This paper provides an empirical investigation of monetary policy in Japan in the zero interest rate environment that has held sway since 1999. In particular, we focus on the effects of the zero interest rate commitment and of quantitative monetary easing on medium- to long-term interest rates...

This paper analyzes the Japanese government bond (JGB) yield curve using the Black-Gorovoi-Linetsky (BGL) model of interest rates as options with a view to monitoring the JGB market expectations about the Bank of Japan's (BOJ) zero interest rate policy (ZIRP). Main findings are as follows....

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...

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange between the U.S. dollar and the Japanese yen: cross-currency basis swap and FX (foreign exchange) swap. First, we show that these two swaps should be in a no-arbitrage relationship by...

We study the term structure of interest rates and monetary policy in Japan empirically, using a macro-finance model. In particular, we investigate whether or not Japan's low long-term interest rates can be explained with economic rationality by taking into account some key features of the...

Equilibrium nominal interest rates are useful indicators for both monetary policy authorities and market players. However, there are few studies which estimate Japan's equilibrium rate because of its persistent low interest rate. We overcome this challenge by using survey forecasts of interest...

This paper investigates (i) what has determined the land investment behavior of Japanese firms since the latter half of the 1980s; and (ii) how the current market prices of their land assets diverge from their shadow prices (marginal values of land investment). To do so, we estimate nonlinear...

This paper applies a survival analysis to individual hedge fund data reported in the Lipper TASS database. We use several methodologies including the non-parametric survival analysis, the Semi-parametric Cox proportional hazard analysis with shared frailty, and the logit analysis to assess the...

Bu çalışma Türkiye’deki yatırımcıların hise senedi alım-satım davranışlarını analiz etmektedir. Bu analiz için 55 sorudan oluşan bir anket 85 kişi üzerinde uygulanmıştır ve yatırımcıların verdikleri cevaplar esas alınmıştır. Anket demografik özellikler, algılanan...

This paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher...