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CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf345: Complexity of Payment Network Downloads
Hitoshi Hayakawa
cf344: Safe Asset Shortages and Asset Price Bubbles Downloads
Kosuke Aoki, Tomoyuki Nakajima and Kalin Nikolov
cf343: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing Downloads
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 Downloads
Kota Watanabe and Tsutomu Watanabe
cf341: A New Improvement Scheme for Approximation Methods of Probability Density Functions Downloads
Akihiko Takahashi and Yukihiro Tsuzuki
cf340: Speculative Attacks with Multiple Targets Downloads
Junichi Fujimoto
cf339: The Structure and Evolution of Buyer-Supplier Networks Downloads
Takayuki Mizuno, Wataru Souma and Tsutomu Watanabe
cf338: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows Downloads
Masaaki Fujii and Akihiko Takahashi
cf337: LIQUIDITY PREFERENCE AND KNIGHTIAN UNCERTAINTY Downloads
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 Downloads
Akihiko Takahashi and Toshihiro Yamada
cf334: Aging and Real Estate Prices: Evidence from Japanese and US Regional Data Downloads
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") Downloads
Hideyuki Tanaka and Toshihiro Yamada
cf332: Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates- Downloads
Masaaki Fujii and Akihiko Takahashi
cf331: Role of Credit Default Swap in Bubbles and Crashes Downloads
Hitoshi Matsushima
cf330: Auction Platform Design and the Linkage Principle Downloads
Wataru Tamura
cf329: Optimal Monetary Policy and Transparency under Informational Friction Downloads
Wataru Tamura
cf328: How Much Do Official Price Indexes Tell Us About Inflation? Downloads
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 Downloads
Yoshiro Miwa
cf326: On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver Downloads
Akihiko Takahashi and Toshihiro Yamada
cf325: Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets") Downloads
Yukihiro Tsuzuki
cf324: On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- Downloads
Akihiko Takahashi and Toshihiro Yamada
cf323: Bank’s regulation, asset portfolio choice of banks, and macroeconomic dynamics Downloads
Kosuke Aoki and Nao Sudo
cf322: A Regime-Switching SVAR Analysis of Quantitative Easing Downloads
Fumio Hayashi and Junko Koeda
cf321: Making Mean-Variance Hedging Implementable in a Partially Observable Market Downloads
Masaaki Fujii and Akihiko Takahashi
cf320: Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period Downloads
Satoshi Imai and Tsutomu Watanabe
cf319: A Robust Version of Convex Integral Functionals Downloads
Keita Owari
cf318: Dark Sides of Patent Pools with Compulsory Independent Licensing Downloads
Akifumi Ishihara and Noriyuki Yanagawa
cf317: On the Lebesgue Property of Monotone Convex Functions Downloads
Keita Owari
cf316: International Trade and Capital Movement under Financial Imperfection Downloads
Taiji Furusawa and Noriyuki Yanagawa Taiji Furusawa
cf315: Maximum Lebesgue Extension of Monotone Convex Functions Downloads
Keita Owari
cf314: Why are product prices in online markets not converging? Downloads
Takayuki Mizuno and Tsutomu Watanabe
cf313: Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices Downloads
Takaaki Ohnishi, Takayuki Mizuno, Chihiro Shimizu and Tsutomu Watanabe
cf312: Note on an Extension of an Asymptotic Expansion Scheme Downloads
Akihiko Takahashi and Masashi Toda
cf311: Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering Downloads
Masaaki Fujii
cf310: Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations? Downloads
Kazuo Ueda
cf309: Behavioral Approach to Repeated Games with Private Monitoring Downloads
Hitoshi Matsushima, Tomomi Tanaka and Tomohisa Toyama
cf308: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication Downloads
Akihiko Takahashi and Kyo Yamamoto
cf307: Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data Downloads
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 Downloads
Akihiko Takahashi and Yukihiro Tsuzuki
cf304: An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model Downloads
Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
cf303: Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields Downloads
Junko Koeda
cf302: An FBSDE Approach to American Option Pricing with an Interacting Particle Method Downloads
Masaaki Fujii, Seisho Sato and Akihiko Takahashi
cf301: Process Manipulation in Unique Implementation Downloads
Hitoshi Matsushima
cf300: On the Optimal Super- and Sub-Hedging Strategies Downloads
Yukihiro Tsuzuki
cf299: High quality topic extraction from business news explains abnormal financial market volatility Downloads
Ryohei Hisano, Didier Sornette, Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
cf298: How Fast Are Prices in Japan Falling? Downloads
Satoshi Imai, Chihiro Shimizu and Tsutomu Watanabe
cf297: The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables Downloads
Atushi Ishikawa, Shouji Fujimotoa, Tsutomu Watanabe and Takayuki Mizuno
cf296: An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach Downloads
Akihiko Takahashi and Toshihiro Yamada
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