Contingent capital (CC) is a bond that automatically converts into common stock when equity capital is impaired. This paper analyzes the determinants of the interest rate at which CC is issued and discusses the impacts of CC issuance on other financial markets. The paper shows that Japanese...

We construct a local Asian model, including the United States. We obtain structural parameters by estimation or calibration. We examine transmission of demand and exchange rate shocks over Asia and the United States. We also simulate the depreciation of Asian currencies beginning in 1997.

A new technique to estimate simultaneously the potential output and Phillips curve is demonstrated. Here we define the potential output as the non-accelerating-inflation level of output (NLO). The NLO is not a mere trend of the actual output, but rather is a critical level of output with the...

This paper shows how purchasing power parity (PPP) can be used to construct a measure for inflation expectations and discusses the properties of this measure from both a theoretical and an empirical perspective. Under the PPP hypothesis, inflation expectations in one country are equal to...

This paper demonstrates the time-varying NAIRU approach for estimation of the potential rate of growth, where the latter is defined as the growth rate at which the inflation rate would be neither accelerating nor decelerating. We show theoretically that this inflation-neutral potential rate of...

This paper introduces financial cycle indexes and uses them in an early warning exercise. The indexes are based on the traditional theory of business cycles. Juglar cycles are deduced from a number of financial indicators, categorized as leading and lagging indicators, and aggregated into...

This paper constructs an econometric model that describes the relationships in the Asia-Pacific region and gives quantitative insights into the recent policy debates on policy coordination among the East Asian economies. The model includes various monetary and currency policy rules that the...

The purpose of this paper is to apply spatial econometrics, a new statistical tool that has recently attracted much attention, to Japanese land-price data and investigate how land-price movements are determined in Japan. A strong emphasis is put on measuring the degree of spatial correlation of...