CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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2005: Sustainability, Debt Management, and Public Debt Policy in Japan

Takero Doi, Toshihiro Ihori and Kiyoshi Mitsui

2005: Trade Credit, Bank Loans, and Monitoring: Evidence from Japan

Yoshiro Miwa and John Ramseyer

2005: Monetary Shocks in a Model with Loss of Skills (Revised in February 2009)

Julen Esteban-Pretel and Elisa Faraglia

2005: The Fall of "Organ Bank" Relationships During the Wave of Bank Failures and Consolidations: Experience in Pre-war Japan (Published in "Corporate Ownership and Control" 4(4): 20-29, 2007. )

Tetsuji Okazaki, Michiru Sawada and Ke Wang

2005: Precautionary Saving under Liquidity Constraints: Evidence from Rural Pakistan (Published in "Journal of Development Economics". )

Mark Lee and Yasuyuki Sawada

2005: Mechanism Design with Side Payments: Individual Rationality and Iterative Dominance ( Published in "Journal of Economic Theory" (as a regular article). )

Hitoshi Matsushima

2005: The Bank of Japan's Struggle with the Zero Lower Bound on Nominal Interest Rates: Exercises in Expectations Management (subsequently published in "International Finance", Summer 2005, Vol. 8, No. 2, 329-350. )

Kazuo Ueda

2005: The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market (subsequently published in "International Journal of Central Banking", March 2006, Vol.2, No. 1, 105-136. )

Naohiko Baba, Motoharu Nakashima, Yosuke Shigemi and Kazuo Ueda

2005: Multi-Period Corporate Default Prediction With Stochastic Covariates

Darrell Duffie, Leandro Saita and Ke Wang

2005: Public Debt and Economic Growth in an Aging Japan

Toshihiro Ihori, Ryuta Kato, Masumi Kawade and Shun-ichiro Bessho

2005: Scanning Multivariate Conditional Densities with Probability Integral Transforms

Isao Ishida

2005: A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach (Special Issue on Mathematical Finance, Published in "Asia-Pacific Financial Markets", Vol.11, 393-430, 2006. )

Matsuoka Ryosuke, Akihiko Takahashi and Yoshihiko Uchida

2005: Interaction between Monetary and Fiscal Policy and the Policy Mix, Theoretical Consideration and Japanese Experience

Yasushi Iwamoto

2005: Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies Undergoing Financial Distress (Subsequently published in "Journal of the Asia Pacific Economy" Vo.11, No.4, December 2006, pp.482-501. )

Shin-ichi Fukuda, Munehisa Kasuya and Jouchi Nakajima

2005: A Theory of International Currency and Seigniorage Competition

Yiting Li and Akihiko Matsui

2005: The Market Structure of Nasdaq Dealer Markets and Quoting Conventions

Joe Chen

2005: Measuring the Extent and Implications of Director Interlocking in the Pre-war Japanese Banking Industry ?Published in "Journal of Economic History", Dec2005, Vol. 65 Issue 4, p1082-1115, 34p. ?

Tetsuji Okazaki, Michiru Sawada and Kazuki Yokoyama

2005: The Impacts of "Shock Therapy" under a Banking Crisis: Experiences from Three Large Bank Failures in Japan (Subsequently published in "Japanese Economic Review" Vol. 57, No. 2 (Jan. 2006), pp.232-246. )

Shin-ichi Fukuda and Satoshi Koibuchi

2005: A New Technique for Proving the Existence of Monetary Equilibria in Matching Models with Divisible Money

Kazuya Kamiya and Takashi Shimizu

2005: Large Market Design in Dominance

Hitoshi Matsushima

2005: Monetary Policy during Japan's Lost Decade

R. Braun and Yuichiro Waki

2005: The Bank of Japan's Monetary Policy and Bank Risk Premiums in the Money Market (Subsequently published in "International Journal of Central Banking", March 2006, Vol.2, No. 1, 105-136. )

Naohiko Baba, Motoharu Nakashima, Yosuke Shigemi and Kazuo Ueda

2005: A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach ( Revised as CARF-F-044(2005); Published in "FSA Research Review", 72-108, 2005. ?

Ryosuke Matsuoka, Akihiko Takahashi and Yoshihiko Uchida

2005: Style Analysis Based on a General State Space Model and Monte Carlo Filter (Revised in May 2007)

Takao Kobayashi, Seisho Sato and Akihiko Takahashi

2005: The Effects of the Bank of Japan's Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro-Finance Approach (subsequently published in "The Japanese Economic Review", September 2007, Vol. 58, No. 3, 303-328)

Nobuyuki Oda and Kazuo Ueda

2005: Monte Carlo Simulation with Asymptotic Method (Published in "Journal of Japan Statistical Society", Vol.35-2, 171-203, 2005. )

Akihiko Takahashi and Nakahiro Yoshida

2005: Bank Health and Investment: An Analysis of Unlisted Companies in Japan

Shin-ichi Fukuda, Munehisa Kasuya and Jouchi Nakajima

2005: Saving and Interest Rates in Japan: Why They Have Fallen and Why They Will Remain Low

