Bank of Japan

Displaying 1-23 of 23 results

  • White Papers // Mar 2011

    Equity Sales And Manager Efficiency Across Firms And The Business Cycle

    Smaller firms sell more equity in response to expansions than do larger firms. Also, consumption is more pro-cyclical for high income groups than others. In this paper, the authors present a model that captures key features of both of these patterns found in recent empirical studies. Managers own firms with...

    Provided By Bank of Japan

  • White Papers // Mar 2011

    Capital Injection, Monetary Policy, And Financial Accelerators

    The authors evaluate the implications of spread-adjusted Taylor rules and capital injection policies in response to adverse shocks to the economy, using a variant of the financial accelerator model. This model comprises the two credit-constrained sectors that raise external finance under the credit market imperfection: Financial Intermediaries (FIs) and entrepreneurs....

    Provided By Bank of Japan

  • White Papers // Feb 2011

    Financial Integration And Cooperation In East Asia: Assessment Of Recent Developments And Their Implications

    This paper examines the current situation pertaining to trade and financial integration in East Asia from various approaches and discusses potential linkages between intra-regional trade and financial integration. This paper also offers policy suggestions based upon its analyses that take full account of the post-global crisis policy landscape. The main...

    Provided By Bank of Japan

  • White Papers // Jan 2011

    Macro-Financial Linkage And Financial Deepening In China After The Global Financial Crisis

    As China's economic integration with the global economy deepens, the amount of capital flow to/from China has been increasing significantly, especially since it joined the WTO. In spite of such environment, the recent global financial crisis has not severely affected the Chinese financial markets because of China's relatively strict control...

    Provided By Bank of Japan

  • White Papers // Jan 2011

    Will A Growth Miracle Reduce Debt In Japan?

    Japan has the highest debt to GDP ratio among the developed nations. In addition, the population is projected to age rapidly over the next few decades, which will significantly increase the ratio of government expenditures to GDP. In this paper, the authors explore the effect of economic growth driven by...

    Provided By Bank of Japan

  • White Papers // Nov 2010

    Sources Of Disagreement In Inflation Forecasts: A Cross-Country Empirical Investigation

    Central to the conduct of monetary policy is the preparation and evaluation of inflation forecasts. Inflation forecast are, however, not unique. Central banks, professional organizations, international institutions, households and firms also generate forecasts of inflation, among other macroeconomic variables that reflect the expected state of the economy. This paper estimates...

    Provided By Bank of Japan

  • White Papers // Oct 2010

    The Role Of Monetary Policy Uncertainty In The Term Structure Of Interest Rates

    The authors examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. In contrast to the assumption of many macro-finance models, policy-shock processes appear to be time varying and persistent. They allow for this heteroskedasticity by constructing a no-arbitrage GARCH affine term structure model, in which policy-shock volatility...

    Provided By Bank of Japan

  • White Papers // Sep 2010

    Productivity And Fiscal Policy In Japan: Short Term Forecasts From The Standard Growth Model

    Japan is facing severe fiscal challenges. The aging of the population is projected to raise total pension and health expenditures. There is already a huge debt to output ratio which is the highest in advanced economies. In this paper the authors ask 'If the consumption tax rate is raised to...

    Provided By Bank of Japan

  • White Papers // Jul 2010

    Financial Regulation Going Forward

    The financial sector is heavily regulated in order to prevent financial crises. The recent crisis showed how ineffective this regulation and other types of government intervention were in achieving this aim. The authors argue that the crisis was primarily caused by housing price bubbles. These occurred because of too loose...

    Provided By Bank of Japan

  • White Papers // Jun 2010

    Accelerated Investment And Credit Risk Under A Low Interest Rate Environment: A Real Options Approach

    Empirical studies have found that a low interest rate environment accelerates firms' investment and debt financing, leading to subsequent balance sheet problems in many countries in recent years. The authors examine the mechanism whereby firm's debt financing and investment become more accelerated and the credit risk rises under a low...

    Provided By Bank of Japan

  • White Papers // Mar 2010

    The Effects Of Monetary Policy Commitment: Evidence From Time-Varying Parameter VAR Analysis

    In this paper, the authors explore the effects of the Bank of Japan's (BOJ's) policy commitment under zero interest rates on the economy, by considering the transmission channel of altering private-sector expectations. To that end, they carry out a structural vector autoregression analysis on macroeconomic variables and private-sector expectations variables,...

