The Japanese Government as a Portfolio Manager: Managing the Nation’s Wealth (2008)
Ogawa, Alicia, Kawase, Takahiro, Feldman, Robert Alan, Sakata, Masaharu, Sasanuma, Taisuke, Sung, Cheng Chih, ...
The Program on Alternative Investments of the Center on Japanese Economy and Business (CJEB) at Columbia Business School hosted a conference in Tokyo, Japan, titled “The Japanese Government as a...
Solvable Stochastic Dealer Models for Financial Markets (2008)
Yamada, Kenta, Takayasu, Hideki, Ito, Takatoshi, Takayasu, Misako
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost...
“The Influence of the RMB on Exchange Rate Policy in Other Economies” (2007)
The East Asian countries, most notably China, are often collectively described as a region that manages, if not manipulates, the exchange rate toward undervaluation, achieves large current account...
Japan's Economic Future: Policy, Politics, and Producers (2006)
Bollinger, Lee, Chu, Shulong, Curtis, Gerald, Higa, Ernest, Geithner, Timothy, Hodrick, Robert, ...
This a record of the Center on Japanese Economy and Business 20th Anniversary Conference in New York.
Japan's Economic Future: Policy, Politics, and Producers (2006)
Bollinger, Lee, Chu, Shulong, Curtis, Gerald, Higa, Ernest, Geithner, Timothy, Hodrick, Robert, ...
This a record of the Center on Japanese Economy and Business 20th Anniversary Conference in New York.
Ito, Takatoshi, Sato, Kiyotaka
The pass-through effects of exchange rate changes on the domestic prices in the East Asian countries are examined using a VAR analysis including several price indices and domestic macroeconomic...
Ito, Takatoshi, Hashimoto, Yuko
This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY (Alec: The EBS notations define the base currency as the first...
Problems and prescriptions for the Japanese economy: An overview (2005)
Ito, Takatoshi, Patrick, Hugh T.
The bursting of the asset and real estate market bubbles in 1990 and 1991 marked the conclusion of Japan's momentous postwar economic growth and ushered in a new period of economic stagnation and...
Problems and prescriptions for the Japanese economy: An overview (2005)
Ito, Takatoshi, Patrick, Hugh T.
The bursting of the asset and real estate market bubbles in 1990 and 1991 marked the conclusion of Japan's momentous postwar economic growth and ushered in a new period of economic stagnation and...
Japan, APEC, and East Asian economic cooperation (2005)
Drysdale, Peter, Ito, Takatoshi, Patrick, Hugh
For many Asians, the progress made by the European Union (EU) and the strength of the euro currency is something to admire, aspire to, and sometimes, scoff at. It's a double-edged sword, in a sense....
Japan, APEC, and East Asian economic cooperation (2005)
Drysdale, Peter, Ito, Takatoshi, Patrick, Hugh
For many Asians, the progress made by the European Union (EU) and the strength of the euro currency is something to admire, aspire to, and sometimes, scoff at. It's a double-edged sword, in a sense....
Solutions for Japan's economic problems: Implications for U.S.-Japan relations (2004)
Ito, Takatoshi, Kashyap, Anil, Patrick, Hugh, Weinstein, David
From business leaders to the everyday tourist, everyone seems to wonder about the same thing about Japan: When will the economy finally get better? It's been more than a decade since this debate...
Solutions for Japan's economic problems: Implications for U.S.-Japan relations (2004)
Ito, Takatoshi, Kashyap, Anil, Patrick, Hugh, Weinstein, David
From business leaders to the everyday tourist, everyone seems to wonder about the same thing about Japan: When will the economy finally get better? It's been more than a decade since this debate...
Monetary policy in Japan: Problems and solutions (2004)
Ito, Takatoshi, Mishkin, Frederic S.
The Japanese economy has been underperforming for more than a decade. The average growth rate of real GDP over the past 12 years has been just above 1 percent, and the nominal GDP has been shrinking...
Solutions to Japanese economic problems (2004)
Patrick, Hugh, Hashimoto, Kazuhito, Kitashiro, Kakutaro, Ito, Takatoshi, Weinstein, David, Iwata, Kazumasa, ...
