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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - In: Journal of the Japanese and International Economies 25 (2011) 3, pp. 225-245

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The parameters are allowed to follow a random walk process and estimated using the Markov chain Monte Carlo method. The empirical result reveals the time-varying...

Persistent link: https://www.econbiz.de/10009292802

Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions

Watanabe, Toshiaki; Uchiyama, Hirokuni - East Asian Bureau of Economic Research (EABER) - 2005

Structural changes in business fluctuations have been gathering attention in Europe and the US in recent years. It has become clear that business fluctuations in the US began to stabilize from the middle of the 1980s, and similar structural changes have been observed in Europe. On the other...

Persistent link: https://www.econbiz.de/10009365417

Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions

Watanabe, Toshiaki; Uchiyama, Hirokuni - In: Public Policy Review 1 (2005) 1, pp. 19-32

Persistent link: https://www.econbiz.de/10010832859

Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market

Watanabe, Toshiaki - In: Applied Financial Economics 11 (2001) 6, pp. 651-658

This article examines the relation between price volatility, trading volume and open interest for the Nikkei 225 stock index futures traded on the Osaka Securities Exchange (OSE) using the method developed by Bessembinder and Seguin (1993). The OSE regulation for trading of the Nikkei 225...

Persistent link: https://www.econbiz.de/10009206679