IMES Discussion Paper Series

From Institute for Monetary and Economic Studies, Bank of Japan
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11-E-25: Collateral Crises

Gary Gorton and Guillermo Ordonez

11-E-24: Bubbles, Banks, and Financial Stability

Kosuke Aoki and Kalin Nikolov

11-E-23: The Role of Default in Macroeconomics

Charles A. E. Goodhart and Dimitrios Tsomocos

11-E-22: International Liquidity: The Fiscal Dimension

Maurice Obstfeld

11-E-21: Optimal Monetary Policy with Endogenous Entry and Product Variety

Florin Bilbiie, Ippei Fujiwara and Fabio Ghironi

11-E-20: Analytical Solution for the Loss Distribution of a Collateralized Loan under a Quadratic Gaussian Default Intensity Process

Satoshi Yamashita and Toshinao Yoshiba

11-E-19: A Reassessment of Japan's Big Bang Financial Regulatory Reform

Bruce E. Aronson

11-E-18: Pricing Nikkei 225 Options Using Realized Volatility

Masato Ubukata and Toshiaki Watanabe

11-E-17: Detrimental Effects of Retention Regulation: Incentives for Loan Screening in Securitization under Asymmetric Information

Masazumi Hattori and Kazuhiko Ohashi

11-E-16: Accounting for the Decline in the Velocity of Money in the Japanese Economy

Nao Sudo

11-E-15: Bank Overleverage and Macroeconomic Fragility

Ryo Kato and Takayuki Tsuruga

11-E-14: Measuring International Business Cycles by Saving for a Rainy Day

Mario Crucini and Mototsugu Shintani

11-E-13: Identification of Monetary Policy Shocks in Japan Using Sign Restrictions within the TVP-VAR Framework

Michal Franta

11-E-12: Policy Commitment and Market Expectations: Lessons Learned from Survey Based Evidence under Japan's Quantitative Easing Policy

Yoshiyuki Nakazono and Kozo Ueda

11-E-11: The World Has More Than Two Countries: Implications of Multi- Country International Real Business Cycle Models

Hirokazu Ishise

11-E-10: Capital Injection, Monetary Policy, and Financial Accelerators

Naohisa Hirakata, Nao Sudo and Kozo Ueda

11-E-09: Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications

Jouchi Nakajima

11-E-08: Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach

Jouchi Nakajima

11-E-07: Equity Sales and Manager Efficiency Across Firms and the Business Cycle

Fabio Ghironi and Karen Lewis

11-E-06: The Challenges Confronting the Banking System Reform in China: An Analysis in Light of Japan's Experience of Financial Liberalization

Kumiko Okazaki, Masazumi Hattori and Wataru Takahashi

11-E-05: Financial Integration and Cooperation in East Asia: Assessment of Recent Developments and Their Implications

Hong Bum Jang

11-E-04: Good Securitization, Bad Securitization

Guillaume Plantin

11-E-03: A Macroprudential Perspective in Central Banking

Shigenori Shiratsuka

11-E-02: Macro-financial Linkage and Financial Deepening in China after the Global Financial Crisis

Kumiko Okazaki and Tomoyuki Fukumoto

11-E-01: Will a Growth Miracle Reduce Debt in Japan?

Selahattin Imrohoroglu and Nao Sudo

10-E-26: Sources of Disagreement in Inflation Forecasts: A Cross-Country Empirical Investigation

Pierre Siklos

10-E-25: Optimal Execution of Multiasset Block Orders under Stochastic Liquidity

Naoki Makimoto and Yoshihiko Sugihara

10-E-24: The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates

Junko Koeda and Ryo Kato

10-E-23: Productivity and Fiscal Policy in Japan: Short Term Forecasts from the Standard Growth Model

Selahattin Imrohoroglu and Nao Sudo

10-E-22: How well do the sticky price models explain the disaggregated price responses to aggregate technology and monetary policy shocks?

Jouchi Nakajima, Nao Sudo and Takayuki Tsuruga

10-E-21: Future of Central Banking under Globalization: Summary of the 2010 International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan

Shigenori Shiratsuka, Wataru Takahashi, Yuki Teranishi and Kozo Ueda

10-E-20: Exorbitant Privilege and Exorbitant Duty

Pierre-Olivier Gourinchas, Helene Rey and Nicolas Govillot

10-E-19: Can Cross-Border Financial Markets Create Endogenously Good Collateral in a Crisis?

Makoto Saito, Shiba Suzuki and Tomoaki Yamada

10-E-18: Financial Regulation Going Forward

Franklin Allen and Elena Carletti

10-E-17: Globalization, Pass-Through and Inflation Dynamic

Pierpaolo Benigno and Ester Faia

10-E-16: Banking Globalization and International Business Cycles

Kozo Ueda

10-E-15: Some Alternative Perspectives on Macroeconomic Theory and Some Policy Implications

William R. White

10-E-14: The Future of Central Banking: A Lesson from United States History

Bennett McCallum

10-E-13: Do Banking Shocks Matter for the U.S. Economy?

Naohisa Hirakata, Nao Sudo and Kozo Ueda

10-E-12: A Time-Invariant Duration Policy under the Zero Lower Bound

Kozo Ueda

10-E-11: Global Liquidity Trap

Ippei Fujiwara, Tomoyuki Nakajima, Nao Sudo and Yuki Teranishi

10-E-10: Analytical Solution for Expected Loss of a Collateralized Loan: A Square-root Intensity Process Negatively Correlated with Collateral Value

Satoshi Yamashita and Toshinao Yoshiba

10-E-09: An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes

Yoshihiko Sugihara and Nobuyuki Oda

10-E-08: Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A Real Options Approach

Tetsuya Yamada

10-E-07: Partially Binding Platforms and the Advantages of Being an Extreme Candidate

Yasushi Asako

10-E-06: The Effects of Monetary Policy Commitment: Evidence from Time- varying Parameter VAR Analysis

Jouchi Nakajima, Shigenori Shiratsuka and Yuki Teranishi

10-E-05: New Keynesian Dynamics in a Low Interest Rate Environment

R. Braun and Lena Mareen Korber

10-E-04: Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard

Hiroshi Fujiki

10-E-03: The Fiscal Multiplier and Spillover in a Global Liquidity Trap

Ippei Fujiwara and Kozo Ueda

10-E-02: Booms and Busts in Asset Prices

Klaus Adam and Albert Marcet