This paper analyzes Value at Risk (VaR) and Expected Shortfall (ES) calculation methods in terms of bias and dispersion against benchmarks computed from a fat-tailed parametric distribution. The daily log returns of the Nikkei-225 stock index are modeled by a truncated stable distribution. The...

The currency crisis in the 1997 diversified views on Asian economies. In one view, the ever-expanding image of Asian economies faded away, resulting in a view that Asia could never regain the power to achieve sustainable strong economic growth. In another view, Asia is still believed to continue...

This paper endeavours to provide a comprehensive analysis of the nature and the possible importance of “global excess liquidityâ€, a concept which has attracted considerable attention in recent years. The contribution of this paper is threefold. First, we present some conceptual...

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...

In money markets both inside and outside Japan, repos have been a major instrument in both borrowing and lending of cash and securities. With the recent global financial crisis in mind, discussions are taking place at international forums such as the G20 and the Financial Stability Board (FSB)...

Japan's exports have lacked momentum since the Lehman shock. In this paper, we examine export trends for the period by breaking them down into "global trade volume" and "Japan's share." This analysis finds: (1) in addition to sluggish growth for global trading activities, (2) there has been a...

We present an empirical analysis on the New Keynesian Wage Phillips Curve (NKWPC) as derived by Gali (2011) using data for Japan and the US. NKWPC provides some theoretical insights on the relationship between wage inflation and the unemployment rate. We find that the empirical performance of...

Confidence has a strong influence on security prices and volatility, but has received little attention in mainstream macroeconomics. Kamada and Miura (2014) have recently revived this concept in their double-layered model of private and public information and shown how herding behavior emerges...

In response to the financial crisis in 2008, there are growing moves around the world to enhance statistics in order to identify the buildup of risks and financial and economic vulnerabilities that would not be captured through existing data. Accordingly, the Bank of Japan (BOJ) worked to...