This paper investigates the phenomenon in which Japan's household saving rate showed a sharp decline even during the long stagnation period called "the lost decade." Our empirical results show that the sharp decline in the saving rate in the 1990's can be explained by the significant impact of...

How are Asian financial markets interlinked and how are they linked to markets in developed countries? What is the main driver of fluctuations in Asian financial markets as well as real economic activities? In order to answer these questions, we estimate the spillover index proposed by Diebold...

In this paper, I investigate the output composition of the monetary policy transmission mechanism in Japan. The predominant channel via which monetary policy affects output in Japan is usually thought to be the investment channel, namely the process whereby a change in the interest rate alters...

We measure asymmetries in the distribution of bond returns and exchange rates and test their statistical significance. Asymmetries are sizable when measured by the coefficient of skewness, a measure that is highly affected by outliers. In contrast, robustly measured asymmetries to outliers often...

In this paper, we set out the JEM (Japanese Economic Model), a large macroeconomic model of the Japanese Economy. Although the JEM is a theoretical model designed with a view to overcoming the Lucas (1976) critique of traditional large macroeconomic models, it can also be used for both...

This paper examines the effects of demographic changes in Japan upon the social security system, labor market, household savings rate, and economic growth. The results are, firstly, to confirm, in the face of these demographic changes, (1) the increasing difficulty of maintaining the current...

This paper proposes and estimates an extended shadow-rate term structure model, and uses it to extract inflation risk premia from nominal and real term structures. Our model incorporates the shadow rate and thereby explicitly takes account of the zero lower bound constraint of nominal interest...

The history of financial crises, including the recent global crisis, shows that post-financial-crisis recoveries tend to be slower than usual recoveries. Against this background lie various factors, one of which is a slowdown in productivity induced by a post-crisis deterioration in firms'...

This paper examines the major determinant of the cross-border credit flows from global banks toward 70 vis-a-vis countries in seven regions of the world. Employing a Bayesian dynamic latent factor model, we decompose the volatilities of banking flows into the contribution of the global-common...

In this paper, we investigate the impact of reforms in the banking sector and shifts of the monetary policy focus from quantitative controls to interest-rate controls on bank-lending and corporate-borrowing activities by applying a panel-data analysis of financial data of listed Chinese...