? pp. 61-111: Masahiro Higo and Sachiko Kuroda
Recent Trends in the Spread over Libor on the Domestic Straight Bond Trading Market in Japan pp. 113-128: Akira Ieda and Toshikazu Ohba

Interest Rate Risk of Banking Accounts: Measurement Using the VaR Framework pp. 1-34: Yoshinao et-al Kiyama
Financial Liberalization, the Wealth Effect, and the Demand for Broad Money in Japan pp. 35-55: Toshitaka Sekine
Nonstationary Time-Series Modeling versus Structural Equation Modeling: With an Application to Japanese Money Demand pp. 57-79: Cheng Hsiao and Hiroshi Fujiki

Inflation Measures for Monetary Policy: Measuring the Underlying Inflation Trend and Its Implication for Monetary Policy Implementation pp. 1-26: Shigenori Shiratsuka
A New Framework for Measuring the Credit Risk of a Portfolio: The "ExVaR" Model pp. 27-62: Nobuyuki Oda and Jun Muranaga
Is Japan Special? Monetary Linkages and Price Stability pp. 63-79: Susanne Lohmann
Financial Repression and Capital Mobility: Why Capital Flows and Covered Interest Rate Differentials Fail to Measure Capital Market Integration pp. 81-103: Menzie Chinn and Michael Dooley

Indexed Bonds and Monetary Policy: The Real Interest Rate and the Expected Rate of Inflation pp. 1-25: Yukinobu Kitamura
Markup Pricing and Monetary Policy: A Reexamination of the Effectiveness of Monetary Policy under Imperfect Competition pp. 27-62: Naohiko Baba
Money and Debt in the Structure of Payments pp. 63-87: Edward Green
Inflation and Central Bank Independence: Is Japan Really an Outlier? pp. 89-117: Carl Walsh

The Use of the Yen as a Reserve Currency pp. 1-21: Peter Garber
The Long-Run Relationship between Real GDP, Money Supply, and Price Level: Unit Root and Cointegration Tests with Structual Changes pp. 23-52: Yutaka Soejima
A Structural Analysis of Money Demand: Cross-Sectional Evidence from Japan pp. 53-78: Hiroshi Fujiki and Casey Mulligan
Central Bank Independence Indexes in Economic Analysis: A Reappraisal pp. 79-101: Hiroshi Fujiki

On Making Monetary Policy More Effective Domestically and Internationally pp. 1-27: Allan Meltzer
Policy Rules as a Means to a More Effective Monetary Policy pp. 28-39: John Taylor
Styles of Monetary Management pp. 40-64: Tommaso Padoa-Schioppa
Production, Financial Sophistication, and the Demand for Money by Households and Firms pp. 65-103: Hiroshi Fujiki and Casey Mulligan
A Comparative Study of Seigniorage: Japan and Germany pp. 104-142: Manfred J. M. Neumann
Explaining Asset Bubbles in Japan pp. 143-193: Takatoshi Ito and Tokuo Iwaisako