CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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2007: Strategic Default Jump as Impulse Control in Continuous Time ( Revised in February 2008 )

Hisashi Nakamura

2007: Trying to Make Sense of the Bank of Japan's Monetary Policy sinse the Exit from Quantitative Easing ( Published in "International Finance", Winter 2007, Vol. 10, No.3, 301-16. )

Kazuo Ueda

2007: Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model ( Revised in December 2007; Subsequently published in "Quantitative Finance". )

Kenichiro Shiraya and Akihiko Takahashi

2007: Behavioral Aspects of Implementation Theory ( The further revision was subsequently published in "Economics Letters". )

Hitoshi Matsushima

2007: Bank distress and the borrowers' productivity

Keiichiro Kobayashi and Noriyuki Yanagawa

2007: Quote Competition in Limit Order Markets

Wataru Ohta

2007: Detail-Free Mechanism Design in Twice Iterative Dominance: Large Economies ( Revised version of CARF-F-007(2004) and CARF-F-062(2005); The further revision was subsequently published in "Journal of Economic Theory" as a regular article. )

Hitoshi Matsushima

2007: Role of Honesty in Full Implementation ( Revised version of CARF-F-062(2006); The further revision was subsequently published in "Journal of Economic Theory" as a short article. )

Hitoshi Matsushima

2007: Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2404-2426. April 2009. )

Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe

2007: Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )

Jouchi Nakajima and Yasuhiro Omori

2007: Consumption Insurance and Risk-Coping Strategies under Non-Separable Utility: Evidence from the Kobe Earthquake

Yasuyuki Sawada and Satoshi Shimizutani

2007: Efficient Static Replication of European Options for Exponential Levy Models (Revised in January 2008, Published in "Journal of Futures Markets", Vol.29-1, 1-15, 2009. )

Akihiko Takahashi and Akira Yamazaki

2007: Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors

Yasuhiro Omori and Toshiaki Watanabe

2007: Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in "Computational Statistics and Data Analysis", 52-6, 2892-2910. February 2008. )

Yasuhiro Omori and Toshiaki Watanabe

2007: An Asymptotic Expansion Approach in Finance (Revised in April 2009; subsequently published as "On an Asymptotic Expansion Approach to Numerical Problems in Finance," in Selected Papers on Probability and Statistics, pp. 199-217, 2009, American Mathematical Society)

Akihiko Takahashi

2007: Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect (Revised as CARF-F-124 (2008) )

Takashi Kano

2007: Why some Distressed Firms Have Low Expected Returns. ( Revised in September. 2007 )

Takao Kobayashi and Ryoichi Ikeda

2007: Did the Credit Crunch in Japan Affect Household Welfare? An Augmented Euler Equation Approach Using Type 5 Tobit Model

Yasuyuki Sawada, Kazumitsu Nawata, Masako Ii and Mark Lee

2007: Listing Policy and Development of the Tokyo Stock Exchange in the Pre-War Period?(Published in Takatoshi Ito and Andrew Rose eds. "Financial Sector Development in the Pacific Rim". Chicago, IL: University of Chicago Press, pp.51-87, 2009. )

Yasushi Hamao, Takeo Hoshi and Tetsuji Okazaki

2007: Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options ( Revised in December 2008; subsequently published in "International Journal of Theoretical and Applied Finance", Vol.11-4,pp.381-401. )

Akihiko Takahashi and Kohta Takehara

2007: Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. )

Siddhartha Chib, Yasuhiro Omori and Manabu Asai

2007: Tit-For-Tat Equilibria in Discounted Repeated Games with Private Monitoring

Hitoshi Matsushima

2007: Liquidity Risk Aversion, Debt Maturity, and Current Account Surpluses: A Theory and Evidence from East Asia (Forthcoming in T. Ito and A. Rose eds., International Financial Issues in Pacific Rim, University of Chicago Press)

Shin-ichi Fukuda and Yoshifumi Kon

2007: Pioneering Modern Corporate Governance: a View from London in 1900 (Subsequently published in "Enterprise and Society", vol. 8, no. 3, September 2007, pp. 642-86. )

Leslie Hannah

2007: An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates (Revised in August 2007 and January 2009; subsequently published in "Asia-Pacific Financial Markets", vol.14, pp.69-121, 2007. )

Akihiko Takahashi and Kohta Takehara

2007: RETHINKING PENSION REFORM - SIMPLE APPLICATION TO THE JAPANESE SITUATION

Arun Muralidhar

2007: HEDGING CURRENCY RISK IN INTERNATIONAL INVESTMENT AND TRADE

Arun Muralidhar and Masakazu Arikawa

2007: The Case for View Based Dynamic ALM for Japanese Pension Funds: A New Approach to Liability Driven Investing

Sanjay Muralidhar, Masakazu Arikawa and Arun Muralidhar

2006: Democracy, Finance and Development

Juan Pineiro Chousa, Haider Khan, Davit N. Melikyan and Artur Tamazian

2006: Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates

Akihiko Takahashi, Kota Takehara and Akira Yamazaki

2006: Group Provision Against Adversity: Security By Insurance vs. Protection

Toshihiro Ihori and Martin McGuire

2006: Patterns of Non-exponential Growth of Macroeconomic Models: Two-parameter Poisson-Dirichlet Models (Forthcoming in "Rivista Internazionale di Scienze Sociali", cxv No.1, pp. 109-125, 2007. )