Japan's decade of economic underperformance and malaise appears to be coming to an end. The economy is experiencing its third round of recovery, this time without the marked use of fiscal stimuli. Is...
Solutions to Japanese economic problems (2004)
Patrick, Hugh, Hashimoto, Kazuhito, Kitashiro, Kakutaro, Ito, Takatoshi, Weinstein, David, Iwata, Kazumasa, ...
Japan's decade of economic underperformance and malaise appears to be coming to an end. The economy is experiencing its third round of recovery, this time without the marked use of fiscal stimuli. Is...
Monetary policy in Japan: Problems and solutions (2004)
Ito, Takatoshi, Mishkin, Frederic S.
The Japanese economy has been underperforming for more than a decade. The average growth rate of real GDP over the past 12 years has been just above 1 percent, and the nominal GDP has been shrinking...
De Brouwer, Gordon, Ito, Takatoshi
The idea of developing and strengthening regional institutions to support financial and economic integration has taken hold in East Asia. This is a largely positive shift. The issue is where it will...
De Brouwer, Gordon, Ito, Takatoshi
The idea of developing and strengthening regional institutions to support financial and economic integration has taken hold in East Asia. This is a largely positive shift. The issue is where it will...
De Brouwer, Gordon, Ito, Takatoshi
The idea of developing and strengthening regional institutions to support financial and economic integration has taken hold in East Asia. This is a largely positive shift. The issue is where it will...
De Brouwer, Gordon, Ito, Takatoshi
The idea of developing and strengthening regional institutions to support financial and economic integration has taken hold in East Asia. This is a largely positive shift. The issue is where it will...
De Brouwer, Gordon, Ito, Takatoshi
The idea of developing and strengthening regional institutions to support financial and economic integration has taken hold in East Asia. This is a largely positive shift. The issue is where it will...
China, Japan, and the United States: Political economy issues (2002)
Garnaut, Ross, Ito, Takatoshi, Patrick, Hugh, Janow, Merit, Curtis, Gerald, Riskin, Carl
China, Japan, and the United States: Political economy issues (2002)
Garnaut, Ross, Ito, Takatoshi, Patrick, Hugh, Janow, Merit, Curtis, Gerald, Riskin, Carl
The causes of Japan's financial crisis (1999)
Introduction: A mere decade ago Japan’s financial system, and especially its banking system, was not only the largest but the strongest in the world. Nine of the world’s top ten banks in asset...
The causes of Japan's financial crisis (1999)
Introduction: A mere decade ago Japan’s financial system, and especially its banking system, was not only the largest but the strongest in the world. Nine of the world’s top ten banks in asset...
The causes of Japan's financial crisis (1999)
Introduction: A mere decade ago Japan’s financial system, and especially its banking system, was not only the largest but the strongest in the world. Nine of the world’s top ten banks in asset...
The causes of Japan's financial crisis (1999)
Introduction: A mere decade ago Japan’s financial system, and especially its banking system, was not only the largest but the strongest in the world. Nine of the world’s top ten banks in asset...
The causes of Japan's financial crisis (1999)
Introduction: A mere decade ago Japan’s financial system, and especially its banking system, was not only the largest but the strongest in the world. Nine of the world’s top ten banks in asset...
The causes of Japan's financial crisis (1999)
Introduction: A mere decade ago Japan’s financial system, and especially its banking system, was not only the largest but the strongest in the world. Nine of the world’s top ten banks in asset...
Elliott, Graham, ITO, TAKATOSHI
This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we...
Is there private information in the FX market? The Tokyo experiment (1997)
Ito, Takatoshi, Lyons, Richard K., Melvin, Michael T.
It is a common view that private information in the foreign exchange market does not exist. We provide evidence against this view. The evidence comes from the introduction of trading in Tokyo over...
Is there private information in the FX market? The Tokyo experiment (1997)
Ito, Takatoshi, Lyons, Richard K., Melvin, Michael T.
It is a common view that private information in the foreign exchange market does not exist. We provide evidence against this view. The evidence comes from the introduction of trading in Tokyo over...
