The creditworthiness of companies, and also their profitability and financial condition, are one way to measure whether the improvement in the risk-taking behavior of companies, such as business fixed investment, is becoming full-scale. In this paper, we use "credit ratings," a major indicator...

This paper proposes a new econometric framework for estimating trend inflation and the slope of the Phillips curve with a regime-switching model. As a unique aspect of our approach, we assume regimes for the trend inflation at one-percent intervals, and estimate the probability of the trend...

It is well known that the canonical New Keynesian model cannot produce inflation inertia observed in real data. The purpose of this research is to investigate expectation formation process as a potential source of inflation inertia. We examine a purely forward-looking New Keynesian Phillips...

Despite the widespread belief that technology shocks are the main source of business fluctuations, recent empirical studies indicate that in the absence of financial frictions, a shock to the marginal efficiency of investment is the main source and is closely related to financial conditions for...

Despite the widespread belief that Japan’s “Great Stagnation” in the 1990s is due to the financial dysfunction after the collapse of asset price bubbles, Hayashi and Prescott (2002) argue that its main cause is a slowdown in total factor productivity growth, using a calibrated neoclassical...

Financial institutions, especially in Europe, hold a disproportionate amount of domestic sovereign debt. We examine the extent to which this home bias leads to capital misallocation in a real business cycle model with imperfect information and fiscal stress. We assume banks can hold sovereign...