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...

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...

Typically, when using econometric techniques to forecast economic variables, estimation is carried out on a forecasting model that is built upon some assumed economic structure, based upon a priori knowledge and economic principles. However, such techniques cannot avoid running into the...

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...