DEPOSIT GUARANTEES AND THE BURST OF THE JAPANESE BUBBLE ECONOMY (1996)
CARGILL, THOMAS F., HUTCHISON, MICHAEL M., ITO, TAKATOSHI
This paper examines the current status of deposit guarantees in Japan and how they have functioned during the burst of the bubble economy in the first half of the 1990s. During this period, the...
Air transport policy in Japan (1995)
Yamauchi, Hirotaka, Ito, Takatoshi
This paper reviews the development and status of the airline industry of Japan and the points of debate in the recent Japan-U.S. airline dispute. Until 1986, international routes were given only to...
Air transport policy in Japan (1995)
Yamauchi, Hirotaka, Ito, Takatoshi
This paper reviews the development and status of the airline industry of Japan and the points of debate in the recent Japan-U.S. airline dispute. Until 1986, international routes were given only to...
Short-run and long-run expectations of the yen/dollar exchange rate (1993)
The survey data of the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the following features. First, the expected exchange rate changes in the short...
Short-run and long-run expectations of the yen/dollar exchange rate (1993)
The survey data of the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the following features. First, the expected exchange rate changes in the short...
The efficiency of the Tokyo housing market (1993)
Ito, Takatoshi, Hirono, Keiko N.
Extremely high prices of housing in Tokyo are well known. However, a real puzzle of the Tokyo housing market is not the absolute level of housing purchase prices, which could be justified by its high...
The efficiency of the Tokyo housing market (1993)
Ito, Takatoshi, Hirono, Keiko N.
Extremely high prices of housing in Tokyo are well known. However, a real puzzle of the Tokyo housing market is not the absolute level of housing purchase prices, which could be justified by its high...
Foreign exchange rate expectations: Micro survey data (1989)
This paper analyzes the panel data of bi-weekly surveys, conducted by the Japan Center for International Finance, on the yen/dollar exchange rate expectations of forty-four institutions for two...
Is the Bank of Japan a closet monetarist? Monetary targeting in Japan, 1978-1988 (1989)
This paper investigates whether the Bank of Japan has practiced a monetarist rule since 1975. The Bank of Japan (BOJ) published a report in 1975 stating it would pay close attention to the money...
Foreign exchange rate expectations: Micro survey data (1989)
This paper analyzes the panel data of bi-weekly surveys, conducted by the Japan Center for International Finance, on the yen/dollar exchange rate expectations of forty-four institutions for two...
Is the Bank of Japan a closet monetarist? Monetary targeting in Japan, 1978-1988 (1989)
This paper investigates whether the Bank of Japan has practiced a monetarist rule since 1975. The Bank of Japan (BOJ) published a report in 1975 stating it would pay close attention to the money...
Hayashi, Fumio, Ito, Takatoshi, Slemrod, Joel B.
This paper presents a life-cycle simulation analysis of the interaction among savings decisions, housing purchase decisions, and the tax system in the United States and Japan. To investigate this...
Hayashi, Fumio, Ito, Takatoshi, Slemrod, Joel
This paper presents a life-cycle simulation analysis of the interaction among savings decisions, housing purchase decisions, and the tax system in the United States and Japan. To investigate this...
The intra-daily exchange rate dynamics and monetary policies after the G5 agreement (1987)
The United States-Japan trade relationship is of major importance to both countries, to the other economies of the Pacific Basin, and to the world economy and its international trading system. While...
Hayashi, Fumio, Ito, Takatoshi, Slemrod, Joel
This paper presents a life-cycle simulation analysis of the interaction among savings decisions, housing purchase decisions, and the tax system in the United States and Japan. To investigate this...
The intra-daily exchange rate dynamics and monetary policies after the G5 agreement (1987)
The United States-Japan trade relationship is of major importance to both countries, to the other economies of the Pacific Basin, and to the world economy and its international trading system. While...
Inflation Targeting and Japan: Why has the Bank of Japan not Adopted Inflation Targeting?
Japanese economic policy, inflation targeting
Interventions and Japanese Economic Recovery
This paper attempts to explain possible reasons and objectives behind the 35 trillion yen (7% of GDP) interventions conducted by the Japanese monetary authorities from January 2003 to March 2004, and...