    Provided By Bank of Japan

  • White Papers // Feb 2010

    Booms And Busts In Asset Prices

    The authors show how low-frequency boom and bust cycles in asset prices can emerge from Bayesian learning by investors. Investors rationally maximize infinite horizon utility but hold subjective priors about the asset return process that they allow to differ infinitesimally from the rational expectations prior. Bayesian updating of return beliefs...

    Provided By Bank of Japan

  • White Papers // Nov 2009

    Accounting For Japanese Business Cycles: A Quest For Labor Wedges

    A key feature of the Japanese business cycles over the 1980-2007 period is that the fluctuation of total hours worked leads the fluctuation of output. A canonical real business cycle model cannot account for this fact. This paper uses the business cycle accounting method introduced by Chari, Kehoe and McGrattan...

    Provided By Bank of Japan

  • White Papers // Nov 2009

    International Business Cycle Accounting

    In this paper, the author extends the business cycle accounting method a la Chari, Kehoe and McGrattan (2007) to a two-country international business cycle model and quantifies the effect of the disturbances in relevant markets on the business cycle correlation between Japan and the US over the 1980-2008 periods. This...

    Provided By Bank of Japan

  • White Papers // Sep 2009

    Asset Prices And Monetary Policy

    How should central banks take into account movements in asset prices in the conduct of monetary policy? The findings are twofold. First, in the presence of these two sources of distortion in the economy, central banks face a policy tradeoff between stabilizing inflation and the output gap. With this tradeoff,...

    Provided By Bank of Japan

  • White Papers // Sep 2009

    Part-Paid Stock, Corporate Finance, And Investment: Economic Consequences Of The Part-Paid Stock System And Supplementary Installments In The Early 1930s Of Japan

    Under Japan's prewar capital stock system of joint-stock companies, rather than paying the full face value of a share in one lump sum, shareholders paid for stocks in multiple installments. This system was transplanted from industrialized Western nations during the Meiji Era to make it easier for investors to buy...

    Provided By Bank of Japan

  • White Papers // Aug 2009

    Credit Conditions Of Financial Intermediaries And Entrepreneurs And Financial Accelerators (Preliminary)

    Based on financial accelerator model of Bernanke et al. (1999), the authors dynamic general equilibrium model in which Financial Intermediaries (hereafter FIs) as well as entrepreneurs are subject to credit constraints. The authors study the effect of interactions between these two borrowing sectors on the financial accelerator mechanism. Calibrated to...

    Provided By Bank of Japan

  • White Papers // Jun 2009

    Credit Spread And Monetary Policy

    Recent studies argue that the Spread-adjusted Taylor Rule (STR), which includes a response to the credit spread, replicates monetary policy in the United State. The authors show STR is a theoretically optimal monetary policy under heterogeneous loan interest rate contracts in both discretionary and commitment monetary policies, however, the optimal...

    Provided By Bank of Japan

  • White Papers // Jun 2009

    Did The Structure Of Trade And Foreign Debt Affect Reserve Currency Composition? Evidence From Interwar Japan

    Historical experience is often invoked in the modern debate on competition among reserve currencies, yet little is known about quantitative aspects or institutional features of reserve management. By drawing on newly obtained data on foreign exchange reserves, especially those broken down by currency, this paper explores the competition between the...

    Provided By Bank of Japan

  • White Papers // May 2009

    Bayesian Analysis Of Time-Varying Parameter Vector Autoregressive Model For The Japanese Economy And Monetary Policy

    This paper analyzes the Time-Varying Parameter Vector Autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the Japanese economy and monetary policy during the period from...

    Provided By Bank of Japan

  • White Papers // Mar 2009

    Dynamic Model Of Credit Risk In Relationship Lending: A Game-Theoretic Real Options Approach

    The authors develop a dynamic credit risk model for the case that banks compete to collect their loans from a firm falling in danger of bankruptcy. They apply a game-theoretic real options approach to investigate bank's optimal strategies. This model reveals that the bank with the larger loan amount, namely...

    Provided By Bank of Japan

  • White Papers // Mar 2009

    Determinants Of Households' Inflation Expectations

    In this paper, the authors investigate the determinants of households' inflation expectations in Japan and the United States. They estimate a vector autoregression model in which the four endogenous variables are inflation expectations, inflation, the short-term nominal interest rate and the output gap, with energy prices and (fresh) food prices...

    Provided By Bank of Japan

  • White Papers // Dec 2008

    Optimal Monetary Policy Under Imperfect Financial Integration

    After empirically showing imperfect financial integration among the euro countries, i.e., bank loan market heterogeneities in stickiness's of loan interest rates and markups from policy interest rate to loan rates, the authors build a New Keynesian model where such elements of imperfect financial integration coexist within a single currency area....

