Bertola/Caballero (1994) and Abel/Eberly (1996) extended Jor-genson's classical model of firms'optimal investment. By introducing investment frictions, they were able to capture the role of future antic-ipations in investment decisions as well as the lumpy and intermittent nature of investment...

Firms in modern developed economies can choose to borrow from banks or from trade partners. Using first-difference and difference-in-differences regressions on Japanese manufacturing data, we explore the way they make that choice. Whether small or large, they do borrow from their trade partners...

This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. We illustrate our method using simulated data...

Most of what we collectively think we know about the Japanese economy is urban legend. In fact -- * The keiretsu do not exist, and never did. An entrepreneurial "research institute" in the 1950s created the rosters to sell to Marxist economists looking for the "monopoly capital" that their...

Kim, Shephard, and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which is known to be important in applications. Despite this, their basic method has...

This chapter presents a basic of the methodology so-called an asymptotic expansion approach, and applies this method to approximation of prices of currency options with a libor market model of interest rates and stochastic volatility models of spot exchange rates. The scheme enables us to derive...

An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [6] and Yoshida [29] is a widely applicable methodology for analytic approximation of the expectation of a certain functional of diffusion processes. Mathematically, this methodology is justified by Watanabe theory...

Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily...

This paper examines the effects of exclusive dealing contracts offered by an incumbent distributor. The effectiveness of exclusive dealing contracts offered by distributors is quite differrent from those offered by incumbent manufacturers. The traditional literature has focused solely on...

The pass-through effects of exchange rate changes on the domestic prices in the East Asian countries are examined using a VAR analysis including several price indices and domestic macroeconomic variables as well as the exchange rate. Results from the VAR analysis show that (1) the degree of...