Two Decades of Japanese Monetary Policy and the Deflation Problem
Takatoshi Ito, Frederic S. Mishkin
This paper reviews Japanese monetary policy over the last two decades with an emphasis on the experience of deflation from the mid-1990s. The paper is quite critical of the conduct of monetary...
Exchange Rate Movements and Their Impact on Trade and Investment in the APEC Region
Tamim Bayoumi, Peter Isard, Steven A. Symansky, Takatoshi Ito
Exchange rates , Trade , Investment ,
Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate
The survey data on the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the following features. First, the expected exchange rate changes in the short...
Inflation Targeting and Japan: Why has the Bank of Japan not Adopted Inflation Targeting?
The paper aims at explaining why the Bank of Japan has not adopted inflation targeting, despite calls for such a policy. Disclosed minutes of the Monetary Policy Meetings of the Bank of Japan, after...
Interventions and Japanese economic recovery
Intervention of foreign exchange market, The yen, Monetary policy, Japanese economy, E44, E58, F31,
This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and...
This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis,...
Bank Fragility in Japan, 1995-2003
This paper compares different indicators of bank fragility in order to examine which indicator most representatively reflects the financial health of Japanese banks. Japan premium has been a popular...
This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY (Alec: The EBS notations define the base currency as the first...
The pass-through effects of exchange rate changes on the domestic prices in the East Asian countries are examined using a VAR analysis including several price indices and domestic macroeconomic...
On Implicit Contracts and Involuntary Unemployment
John Geanakoplos, Takatoshi Ito
We show that a firm can increase expected profits by undertaking the additional expense of paying unemployment compensation to the workers it lays off, if they are risk averse. When this argument is...
This paper examines intra-day patterns of the exchange rate behavior, using the %u201Cfirm%u201D bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of...
Disequilibrium Growth Theory: The Kaldor Model
Disequilibrium macroeconomic theory [e.g. Clower, and Barroand Grossman] is extended to deal with capital accumulation in the long run. A growth model a la Kaldor is chosen for a frame-work. The real...
A Note on Stochastic Rationing Mechanisms
There are a couple of well-known unsatisfactory properties in the notion of effective demand defined by Benassy and one by Dreze. This is why recent authors in disequilibrium analysis study the...
Non-Trivial Equilibrium in an Economy With Stochastic Rationing
Seppo Honkapohja, Takatoshi Ito
Stochastic rationing when the market does not clear draws attention because both Dreze (1975) and Benassy (1975) quantity-constrained equilibria have some undesirable features. Gale (1978)gave the...
The Intra-Daily Exchange Rate Dynamics and Monetary Policies After the G5 Agreement
This paper investigates determinants of yen appreciation from the G5 agreement of September 1985 to the end of May, 1986. During that period, four waves of appreciation separated by calm periods are...
Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity
In this paper, a vector autoregression model (VAR) is proposed in order to test uncovered interest parity (UIP) in the foreign exchange market. Consider a VAR system of the spot exchange rate...
On the Consistency of Short-run and Long-run Exchange Rate Expectations
Kenneth A. Froot, Takatoshi Ito
This paper examines whether short-term exchange rate expectations move "too much" by comparing them with long-term expectations. We develop a set of nonlinear restrictions linking expectations at...
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
Robert F. Engle, Takatoshi Ito, Wen-Ling Lin
This paper defines and tests a form of market efficiency called market dexterity which requires that asset prices adjust instantaneously and completely in response to new information. Examining the...
Is the Bank of Japan a Closet Monetarist? Monetary Targeting in Japan, 1978-1988
This paper investigates whether the Bank of Japan has practiced a monetarist rule since 1975. The Bank of Japan (BOJ) published a report in 1975, stating that it would pay close attention to money...
Endogenous Election Timings and Political Business Cycles in Japan
This paper constructs a theoretical model of political business cycles in a Parliamentary system and tests predictions and hypotheses of a theoretical model against the post-war Japanese data. Unlike...
Is the Japanese Distribution System Really Inefficient?
