The BOJ recently announced its intention to purchase asset backed securities (ABS) whose underlying assets are closely related to SME economic activities. One important motivation for this policy arises from the idea that utilizing modern financial tools, i.e., securitization, can be a possible...

We construct Bayesian vector autoregressive (BVAR) models optimized by the Posterior Information Criterion (PIC), in which hyper-parameters are data-determined in the same way as the lag length and trend order. We also assess the performance of the selected models by one-step ahead forecasts...

Repurchase Agreements (Repo) transactions are widely used as a risk-free means of raising or investing funds. Repo transactions can be categorized into the following two types: (i) general repos whose purpose is to borrow or lend funds, and (ii) special repos whose purpose is to borrow or lend...

A common problem in credit risk management is the estimation of probabilities of rare default events in high investment grades, when sufficient default data are not available. In addressing this issue, increasing attention has been paid to the use of continuous time Markov chains for modeling...

This paper quantitatively analyzes how firms' default rates are affected by intangible assets, which play a crucial role in business management but are difficult to assess objectively. We use intangible assets such as firms' technological capability and the qualifications of senior management,...

This paper aims to extract the expectations of market participants on the duration of the Zero Interest Rate Policy (ZIRP) by the Bank of Japan by modeling the term structure of interest rates. Under the ZIRP, particularly the short-term and medium-term interest rates are so low that we face...

This paper aims to reconsider the mechanism of the negative yen funding costs for foreign banks in the foreign exchange (FX) swap market, almost constantly observed since the adoption of the quantitative monetary easing policy in March 2001. Our main findings are as follows. First, if the...

This paper investigates the dynamics of capital structure of Japanese firms since the early 1990s to shed light on how far the reduction of excess leverage has progressed so far in Japan. Our main findings are as follows. First, the trade-off theory provides an appropriate framework to assess...

This paper aims to analyze risk premium of corporate bonds considering skewness as an additional risk factor under a portfolio selection framework. With skewness, risk premium can be expressed as a weighted average of beta-risk under the orthodox beta-CAPM and gamma-risk arising from skewness....