Japan has suffered from long-lasting but mild deflation since the latter half of the 1990s. Estimates of a standard Phillips curve indicate that a decline in inflation expectations, the negative output gap, and other factors such as a decline in import prices and a higher exchange rate, all...

This paper examines the distinctive behavior of long-term interest rates observed after the Bank of Japan's introduction of quantitative and qualitative monetary easing, by focusing on changes in traders' confidence and herding behavior. When participants in bond markets lose confidence in their...

This paper analyzes trade patterns in Japan's machinery sector using disaggregated data of export and import commodities. It is found that the vertical intra-industry trade--the two-way trade of products differentiated by quality--with Asian countries expanded in the 1990s. According to the...

The BOJ recently announced its intention to purchase asset backed securities (ABS) whose underlying assets are closely related to SME economic activities. One important motivation for this policy arises from the idea that utilizing modern financial tools, i.e., securitization, can be a possible...

This paper quantitatively evaluates a steady-state inflation rate that is considered desirable from the perspective of social welfare, using a model describing the Japanese economy. Specifically, it begins by setting out points concerning the costs and benefits that accompany inflation. We build...

Using term structure data of Credit Default Swap (CDS) spreads for the four Japanese mega-banks and the government, we jointly estimate the default intensity and expected recovery (loss) given a default. In doing so, we attempt to further identify the difference in the expected recovery ratios...

The mechanism of financial transactions provided to society today cannot be determined by a single financial institution, but is determined through a complex structure of mutual cooperation, or a "network", between several financial institutions. Quantitative analysis of such a "network"...

This paper aims to extract the expectations of market participants on the duration of the Zero Interest Rate Policy (ZIRP) by the Bank of Japan by modeling the term structure of interest rates. Under the ZIRP, particularly the short-term and medium-term interest rates are so low that we face...

Due to a sharp decline in the fertility rate and a rapid increase in longevity, Japan's population aging is the furthest advanced in the world. In this study we explore the macroeconomic impact of population aging using a full-fledged overlapping generations model. Our model replicates well the...