Takatoshi Ito, Masayoshi Maruyama
This paper investigates the efficiency of the Japanese distribution system, measured by the distribution margin. Most of the discussions on the Japanese distribution system have so far relied on...
Japan premium and stock prices: two mirrors of Japanese banking crises
This paper investigates how financial weakness among Japanese banks in the second half of the 1990s was reflected in pricing in the financial markets. Two indicators, the Japan premium (JP) and the...
Myths and reality of foreign exchange interventions: an application to Japan
The objective of this paper is to examine what we know, and do not know, about foreign exchange interventions by the monetary authorities, and to present some new evidence on the Japanese...
News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate?
Intra-daily movements in the yen/dollar exchange rate were examined in four non-overlapping segments within each business day from January1980 to September 1985. The empirical results yielded several...
Takatoshi Ito, Kunio Okina, Juro Teranishi
According to the efficient market hypothesis, news in Tokyo is responsible for the exchange rate changes during the Tokyo market hours, while the U.S. news is responsible for changes in the New York...
Intraday Yen/Dollar Exchange Rate Movements: News or Noise?
Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is...
Fumio Hayashi, Takatoshi Ito, Joel Slemrod
This paper presents a life-cycle simulation analysis of the interaction among savings decisions, housing purchase decisions, and the tax system in the United States and Japan. To investigate this...
On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market
The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the...
Brenda González-Hermosillo, Takatoshi Ito
Monetary policy , Canada , Inflation , Central banks ,
How Did the Dollar Peg Fail in Asia?
Takatoshi Ito, Eiji Ogawa, Yuri Nagataki Sasaki
In this paper we have constructed a theoretical model in which Asian firms maximize their profit, competing with Japanese and US firms in their markets. The duopoly model is used to determine export...
Foreign Exchange Rate Expectations: Micro Survey Data.
This paper analyzes the panel data of biweekly surveys on the yen/dollar exchange rate expectations of forty-four institutions for two years and contains four major findings. First, market...
High-Frequency Contagion of Currency Crises in Asia *
Using daily data from the Asian currency crisis, the present paper examines high-frequency contagion effects among six Asian countries. The 'origin' (of exchange rate depreciation, or decline in...
Retrospective on the Bubble Period and its Relationship to Developments in the 1990s
In reviewing what happened in the 1980s in Japan and how the bursting of the bubble created problems in the early 1990s, the following conclusions are obtained. (1) In order to limit damage to the...
Is There Private Information in the FX Market? The Tokyo Experiment
Takatoshi Ito, Richard K. Lyons, Michael T. Melvin
We provide evidence of private information in the foreign exchange market. The evidence comes from the introduction of trading in Tokyo over the lunch hour. Lunch-return variance doubles with the...
Robust Monetary Framework for China
China faces rising current account surpluses and foreign reserves. Maintaining the fixed exchange rate runs the risk of overheating of the economy. It is desirable to pursue greater flexibility of...
Takatoshi Ito, Akira Kojima, Colin McKenzie, Shujiro Urata
Papers published in Asian Economic Policy Review
Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market.
Engle, Robert F, Ito, Takatoshi, Lin, Wen-Ling
This paper seeks to explain the causes of volatility clustering in exchange rates. Careful examination of intra-daily exchange rates provides a test of two hypotheses--heat waves and meteor showers....
The Political Economy of Japan's Big Bang
A first step in the 'big-bang' deregulation of Japanese financial markets was the deregulation of the foreign exchange market on April1, 1998. This paper provides an overview of the deregulation and...
Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market
This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we...
This paper explores one technique for estimation and hypothesis testing in dynamic linear models. The method combines the analytics of moving average solutions to dynamic models, together with the...
Discussion of 'The Case for a Basket, Band and Crawl (BBC) Regime for East Asia'
Edward Surendran Robinson, Takatoshi Ito, David Gruen, John Simon
intermediate regime; BBC regime; exchange rate; east Asia; Singapore (discussion)
Inflation Targeting and Japan: Why has the Bank of Japan not Adopted Inflation Targeting?
Takatoshi Ito, Christopher Kent, Simon Guttmann
Japanese economic policy; inflation targeting
News from the U.S. and Japan: which moves the yen/dollar exchange rate?
