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...

Recent empirical literature suggests that the degree of nominal rigidities varies over monetary policy regimes. This implies that monetary policy analysis with exogenously given nominal rigidities is subject to the Lucas critique. In a Calvo-style sticky price model, we endogenize nominal...

Using the FRB/Global model on Japanese monetary policy in the early 1990s, Ahearne et al. (2002) argued that deflation could have been avoided in Japan if the BOJ had lowered short-term interest rates by a further 250 basis points at any time between 1991 and early-1995 as "insurance against...

Empirical studies report a marked dispersion in skill-premium changes across economies over the past few decades. Structural models in early studies successfully replicate the increases in skill premiums in many economies, while some other cases with a decline in the skill premium are yet to be...

This paper examines survey expectations of the yen/dollar exchange rate. We fit simple mechanisms on the survey expectations and test their rationality. We present the puzzling fact that in the 1990's the short-horizon expectations have lost their destabilizing property observed in the late...

This paper analyzes the revision to Japan's labor productivity, measured using Japan's System of National Accounts (SNA) data. We draw three main findings from our analysis. First, SNA data has been substantially revised in and after the second comprehensive revisions, as well as at the earlier...

This paper proposes a new approach for nowcasting as yet unavailable GDP growth by estimating monthly GDP growth with a large dataset. The model consists of two parts: (i) a few indicators that explain a large part of the variation in GDP growth, and (ii) principal components, which are...

This paper provides a brief explanation and a detailed documentation of the current version of the Quarterly Japanese Economic Model (Q-JEM), which has been developed and constantly updated since the mid-2000s at Research and Statistics Department, Bank of Japan. Q-JEM is a large-scale...

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...

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...