Typically, when conducting econometric forecasting, estimation is carried out on a forecasting model that is built upon some assumed economic structure. However, such techniques cannot avoid running into the possibility of misspecification, which will occur should there be some error in the...

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...

The year-on-year rate of decline in the Consumer Price Index (CPI)--excluding fresh food, since it fluctuates significantly--narrowed to -0.4 percent in April 2003. Meanwhile, the year-on-year change of the GDP deflator for the first quarter of 2003 dropped to its lowest record of -3.5 percent....

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...