Foreign exchange rates ; Yen, Japanese ; Money supply ; Japan ; Dollar, American
Intraday yen/dollar exchange rate movements: news or noise?
Yen, Japanese ; Dollar, American ; Foreign exchange rates
On the possibility of the yen bloc
Yen, Japanese ; East Asia ; Pacific Area ; Foreign exchange - Law and legislation - Pacific Basin
On the possibility of the yen bloc
Yen, Japanese ; East Asia ; Pacific Area ; Foreign exchange - Law and legislation - Pacific Basin
Lessons from financial crisis: the Japanese case
Thomas F. Cargill, Michael M. Hutchison, Takatoshi Ito
Financial crises - Japan ; Bank failures ; Banks and banking - Japan ; Japan
Takatoshi Ito, Yuri N. Sasaki, Kiyotaka Sato
We examine the pass-through effects of exchange rate changes on the domestic prices among the East Asian countries using the conventional pass-through equation and a VAR analysis. First, dynamics of...
The pass-through effects of exchange rate changes on the domestic prices in the East Asian countries are examined using a VAR analysis including several price indices and domestic macroeconomic...
On Determinants of the Yen Weight in the Implicit Basket System in East Asia
After the Asian currency crisis, most Asian economies have adopted managed float regimes, with notable exception of China, Hong Kong, and Malaysia. Various studies have examined the weights of the...
Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility.
Lin, Wen-Ling, Engle, Robert F, Ito, Takatoshi
This article investigates empirically how returns and volatilities of stock indices are correlated between the Tokyo and New York markets. Using intradaily data that define daytime and overnight...
Race to the Center: Competition for the Nikkei 225 Futures Trade
Stock markets , Japan , Competition , Prices , Economic models ,
The Land/ Housing Problem in Japan: A Macroeconomic Approach
This paper presents an overlapping generation model for the framework of analyzing the long-run trend in land prices, with the following propositions: First, it is possible to define a steady state...
Bequest Taxes and Accumulation of Household Wealth: U.S.-Japan Comparison
Thomas A. Barthold, Takatoshi Ito
The objective of this paper is two-fold. First, we describe and compare the gift and bequest (estate) tax systems in the United States and Japan. Second, we use tax data to estimate the magnitude of...
Wen-Ling Lin, Robert F. Engle, Takatoshi Ito
This paper investigates empirically how returns and volatilities correlated between Tokyo and New York stock indices (Nikkei 225 and s&p500). First, intradaily data are used, so that daytime and...
U.S. Political Pressure and Economic Liberalization in East Asia
The object of this paper is two-fold. First, the paper evalutes U.S. pressure for economic liberalization in Japan. Second, its implications for economic and political aspects of the East Asian...
Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange rate Market
This paper examines the efficiency of the forward yan/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we...
Impacts of the Basle Capital Standard on Japanese Banks' Behavior
Takatoshi Ito, Yuri Nagataki Sasaki
This paper examines how the risk-based capital standards, the so-called Basle Accord, influenced 87 major Japanese major Japanese banks' behavior between 1990 and 1993. As the Japanese stock prices...
Asian Exports: Principal Causes of Deceleration
This paper examines the causes for dramatic declines in (gross) exports among Asian countries in 1995-96. Common factors are the overvaluation of the exchange rate, partly due to yen depreciation in...
Deposit Guarantees and the Burst of the Japanese Bubble Economy.
Cargill, Thomas F, Hutchison, Michael M, Ito, Takatoshi
This paper examines the current status of deposit guarantees in Japan and how they have functioned during the burst of the bubble economy in the first half of the 1990s. During this period, the...
Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market
This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we...
Macro-economic consequences of large currency depreciations among the crisis-hit Asian economies varied from one country to another. Inflation did not soar after the Asian currency crisis of 1997-98...
Dynamics of quote and deal prices in the foreign exchange market
Takaaki Ohnishi, Hideki Takayasu, Takatoshi Ito, Yuko Hashimoto, Tsutomu Watanabe, Misako Takayasu
Econophysics, Foreign exchange market, Power-law distribution, Anomalous diffusion, C10, C16, D40, G10,
Yuko Hashimoto, Takatoshi Ito, Takaaki Ohnishi, Misako Takayasu, Hideki Takayasu, Tsutomu Watanabe
Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a "run" -- continuous increases or decreases in deal prices for the past several...
Capital Controls and Covered Interest Parity
This paper examines covered interest parity between Yen-denominated and dollar-denominated assets: Euro-yen and Euro-dollar three month deposit rates,and the representative and comparable three-month...
Bonuses, Overtime, and Employment: Korea vs. Japan
This paper exanined the bonus and wage behavior in Korea. We found that both bonuses and wages in Korea respond to economic conditions much more than their counterparts in Japan. This finding may...
Foreign Exchange Rate Expectations: Micro Survey Data
This paper analyzes the panel data of bi-weekly surveys, conducted by the Japan Center for International Finance, on the yen/dollar exchange rate expectations of forty-four institutions for two...
Bequest Taxes and Accumulation of Household Wealth: U.S. - Japan Compar-ison
Thomas A. Barthold, Takatoshi Ito
The objective of this paper is two-fold. First, we describe and compare the gift and bequest (estate) tax systems in the United States and Japan. Second, we use tax data to estimate the magnitude of...
International Impacts on Domestic Political Economy: A Case of Japanese General Elections
The objective of this paper is twofold. First, this paper emphasizes that in a parliamentary system, such as in Japan, election timings become endogenous, in that good economic performances tend to...
Wen-Ling Lin, Robert F. Engle, Takatoshi Ito
This paper investigates empirically how returns and volatilities of stock indices are correlated between Tokyo and New York. Intradaily data are used, so that daytime and overnight returns are...
Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
Takatoshi Ito, Robert F. Engle, Wen-Ling Lin
The purpose of this paper is to examine the intra-daily volatility of the yen/dollar exchange rate over three different regimes from 1979 to 1988 which correspond to different degrees of...
Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets
This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to...
Efficiency of the Tokyo Housing Market
Takatoshi Ito, Keiko Nosse Hirono
In analyzing the dynamics of Tokyo housing price, we have compiled annual micro data sets from individual listings in a widely-circulated real estate advertising magazine. A data set compiled from...
Explaining Asset Bubbles in Japan
This paper examines the stock and land price behaviors during the bubble economy period (the second half of the 1980s), paying considerable attention to the linkage of the two markets and the effects...
This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the...
Is There Private Information in the FX Market? The Tokyo Experiment
Takatoshi Ito, Richard K. Lyons, Michael T. Melvin
It is a common view that private information in the foreign exchange market does not exist. We provide evidence against this view. The evidence comes from the introduction of trading in Tokyo over...
Economic Growth and Real Exchange Rate: An Overview of the Balassa-Samuelson Hypothesis in Asia
Takatoshi Ito, Peter Isard, Steven Symansky
The paper tests the Balassa-Samuelson hypothesis (rapid economic growth is accompanied by real exchange rate appreciation because of differential productivity growth between tradable and nontradable...
Impacts of the Basle Capital Standard on Japanese Banks' Behavior
Takatoshi Ito, Yuri Nagatake Sasaki
This paper examines how the risk based capital standards, the so-called Basle Accord between 1990 and 1993. As the Japanese stock prices fell, banks' latent capital gains, which are part of tier II...
This paper characterizes the capital flows in Asia before and after the Asian currency crisis of 1997. Differences in foreign direct investment, portfolio investment, and bank lending are emphasized....
Japan's Big Bang and the Transformation of Financial Markets
A first step in the 'big bang' markets was the deregulation of the foreign exchange market on April 1, 1998. This paper examines how the bid-ask spread and conditional volatility in the yen/dollar...
Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises
This paper investigates how financial troubles among Japanese banks in the second half of the 1990s were viewed by the market. Two indicators, the Japan premium and the stock price index of the...
On the Desirability of a Regional Basket Currency Arrangement
This paper considers a theoretical model to examine an optimal exchange rate regime for (Asian) emerging market economies that export goods to the U.S., Japan, and neighboring countries. The...