Masanao Aoki

2006: Micro-aspects of Monetary Policy: Lender of Last Resort and Selection of Banks in Pre-war Japan (Published in "Explorations in Economic History", October 2007, v. 44, iss. 4, pp. 657-79. )

Tetsuji Okazaki

2006: Thermodynamic Limits of Macroeconomic or Financial Models: One-and Two-Parameter Poisson-Dirichlet Models (Forthcoming in "Journal of Economic Dynamics and Control", 2007. )

Masanao Aoki

2006: On the Consumption Insurance Effects of Long-term Care Insurance In Japan: Evidence from Micro Household Data

Yasushi Iwamoto, Miki Kohara and Makoto Saito

2006: On the Determinants of Exporters' Currency Pricing: History vs. Expectations (Subsequently published in "Journal of the Japanese and International Economies", Vol.18, No.4, December 2006, pp.548-568. )

Shin-ichi Fukuda and Masanori Ono

2006: Post-crisis Exchange Rate Regimes in ASEAN:A New Empirical Test Based on Intra-daily Data (Forthcoming in "Singapore Economic Review". )

Shin-ichi Fukuda and Sanae Ohno

2006: The Role of Trade Credit for Small Firms: An Implication from Japan's Banking Crisis

Shin-ichi Fukuda, Munehisa Kasuya and Kentaro Akashi

2006: The Impacts of "Shock Therapy" on Large and Small Clients:Experiences from Two Large Bank Failures in Japan (Forthcoming in "Pacific-Basin Finance Journal". )

Shin-ichi Fukuda and Satoshi Koibuchi

2006: A Factor Allocation Approach to Optimal Bond Portfolio (Revised in March 2008, Published in "Asia-Pacific Financial Markets", Vol.14-4, 299-324, 2007. )

Keita Nakayama and Akihiko Takahashi

2006: Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence (Published in "Management Science", Vol. 53, No. 11, November 2007, pp. 1793.1814. )

Alex W.H. Chan and Nai-fu Chen

2006: The Welfare Enhancing Effects of a Selfish Government in the Presence of Uninsuarable, Idiosyncratic Risk

R. Braun and Harald Uhlig

2006: Selection and Performance Analysis of Asia-Pacific Hedge Funds (Revised in November 2007, Published in "The Journal of Alternative Investments", Vol.10-3, 7-29, Winter 2007. )

Takeshi Hakamada, Akihiko Takahashi and Kyo Yamamoto

2006: A Dynamic Theory of Debt Restructuring

Hisashi Nakamura

2006: Policy Options for Financing the Future Health and Long-term Care Costs in Japan (Subsequently published in "Fiscal Policy and Management in East Asia", Takatoshi Ito and Andrew Rose eds., University of Chicago Press, 2007, pp. 415-442.)

Tadashi Fukui and Yasushi Iwamoto

2006: Asset Pricing With Multiplicative Habit and Power-Expo Preferences (Subsequently published in "Economics Letters", 2007, 94(3), 319-325. )

William T. Smith and Qiang Zhang

2006: The Spirit of Capitalism and Asset Pricing: an Empirical Investigation (Subsequently published in "The B.E. Journal of Macroeconomics (Topics in Macroeconomics)", 2006, Vol. 6, Issue 3, Article 1, 1-23. )

Qiang Zhang

2006: A Continuous-Time Analysis of Optimal Defaultable Debt Contracts: Theory and Applications

Hisashi Nakamura

2006: Relative Performance Evaluation between Multitask Agents

Hitoshi Matsushiima

2006: Banking in General Equilibrium with an Application to Japan

R. Braun and Max Gillman

2006: A New Approach to Modeling Early Warning Systems for Currency Crises: can a machine-learning fuzzy expert system predict the currency crises effectively?

Chin-Shien Lin, Haider Khan, Ying-Chieh Wang and Ruei-Yuan Chang

2006: Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System (Subsequently published in "Journal of the Japanese and International Economies", Volume 20, Issue 4, December 2006, pp. 637-664. )

Takatoshi Ito and Yuko Hashimoto

2006: Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through (Subsequently published in "Journal of Money, Credit and Banking", Volume 40, Issue 7, October 2008, pp. 1407-1438. )

Takatoshi Ito and Kiyotaka Sato

2006: Role of Honesty in Full Implementation ( Revised version of CARF-F-015(2004) )

Hitoshi Matsushima

2006: Value Relevance of the Multi-step Income Statement in Japan

Takashi Obinata and Kazuyuki Suda

2006: Collective Risk Control And Group Security: The Unexpected Consequences of Differential Risk Aversion

Toshihiro Ihori and Martin McGuire

2006: Role of Linking Mechanisms in Multitask Agency with Hidden Information ( Revised as CARF-F-209(2010) )

Hitoshi Matsushima, Koichi Miyazaki and Nobuyuki Yagi

2006: "Effects of a bank consolidation promotion policy: Evaluating Bank Law in 1927 Japan";forthcoming in Financial History Review (Published in "Financial History Review", April 2007, v. 14, iss. 1, pp. 29-61. )

Tetsuji Okazaki and Michiru Sawada

2006: Micro-aspects of Monetary Policy in Pre-war Japan: Lender of Last Resort and Selection of Banks ( Revised as CARF-F-084(2006): Subsequently published in "Explorations in Economic History", October 2007, v. 44, iss. 4, pp. 657-79. )

Tetsuji Okazaki

2006: The Adjusted Solow Residual and Asset Returns (Subsequently published in "Eastern Economic Journal", 2007, 33,(2), pp. 231-255. )

Mark Lee