This paper integrates an asset price bubble and agency costs in firms' price-setting decisions into a monetary DSGE framework. Amplified by nominal wage rigidities, an asset price bubble causes an inefficiently excessive boom. Inflation, however, remains moderate in the boom, because a loosening...

This paper quantitatively analyzes how firms' default rates are affected by intangible assets, which play a crucial role in business management but are difficult to assess objectively. We use intangible assets such as firms' technological capability and the qualifications of senior management,...

Global commodity prices have been on an increasing trend since 2009, while their correlation with stock prices has risen. This paper attempts to identify the main causes of fluctuations in global commodity markets, by using the historical decomposition of VAR models. It then provides...

Using monetary policy reaction functions, this paper examines whether monetary policy responds to the exchange rate in three East Asian inflation-targeting countries, namely, Korea, Thailand and the Philippines. Contrary to the results in existing studies, it finds no evidence that monetary...

This paper uses a financial macro-econometric model to compare and analyze the impact of macroprudential policy measures -- a credit growth restriction, loan-to-value and debt-to-income regulations, and a time-varying capital requirement -- on the economic dynamics through the financial cycle...

The Bank of Japan (BOJ) has issued the Corporate Service Price Index (CSPI) since 1985, providing one of the longest time-series indexes worldwide in the field of corporate services. Service prices are the most problematic areas in capturing actual price trends according to our ample experience...

In this study, we theoretically investigate the potential role of the reference rate in stabilizing or destabilizing an interbank market with an environment where individual banks cannot fully identify the nature of underlying shocks affecting their interbank transactions. We show that a...

Trade credit is one of the most important sources of short-term external finance for small firms. Previous literature has focused mainly on the substitution of bank loans for trade credit during monetary tightening among many firms, but in this paper we investigate the role of trade credit...

A common problem in credit risk management is the estimation of probabilities of rare default events in high investment grades, when sufficient default data are not available. In addressing this issue, increasing attention has been paid to the use of continuous time Markov chains for modeling...

This paper examines the demand shift toward workers who are university graduates in terms of skill-biased technological change (SBTC) and globalization, both of which utilize relatively more workers with specific skills. According to the results of our empirical study, which used the major...