Using the firm-level data of the "Corporate Enterprise Annual Statistics (hojin kigyo tokei nenpo)", in this paper I investigate the capital investment behavior of Japanese firms. I focus on the second-half of 1980s, and begin what I anticipate will become a full-fledged study of corporate...

This paper shows that the Japanese and Swiss foreign exchange interventions in 2003/04 and 2009/10 seem to have lowered long-term interest rates in a range of industrial countries, including Japan and Switzerland. It seems that this decline was triggered by the investment of the intervention...

We propose a computationally feasible inference method infinite games of complete information. Galichon and Henry (2011) and Beresteanu, Molchanov, and Molinari (2011) show that such models are equivalent to a collection of moment inequalities that increases exponentially with the number of...

We derive the empirical content of an instrumental variables model of sectorial choice with binary outcomes. Assumptions on selection include the simple, extended and generalized Roy models. The derived bounds are nonparametric intersection bounds and are simple enough to lend themselves to...

This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option...

This paper proposes a general approximation method for the solution to a second-order parabolic partial differential equation(PDE) widely used in finance through an extension of Léeandre's approach(Léandre (2006,2008)) and the Bismut identiy(e.g. chapter IX-7 of Malliavin (1997))] in Malliavin...

In this work, we apply our newly proposed perturbative expansion technique to a quadratic growth FBSDE appearing in an incomplete market with stochastic volatility that is not perfectly hedgeable. By combining standard asymptotic expansion technique for the underlying volatility process, we...

In place of the standard search equilibrium, this paper presents an alternative concept of stochastic macro-equilibrium based on the principle of statistical physics. This concept of equilibrium is motivated by unspecifiable differences of economic agents and the presence of all kinds of micro...

This article develops a multitask model in which the agent has to produce both verifiable and unverifiable outputs in a dynamic framework as observed in actual labor markets and practices. The model derives an important result regarding the timing and the length of a wage contract. A short-term...

On the basis of the standard model of local public production, we delineate the factors that account for the "U-shaped" per capita local public expenditures and relate them to construct an efficiency indicator for local populations. We articulate that population-induced changes in the per capita...