    Provided By Bank of Japan

  • White Papers // Jul 2010

    Financial Regulation Going Forward

    The financial sector is heavily regulated in order to prevent financial crises. The recent crisis showed how ineffective this regulation and other types of government intervention were in achieving this aim. The authors argue that the crisis was primarily caused by housing price bubbles. These occurred because of too loose...

    Provided By Bank of Japan

  • White Papers // Dec 2008

    Optimal Monetary Policy Under Imperfect Financial Integration

    After empirically showing imperfect financial integration among the euro countries, i.e., bank loan market heterogeneities in stickiness's of loan interest rates and markups from policy interest rate to loan rates, the authors build a New Keynesian model where such elements of imperfect financial integration coexist within a single currency area....

    Provided By Bank of Japan

  • White Papers // Mar 2009

    Dynamic Model Of Credit Risk In Relationship Lending: A Game-Theoretic Real Options Approach

    The authors develop a dynamic credit risk model for the case that banks compete to collect their loans from a firm falling in danger of bankruptcy. They apply a game-theoretic real options approach to investigate bank's optimal strategies. This model reveals that the bank with the larger loan amount, namely...

    Provided By Bank of Japan

  • White Papers // Mar 2009

    Determinants Of Households' Inflation Expectations

    In this paper, the authors investigate the determinants of households' inflation expectations in Japan and the United States. They estimate a vector autoregression model in which the four endogenous variables are inflation expectations, inflation, the short-term nominal interest rate and the output gap, with energy prices and (fresh) food prices...

    Provided By Bank of Japan

  • White Papers // May 2009

    Bayesian Analysis Of Time-Varying Parameter Vector Autoregressive Model For The Japanese Economy And Monetary Policy

    This paper analyzes the Time-Varying Parameter Vector Autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the Japanese economy and monetary policy during the period from...

    Provided By Bank of Japan

  • White Papers // Jun 2009

    Credit Spread And Monetary Policy

    Recent studies argue that the Spread-adjusted Taylor Rule (STR), which includes a response to the credit spread, replicates monetary policy in the United State. The authors show STR is a theoretically optimal monetary policy under heterogeneous loan interest rate contracts in both discretionary and commitment monetary policies, however, the optimal...

    Provided By Bank of Japan

  • White Papers // Jun 2009

    Did The Structure Of Trade And Foreign Debt Affect Reserve Currency Composition? Evidence From Interwar Japan

    Historical experience is often invoked in the modern debate on competition among reserve currencies, yet little is known about quantitative aspects or institutional features of reserve management. By drawing on newly obtained data on foreign exchange reserves, especially those broken down by currency, this paper explores the competition between the...

    Provided By Bank of Japan

  • White Papers // Sep 2009

    Asset Prices And Monetary Policy

    How should central banks take into account movements in asset prices in the conduct of monetary policy? The findings are twofold. First, in the presence of these two sources of distortion in the economy, central banks face a policy tradeoff between stabilizing inflation and the output gap. With this tradeoff,...

    Provided By Bank of Japan

  • White Papers // Sep 2009

    Part-Paid Stock, Corporate Finance, And Investment: Economic Consequences Of The Part-Paid Stock System And Supplementary Installments In The Early 1930s Of Japan

    Under Japan's prewar capital stock system of joint-stock companies, rather than paying the full face value of a share in one lump sum, shareholders paid for stocks in multiple installments. This system was transplanted from industrialized Western nations during the Meiji Era to make it easier for investors to buy...

    Provided By Bank of Japan

  • White Papers // Nov 2009

    Accounting For Japanese Business Cycles: A Quest For Labor Wedges

    A key feature of the Japanese business cycles over the 1980-2007 period is that the fluctuation of total hours worked leads the fluctuation of output. A canonical real business cycle model cannot account for this fact. This paper uses the business cycle accounting method introduced by Chari, Kehoe and McGrattan...

    Provided By Bank of Japan

  • White Papers // Nov 2009

    International Business Cycle Accounting

    In this paper, the author extends the business cycle accounting method a la Chari, Kehoe and McGrattan (2007) to a two-country international business cycle model and quantifies the effect of the disturbances in relevant markets on the business cycle correlation between Japan and the US over the 1980-2008 periods. This...

    Provided By Bank of Japan

  • White Papers // Feb 2010

    Booms And Busts In Asset Prices

    The authors show how low-frequency boom and bust cycles in asset prices can emerge from Bayesian learning by investors. Investors rationally maximize infinite horizon utility but hold subjective priors about the asset return process that they allow to differ infinitesimally from the rational expectations prior. Bayesian updating of return beliefs...