Is Foreign Exchange Intervention Effective?: The Japanese Experiences in the 1990s
This paper examines Japanese foreign exchanges interventions from April 1991 to March 2001 based on newly disclosed official data. All the yen-selling (dollar-purchasing) interventions were carried...
High Frequency Contagion of Currency Crises in Asia
Using daily data during the period of Asian Currency Crises, this paper examines high-frequency contagion effects among Asian six countries. By identifying the origin' (of exchange rate depreciation,...
This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks. Although the Japan premium in the...
High-Frequency Contagion Between the Exchange Rates and Stock Prices
This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis,...
What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function
This paper analyzes and estimates the reaction function of the Japanese monetary authorities in deciding when to intervene in the foreign exchange (forex) markets, using daily Japanese intervention...
Macroeconomic consequences of a large currency depreciation among the crisis-hit Asian economies had varied from one country to another. Inflation did not soar in most Asian countries, including...
Price Impacts of Deals and Predictability of the Exchange Rate Movements
This paper examines the price impact and the predictability of the exchange rate movement using the transaction data recorded in the electronic broking system of the spot foreign exchange market. The...
A Stochastic Approach to Disequilibrium Macroeconomics
Seppo Honkapohja, Takatoshi Ito
In this paper, our aim is to develop an alternative approach to analyzing a macroeconomic model where markets do not clear. Earlier approaches have had difficulties in interpreting effective demand,...
This paper explores an econometric estimation technique for dynamic linear models. The method combines the analytics of moving average solutions to dynamic models together with computational...
Charles Goodhart, Takatoshi Ito, Richard Payne
The paper utilized foreign exchange data (bid, ask and transaction prices and quantities) collected from the screen of the electronic broking system (Reuter D2000-2) on June 16, 1993. The bid and ask...
Labor Contracts with Voluntary Quits.
This paper considers labor contracts between the risk-neutral firm and risk-averse workers with heterogeneous outside opportunities (alternative wages), which become known to the worker after a...
Is There Private Information in the FX Market? The Tokyo Experiment
Takatoshi Ito, Richard K. Lyons, Michael T. Melvin
It is a common view that private information in the foreign exchange market does not exist. We provide evidence against this view. The evidence comes from the introduction of trading in Tokyo over...
Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks
In the late 1990s, several large Japanese banks failed for the first time in its postwar history. As the financial environment was deteriorating further, several remaining banks decided to merge...
DEPOSIT GUARANTEES AND THE BURST OF THE JAPANESE BUBBLE ECONOMY
THOMAS F. CARGILL, MICHAEL M. HUTCHISON, TAKATOSHI ITO
This paper examines the current status of deposit guarantees in Japan and how they have functioned during the burst of the bubble economy in the first half of the 1990s. During this period, the...
The Political Economy of Japanese Monetary Policy
Thomas F. Cargill, Michael M. Hutchison, Takatoshi Ito
In The Political Economy of Japanese Monetary Policy, Cargill, Hutchison, and Takatoshi investigate the formulation and execution of monetary and financial policies in Japan within a broad technical,...
Financial Policy and Central Banking in Japan
Thomas F. Cargill, Michael M. Hutchison, Takatoshi Ito
Japan's financial institutions and policy underwent remarkable change in the past decade. The country began the 1990s with a heavily regulated financial system managed by an unchallenged Ministry of...
A comparative perspective and an analytic approach grounded in mainstream economics distinguish this broad, accessible introduction to the Japanese economy. Throughout, Ito utilizes standard economic...
Macroeconomic Impacts of Aging in Japan on the Balance of Current Accounts
This paper investigates questions regarding the saving rates by age brackets and aggregate savings, and then conducts a simulation analysis of the current account, from the I-S balances of...
Market impacts of Japanese macroeconomic announcements within minutes on the dollar/yen foreign exchange are analyzed. High-frequency data collected from the actual trading platform, EBS, are used....
Solvable Stochastic Dealer Models for Financial Markets
Kenta Yamada, Hideki Takayasu, Takatoshi Ito, Misako Takayasu
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost...