This paper offers three analyses of Japan's macroeconomic experience during the post-1990 period. First, we analyze various facets of deflation during the period, arguing that the deflation of general prices has by no means been a major factor for the stagnating economy. In contrast, the...

This paper surveys the empirical analyses that examine the effects of the Bank of Japan's (BOJ's) quantitative easing policy (QEP), which was implemented from March 2001 through March 2006. The survey confirms a clear effect whereby the commitment to maintain the QEP fostered the expectations...

This paper proposes a new framework for the quantitative evaluation of the credit risk of a portfolio by extending the concept of value at risk. In practice, the risk evaluation period is set individually for each transaction in the portfolio and a simulation is carried out on the movements of...

Valuation of the conversion option is essential in analyzing the market price of a convertible bond. In this paper, we use a binomial tree pricing model to derive the implied volatility of the conversion option from the past price information (time-series data for individual issues) in the...

This paper examines issues surrounding monetary policy under zero interest rates based on one and a half yearfs experience in Japan. After reviewing the market development in Japan, it summarizes the transmission mechanism of monetary policy under zero nominal interest rates, and considers what...

This paper utilizes option pricing theory to analyze bank stock prices as one method of estimating fair variable deposit insurance premium rates in accordance with individual bank default risk, and conducts empirical analyses using Japanese data. The purpose of the analyses is to discuss the...

This paper examines how public intervention (prudential policy) in the banking area should be pursued and aims at providing points for discussion in considering what kind of system should be established to promote both the efficiency and stability of banking functions. The basic thrust of the...