    Provided By Bank of Japan

  • White Papers // Mar 2010

    The Effects Of Monetary Policy Commitment: Evidence From Time-Varying Parameter VAR Analysis

    In this paper, the authors explore the effects of the Bank of Japan's (BOJ's) policy commitment under zero interest rates on the economy, by considering the transmission channel of altering private-sector expectations. To that end, they carry out a structural vector autoregression analysis on macroeconomic variables and private-sector expectations variables,...

    Provided By Bank of Japan

  • White Papers // Jun 2010

    Accelerated Investment And Credit Risk Under A Low Interest Rate Environment: A Real Options Approach

    Empirical studies have found that a low interest rate environment accelerates firms' investment and debt financing, leading to subsequent balance sheet problems in many countries in recent years. The authors examine the mechanism whereby firm's debt financing and investment become more accelerated and the credit risk rises under a low...

    Provided By Bank of Japan

  • White Papers // Sep 2010

    Productivity And Fiscal Policy In Japan: Short Term Forecasts From The Standard Growth Model

    Japan is facing severe fiscal challenges. The aging of the population is projected to raise total pension and health expenditures. There is already a huge debt to output ratio which is the highest in advanced economies. In this paper the authors ask 'If the consumption tax rate is raised to...

    Provided By Bank of Japan

  • White Papers // Oct 2010

    The Role Of Monetary Policy Uncertainty In The Term Structure Of Interest Rates

    The authors examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. In contrast to the assumption of many macro-finance models, policy-shock processes appear to be time varying and persistent. They allow for this heteroskedasticity by constructing a no-arbitrage GARCH affine term structure model, in which policy-shock volatility...

    Provided By Bank of Japan

  • White Papers // Nov 2010

    Sources Of Disagreement In Inflation Forecasts: A Cross-Country Empirical Investigation

    Central to the conduct of monetary policy is the preparation and evaluation of inflation forecasts. Inflation forecast are, however, not unique. Central banks, professional organizations, international institutions, households and firms also generate forecasts of inflation, among other macroeconomic variables that reflect the expected state of the economy. This paper estimates...

    Provided By Bank of Japan

  • White Papers // Jan 2011

    Macro-Financial Linkage And Financial Deepening In China After The Global Financial Crisis

    As China's economic integration with the global economy deepens, the amount of capital flow to/from China has been increasing significantly, especially since it joined the WTO. In spite of such environment, the recent global financial crisis has not severely affected the Chinese financial markets because of China's relatively strict control...

    Provided By Bank of Japan

  • White Papers // Jan 2011

    Will A Growth Miracle Reduce Debt In Japan?

    Japan has the highest debt to GDP ratio among the developed nations. In addition, the population is projected to age rapidly over the next few decades, which will significantly increase the ratio of government expenditures to GDP. In this paper, the authors explore the effect of economic growth driven by...

    Provided By Bank of Japan

  • White Papers // Feb 2011

    Financial Integration And Cooperation In East Asia: Assessment Of Recent Developments And Their Implications

    This paper examines the current situation pertaining to trade and financial integration in East Asia from various approaches and discusses potential linkages between intra-regional trade and financial integration. This paper also offers policy suggestions based upon its analyses that take full account of the post-global crisis policy landscape. The main...

    Provided By Bank of Japan

  • White Papers // Mar 2011

    Equity Sales And Manager Efficiency Across Firms And The Business Cycle

    Smaller firms sell more equity in response to expansions than do larger firms. Also, consumption is more pro-cyclical for high income groups than others. In this paper, the authors present a model that captures key features of both of these patterns found in recent empirical studies. Managers own firms with...

    Provided By Bank of Japan

  • White Papers // Mar 2011

    Capital Injection, Monetary Policy, And Financial Accelerators

    The authors evaluate the implications of spread-adjusted Taylor rules and capital injection policies in response to adverse shocks to the economy, using a variant of the financial accelerator model. This model comprises the two credit-constrained sectors that raise external finance under the credit market imperfection: Financial Intermediaries (FIs) and entrepreneurs....

    Provided By Bank of Japan

  • White Papers // Aug 2009

    Credit Conditions Of Financial Intermediaries And Entrepreneurs And Financial Accelerators (Preliminary)

    Based on financial accelerator model of Bernanke et al. (1999), the authors dynamic general equilibrium model in which Financial Intermediaries (hereafter FIs) as well as entrepreneurs are subject to credit constraints. The authors study the effect of interactions between these two borrowing sectors on the financial accelerator mechanism. Calibrated to...

    Provided By Bank of Japan