R. Braun, Daisuke Ikeda and Douglas H. Joines

2005: Institutional and Financial Determinants of Development: New Evidence from Advanced and Emerging Markets

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

2005: How does Ownership Structure Affect the Timing of New Product Introductions? Evidence from the U.S. Video Game Market

Hiroshi Ohashi

2005: On the Role of Tax-Subsidy Scheme in Money Search Models (Subsequently published in "International Economic Review" 48, 2007, 575-606. )

Kazuya Kamiya and Takashi Shimizu

2005: Risk, Transaction Costs, and Geographic Distribution of Share Tenancy: A Case of Pre-War Japan

Yutaka Arimoto, Tetsuji Okazaki and Masaki Nakabayashi

2005: The Genesis and the Development of the Pre-war Japanese Stock Market ?Published in "Economic Review (Keizai Kenkyu)", January 2005, v. 56, iss. 1, pp. 15-29. ?

Yasushi Hamao, Takeo Hoshi and Tetsuji Okazaki

2005: Testing for the Null Hypothesis of Cointegration with Structural Breaks (Subsequently published in "Econometric Reviews", Volume 26, Issue 6 November 2007, pages 705 - 739. )

Yoichi Arai and Eiji Kurozumi

2005: Exchange Rate Misalignment: A New Test of Long-Run PPP Based on Cross-Country Data (Subsequently published in "Applied Financial Economics", 16, 127-134, 2006. )

Pan A. Yotopoulos and Yasuyuki Sawada

2005: Estimation of Covariance Matrices in Fixed and Mixed Effects Linear Models (Subsequently published in "Journal of Multivariate Analysis", 97, 2242-2261, 2006. )

Tatsuya Kubokawa and Ming-Tien Tsai

2005: Are People Insured Against Natural Disasters? Evidence from the Great Hanshin-Awaji (Kobe) Earthquake in 1995

Yasuyuki Sawada and Satoshi Shimizutani

2004: Industrial Finance Before the Financial Revolution: Japan at the Turn of the Last Century (Subsequently published in "Explanations in Economic History", 2005, vol. 43, 94-118. )

Yoshiro Miwa and John Ramseyer

2004: Holding Company and Bank: An Historical Comparative Perspective on Corporate Governance in Japan, subsequently published in "Seoul Journal of Economics", 2004, vol.17-3. )

Tetsuji Okazaki

2004: Effects of Bank Consolidation Promotion Policy: Evaluating the Bank Law in 1927 Japan ( Revised as CARF-F-058 (2006); Published in "Financial History Review", April 2007, v. 14, iss. 1, pp. 29-61. )

Michiru Sawada and Tetsuji Okazaki

2004: Non-Consequential Moral Preferences, Detail-Free Implementation, and Representative Systems ( Revised as CARF-F-062(2006) )

Hitoshi Matsushima

2004: Testing for Linearity in Regressions with I (1) processes

Yoichi Arai

2004: Dynamic Optimality of Yield Curve Strategies (Published in "International Review of Finance", Vol.4, 49-78, 2003. )

Takao Kobayashi, Akihiko Takahashi and Norio Tokioka

2004: New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation (Revised in June 2005, subsequently published in "Advances in Mathematical Economics", Vol.8, 411-431, 2006. )

Akihiko Takahashi and Yoshihiko Uchida

2004: Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )

Yasuhiro Omori, Siddhartha Chib, Neil Shephard and Jouchi Nakajima

2004: On Detail-Free Mechanism Design and Rationality

Hitoshi Matsushima

2004: Decentralized Trade, Random Utility and the Evolution of Social Welfare ("Journal of Economic Theory", 2008, Vol.140,.No. 1, 328-338. )

Michihiro Kandori, Roberto Serrano and Oscar Volij

2004: On the Existence of Single-Price Equilibria in a Matching Model with Divisible Money and Production Cost ("International Journal of Economic Theory" Volume 1, Issue 3, September 2005, Pages: 219-231. )

Kazuya Kamiya, Noritsugu Morishita and Takashi Shimizu

2004: Large Auction Design in Dominance

Hitoshi Matsushima

2004: The Fable of the Keiretsu, and Other Tales of Japan We Wish Were True

Yoshiro Miwa and John Ramseyer

2004: "Capital Accumulation and the Local Economy: Brewers and Local Notables"; forthcoming in Tanimoto, Masayuki ed, The Role of Tradition in Japan's Industrialization, Oxford University Press

Masayuki Tanimoto

2004: Cost of Enforcement in Developing Countries with Credit Market Imperfection

Munetomo Ando and Noriyuki Yanagawa

2004: Foreign Technology Acquisition Policy and Firm Performance in Japan, 1957-1970: The Japanese Industrial Policy Revisited (Published in "International Journal of Industrial Organization", Sep2005, Vol. 23 Issue 7/8, p563-586. )

Kozo Kiyota and Tetsuji Okazaki

2004: Empirical Likelihood Estimation of Levy Processes (Revised in March 2005)

Naoto Kunitomo and Takashi Owada

2004: The Choice of Invoice Currency under Uncertainty: Theory and Evidence from Korea (Subsequently published in "Journal of the Korean Economy" Vol.6 No.2 Fall 2005. )

Shin-ichi Fukuda and Masanori Ono