The Japanese economy experienced a prolonged period of quantitative easing (QE) over the five years from March 2001 to March 2006. The purpose of this paper is to evaluate the direct and exclusive effects of this rather unconventional monetary policy on financial markets, economic activity, and...

The Japanese economy experienced a prolonged period of quantitative easing (QE) over the five years from March 2001 to March 2006. The purpose of this paper is to evaluate the direct and exclusive effects of this rather unconventional monetary policy on financial markets, economic activity, and...

This paper examines the pricing of month-by-month time-varying risks on the Japanese stock market over the period from 1981 to 2004. Using the multivariate GARCH model, we tested the conditional version of the Sharpe-Lintner-Mossin CAPM. In contrast to previous studies, we derive and focus...

This paper investigates which US stock price index is strongly influenced by the Japanese stock markets. Our empirical tests as to the time-varying correlations derived from a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model reveal the following evidence....

This paper examines the relations between corporate profitability and capital structures of the machinery industry firms listed on the Tokyo Stock Exchange. Some theories and models predict different relations between corporate profitability and firms¡¯ capital structures. In this paper, we...