2015

IMES Discussion Paper Series (DPS) is circulated in order to stimulate discussion and comments. Views expressed in Discussion Paper Series are those of authors and do not necessarily reflect those of the Bank of Japan or the Institute for Monetary and Economic Studies.

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No./Main Category Author(s) Title/Keywords Date
2015-E-11/Finance Tetsuya Adachi, Yoshihiko Uchida Variation of Wrong-Way Risk Management and Its Impact on Security Price Changes
/Wrong-way risk; Systemic risk; Jump-diffusion process; Asset pricing; Market microstructure 		2015-07-28 543KB
2015-E-10/Economics Ichiro Fukunaga, Naoya Kato, Junko Koeda Maturity Structure and Supply Factors in Japanese Government Bond Markets
/Japanese Government Bonds; Term structure of interest rates; Preferred habitat; Unconventional monetary policy 		2015-07-28 1,370KB
2015-E-9/Economics Gauti B. Eggertsson, Neil R. Mehrotra A Model of Secular Stagnation
/Secular stagnation; monetary policy; zero lower bound 		2015-07-28 857KB
2015-E-8/Economics Antoine Martin, James McAndrews, Ali Palida, David Skeie Federal Reserve Tools for Managing Rates and Reserves
/monetary policy; fixed-rate full allocation overnight reverse repurchases; term deposit facility; interest on excess reserves; FOMC; banking 		2015-07-28 293KB
2015-E-7/Economics Marcel Fratzscher, Marco Lo Duca, Roland Straub On the International Spillovers of US Quantitative Easing
/monetary policy; quantitative easing; portfolio choice; capital flows; Federal Reserve; United States; policy responses; emerging markets; panel data 		2015-07-28 389KB
2015-E-6/Economics Yildiz Akkaya, Refet S. Gurkaynak, Burcin Kisacikoglu, Jonathan H. Wright Forward Guidance and Asset Prices
/Forward guidance; zero lower bound; term structure; event study 		2015-07-28 330KB
2015-E-5/Economics Barry Eichengreen Wall of Worries: Reflections on the Secular Stagnation Debate
/Secular stagnation; Real interest rates; Economic growth 		2015-06-29 262KB
2015-E-4/Finance Frank J. Fabozzi, Rosella Giacometti, Naoshi Tsuchida The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads
/independent component analysis (ICA); credit default swap (CDS); Eurozone sovereign debt crisis; redenomination risk 		2015-06-12 511KB
2015-E-3/Economics Eri Egawa, Akira Otani, Toshiyuki Sakiyama What Determines Institutional Arrangements for Macroprudetial Policy?
/Macroprudential policy; Ordered probit analyses; Institutional arrangements; Financial stability committee 		2015-06-12 292KB
2015-E-2/Economics Kiminori Matsuyama, Iryna Sushko, Laura Gardini Revisiting the Model of Credit Cycles with Good and Bad Projects
/borrower net worth; composition of credit flows; financial instability; corridor stability; asymmetric cycles; regime-switching; bifurcation analysis of a piecewise smooth nonlinear dynamical system 		2015-02-13 696KB
2015-E-1/Finance Toshinao Yoshiba Risk Aggregation with Copula for Banking Industry
/copula; multivariate distribution; tail dependence; risk aggregation; economic capital 		2015-01-26 170KB
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