CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf626: Policy Views in a Pandemic

Reona Hayashi, So Morikawa, Taisuke Nakata, Thuy Linh Nguyen, Takeshi Ojima, Jacob Feord Sano and Manami Tsuruta

cf625: The Perceived Government Budget Constraint

Takuji Fueki, Masashi Hino, Mitsuru Katagiri, Munechika Katayama and Taisuke Nakata

cf624: Daily Inflation Expectations in Japan around the Time of Regime Change

Taisuke Nakata, Yoshiyuki Nakazono and Kento Tango

cf623: Real-Time COVID-19 Projections in Tokyo: Lessons for Future Pandemics

Jianing Chu, Hongtao Li and Taisuke Nakata

cf622: Abstract

Souhei Ishida, Makoto Kuroki and Akinobu Shuto

cf621: COVID-19 Risk Perceptions After the End of the Public Health Emergency

Asako Chiba, Kazuya Haganuma, Taisuke Nakata, Thuy Linh Nguyen and Reo Takaku

cf620: Lockdown Policy Rules with a Hospital Capacity Constraint

Hongtao Li, Taisuke Nakata, Hiroki Sakamoto and Hiroyuki Uneya

cf619: Who Proposes Agenda Topics?

Masaki Yoneyama, Kensuke Ogata, Satoru Otaka and Jumpei Yamada

cf618: Optimal Lockdown Policy with Virus Mutation

Quentin Batista, Masakazu Emoto, Naoki Maezono and Taisuke Nakata

cf617: Dating Assortativity in Japan: Evidence from a Retrospective Survey

Asako Chiba, Kazuya Haganuma and Taisuke Nakata

cf616: Correcting COVID-19 Risk Misperceptions via Information Provision

Asako Chiba, Kazuya Haganuma, Taisuke Nakata, Thuy Linh Nguyen and Reo Takaku

cf615: Mean-Field Price Formation on Trees with a Network of Relative Performance Concerns

Masaaki Fujii

cf614: Loan Screening under Symmetrically Imperfect Information

Yun Gao and Kenichi Ueda

cf613: Support for Fiscal Consolidation in a Highly-Indebted Country

Takuji Fueki, Masashi Hino, Munechika Katayama and Taisuke Nakata

cf612: Disentangling Supply and Demand Shocks in a Networked Economy

Hiroyuki Asai, Daisuke Fujii and Taisuke Nakata

cf611: Uneven Normalization from the COVID-19 Crisis: Evidence from a Mask Survey in Japan

Kei Shimazawa, Reo Takaku and Taisuke Nakata

cf610: The Effects of Infection Containment Policies With Weak Legal Enforcement

Shuhei Kitamura and Taisuke Nakata

cf609: Dating and Marriage during the COVID-19 Pandemic: Evidence from Japan

Asako Chiba, Naoki Maezono and Taisuke Nakata

cf608: Friend-of-a-Friend in Production Networks: Micro Estimates and Macro Implications

Hiroyuki Asai and Makoto Nirei

cf607: Estimating the Hurst parameter from the zero vanna implied volatility and its dual

Elisa Alos, Frido Rolloos and Kenichiro Shiraya

cf606: Mean-Field Price Formation on Trees: with Multi-Population and Non-Rational Agents

Masaaki Fujii

cf605: Generating the Term Structure of Interest Rates with Diffusion Models

Yosuke Fukunishi, Haorong Qiu, Akihiko Takahashi and Fan Ye

cf604: An Incomplete Multi-Currency Equilibrium Model with Heterogeneous Time Preferences and Subjective Beliefs

Daiya Mita, Taiga Saito and Akihiko Takahashi

cf603: Forecasting Realized Volatility from Option Prices

Kenichiro Shiraya, Tomohisa Yamakami and Akira Yamazaki

cf602: Allocative Inefficiency during a Sudden Stop

Akira Ishide

cf601: Investment with New Sentiment Analysis in Japanese Stock Market: Expert knowledge can still outperform ChatGPT "Forthcoming in Asia-Pacific Financial Markets"

Zhenwei Lin, Masafumi Nakano and Akihiko Takahashi

cf600: Asymptotic expansions as control variates for deep solvers to fully-coupled forward-backward stochastic differential equations "Forthcoming in PLOS ONE"

Makoto Naito, Taiga Saito, Akihiko Takahashi and Kohta Takehara

cf599: A multi-agent equilibrium model in an incomplete market with discrete dividends: Applications to long-term discount curves

Taiga Saito and Akihiko Takahashi

cf597: Credit Market Tightness and Zombie Firms: Theory and Evidence

Masashige Hamano, Philip Schnattinger, Mototsugu Shintani, Iichiro Uesugi and Francesco Zanetti

cf596: COVID-19 Infection and Its Labor Supply Impact: Evidence from a Large-scale Survey in Japan

Asako Chiba, Shunsuke Hori, Taisuke Nakata, Shusaku Sasaki and Reo Takaku

cf595: Quarantine and Its Scar on Labor

Asako Chiba, Shunsuke Hori and Taisuke Nakata

cf594: Mean-field equilibrium price formation with exponential utility

Masaaki Fujii and Masashi Sekine

cf592: New approaches of the DCC-GARCH residual: Application to foreign exchange rates (Forthcoming in Quantitative Finance)

Kenichiro Shiraya, Kanji Suzuki and Tomohisa Yamakami

cf591: On the Source of Seasonality in Price Changes: The Role of Seasonality in Menu Costs

Ko Munakata, Takeshi Shinohara, Shigenori Shiratsuka, Nao Sudo and Tsutomu Watanabe

cf588: A New Equity Investment Strategy with Artificial Intelligence, Multi Factors, and Technical Indicators

Daiya Mita and Akihiko Takahashi

cf587: Mean field equilibrium asset pricing model with habit formation (Forthcoming in Asia-Pacific Financial Markets)

Masaaki Fujii and Masashi Sekine

cf586: Realised Volatility Moments Implied by Asset Options (Forthcoming in Asia-Pacific Financial Markets)

Frido Rolloos and Kenichiro Shiraya

cf585: Three Years of COVID-19-related School Restrictions and Mental Health of Children and Adolescents in Japan

Reo Takaku, Naohisa Shobako and Taisuke Nakata

cf584: Optimal Vaccine Allocation Strategy: Theory and Application to the Early Stage of COVID-19 in Japan

Toshikazu Kuniya, Taisuke Nakata and Daisuke Fujii

cf583: COVID-19 Risk Perceptions in Japan: A Cross Sectional Study

Asako Chiba, Taisuke Nakata, Thuy Linh Nguyen and Reo Takaku

cf582: Monthly Prefecture-Level GDP in Japan

Daisuke Fujii, Taisuke Nakata and Takeki Sunakawa

cf581: Bilateral Lucas Paradox

Yasumasa Morito and Kenichi Ueda

cf580: Loan Screening When Banks Have Superior Information Technology

Yun Gao and Kenichi Ueda

cf579: Design of a CBDC in a Highly Dollarized Emerging Market Economy: The Case of Cambodia

Kenichi Ueda and Chanthol Hay

cf578: Multi-agent equilibrium model with heterogeneous views on fundamental risks in incomplete market

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf577: Semistatic robust utility indifference valuation and robust integral functionals

Keita Owari

cf576: A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment (Forthcoming in "Insurance: Mathematics and Economics")

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf575: Multi-agent Robust Optimal Investment Problem in Incomplete Market

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf574: Financial Innovations, Taxes, and the Growth of Finance

Shuhei Aoki, Makoto Nirei and Kazufumi Yamana

cf573: Preventing Global Catastrophes

Hitoshi Matsushima