CARF F-Series
From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC. Bibliographic data for series maintained by (). Access Statistics for this working paper series.
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- cf345: Complexity of Payment Network

- Hitoshi Hayakawa
- cf344: Safe Asset Shortages and Asset Price Bubbles

- Kosuke Aoki, Tomoyuki Nakajima and Kalin Nikolov
- cf343: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing

- Masaaki Fujii
- cf342: We construct a Törnqvist daily price index using Japanese point of sale (POS) scannerdata spanning from 1988 to 2013. We find the following. First, the POS based inflation rate tends to be about 0.5 percentage points lower than the CPI inflation rate, although the difference between the two varies over time. Second, the difference between the two measures is greatest from 1992 to 1994, when, following the burst of bubble economy in 1991, the POS inflation rate drops rapidly and turns negative in June 1992, while the CPI inflation rate remains positive until summer 1994. Third, the standard deviation of daily POS inflation is 1.1 percent compared to a standard deviation for the monthly change in the CPI of 0.2 percent, indicating that daily POS inflation is much more volatile, mainly due to frequent switching between regular and sale prices. We show that the volatility in daily inflation can be reduced by more than 2daily inflation rate 0 percent by trimming the tails of product-level price change distributions. Finally, if we measure price changes from one day to the next and construct a chained Törnqvist index, a strong chain drift arises so that the chained price index falls to 10-10 of the base value over the 25-year sample period, which is equivalent to an annual deflation rate of 60 percent. We provide evidence suggesting that one source of the chain drift is fluctuations in sales quantity before, during, and after a sale period

- Kota Watanabe and Tsutomu Watanabe
- cf341: A New Improvement Scheme for Approximation Methods of Probability Density Functions

- Akihiko Takahashi and Yukihiro Tsuzuki
- cf340: Speculative Attacks with Multiple Targets

- Junichi Fujimoto
- cf339: The Structure and Evolution of Buyer-Supplier Networks

- Takayuki Mizuno, Wataru Souma and Tsutomu Watanabe
- cf338: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows

- Masaaki Fujii and Akihiko Takahashi
- cf337: LIQUIDITY PREFERENCE AND KNIGHTIAN UNCERTAINTY

- Kiyohiko G. Nishimura and Hiroyuki Ozaki
- cf336: Pricing Basket Options under Local Stochastic Volatility with Jumps
- Kenichiro Shiraya and Akihiko Takahashi
- cf335: A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights

- Akihiko Takahashi and Toshihiro Yamada
- cf334: Aging and Real Estate Prices: Evidence from Japanese and US Regional Data

- Yumi Saita, Chihiro Shimizu and Tsutomu Watanabe
- cf333: Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method (Forthcoming in "International Journal of Theoretical and Applied Finance")

- Hideyuki Tanaka and Toshihiro Yamada
- cf332: Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-

- Masaaki Fujii and Akihiko Takahashi
- cf331: Role of Credit Default Swap in Bubbles and Crashes

- Hitoshi Matsushima
- cf330: Auction Platform Design and the Linkage Principle

- Wataru Tamura
- cf329: Optimal Monetary Policy and Transparency under Informational Friction

- Wataru Tamura
- cf328: How Much Do Official Price Indexes Tell Us About Inflation?

- Jessie Handbury, Tsutomu Watanabe and David Weinstein
- cf327: Do Wild Fluctuations in Quarterly Inventory Investment Data Matter?: A Study of Japanese GDP Statistics, 1994-2010

- Yoshiro Miwa
- cf326: On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver

- Akihiko Takahashi and Toshihiro Yamada
- cf325: Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets")

- Yukihiro Tsuzuki
- cf324: On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-

- Akihiko Takahashi and Toshihiro Yamada
- cf323: Bank’s regulation, asset portfolio choice of banks, and macroeconomic dynamics

- Kosuke Aoki and Nao Sudo
- cf322: A Regime-Switching SVAR Analysis of Quantitative Easing

- Fumio Hayashi and Junko Koeda
- cf321: Making Mean-Variance Hedging Implementable in a Partially Observable Market

- Masaaki Fujii and Akihiko Takahashi
- cf320: Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period

- Satoshi Imai and Tsutomu Watanabe
- cf319: A Robust Version of Convex Integral Functionals

- Keita Owari
- cf318: Dark Sides of Patent Pools with Compulsory Independent Licensing

- Akifumi Ishihara and Noriyuki Yanagawa
- cf317: On the Lebesgue Property of Monotone Convex Functions

- Keita Owari
- cf316: International Trade and Capital Movement under Financial Imperfection

- Taiji Furusawa and Noriyuki Yanagawa Taiji Furusawa
- cf315: Maximum Lebesgue Extension of Monotone Convex Functions

- Keita Owari
- cf314: Why are product prices in online markets not converging?

- Takayuki Mizuno and Tsutomu Watanabe
- cf313: Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices

- Takaaki Ohnishi, Takayuki Mizuno, Chihiro Shimizu and Tsutomu Watanabe
- cf312: Note on an Extension of an Asymptotic Expansion Scheme

- Akihiko Takahashi and Masashi Toda
- cf311: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering

- Masaaki Fujii
- cf310: Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations?

- Kazuo Ueda
- cf309: Behavioral Approach to Repeated Games with Private Monitoring

- Hitoshi Matsushima, Tomomi Tanaka and Tomohisa Toyama
- cf308: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication

- Akihiko Takahashi and Kyo Yamamoto
- cf307: Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data

- C. Shimizu, Walter Diewert, K. G. Nishimura and T. Watanabe
- cf306: Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage: Awareness Heterogeneity
- Hitoshi Matsushima
- cf305: A New Improvement Scheme for Approximation Methods of Probability Density Functions

- Akihiko Takahashi and Yukihiro Tsuzuki
- cf304: An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

- Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
- cf303: Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields

- Junko Koeda
- cf302: An FBSDE Approach to American Option Pricing with an Interacting Particle Method

- Masaaki Fujii, Seisho Sato and Akihiko Takahashi
- cf301: Process Manipulation in Unique Implementation

- Hitoshi Matsushima
- cf300: On the Optimal Super- and Sub-Hedging Strategies

- Yukihiro Tsuzuki
- cf299: High quality topic extraction from business news explains abnormal financial market volatility

- Ryohei Hisano, Didier Sornette, Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
- cf298: How Fast Are Prices in Japan Falling?

- Satoshi Imai, Chihiro Shimizu and Tsutomu Watanabe
- cf297: The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables

- Atushi Ishikawa, Shouji Fujimotoa, Tsutomu Watanabe and Takayuki Mizuno
- cf296: An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach

- Akihiko Takahashi and Toshihiro Yamada
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