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Jouchi Nakajima

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Personal Details

First Name: Jouchi
Middle Name:
Last Name: Nakajima
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RePEc Short-ID: pna189

Email: [This author has chosen not to make the email address public]
Homepage: http://sites.google.com/site/jnakajimaweb/
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Affiliation

Bank of Japan
Location: Tokyo, Japan
Homepage: http://www.boj.or.jp/
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Handle: RePEc:edi:bojgvjp (more details at EDIRC)

Works

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Working papers

  1. Jouchi Nakajima, 2011. "Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications," IMES Discussion Paper Series 11-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
  2. Jouchi Nakajima, 2011. "Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach," IMES Discussion Paper Series 11-E-08, Institute for Monetary and Economic Studies, Bank of Japan.
  3. Jouchi Nakajima & Toshiaki Watanabe, 2011. "Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy," Global COE Hi-Stat Discussion Paper Series gd11-196, Institute of Economic Research, Hitotsubashi University.
  4. Jouchi Nakajima & Shigenori Shiratsuka & Yuki Teranishi, 2010. "The Effects of Monetary Policy Commitment: Evidence from Time- varying Parameter VAR Analysis," IMES Discussion Paper Series 10-E-06, Institute for Monetary and Economic Studies, Bank of Japan.
  5. Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models," CIRJE F-Series CIRJE-F-738, CIRJE, Faculty of Economics, University of Tokyo.
  6. Jouchi Nakajima & Yasuhiro Omori, 2010. ""GH skew Student's t-distribution in stochastic volatility model with application to stock returns" (in Japanese)," CIRJE J-Series CIRJE-J-228, CIRJE, Faculty of Economics, University of Tokyo.
  7. Jouchi Nakajima & Nao Sudo & Takayuki Tsuruga, 2010. "How well do the sticky price models explain the disaggregated price responses to aggregate technology and monetary policy shocks?," IMES Discussion Paper Series 10-E-22, Institute for Monetary and Economic Studies, Bank of Japan.
  8. Jouchi Nakajima & Munehisa Kasuya & Toshiaki Watanabe, 2009. "Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy," Global COE Hi-Stat Discussion Paper Series gd09-072, Institute of Economic Research, Hitotsubashi University.
  9. Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter, 2009. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," IMES Discussion Paper Series 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
  10. Jouchi Nakajima & Yuki Teranishi, 2009. "The Evolution of Loan Rate Stickiness Across the Euro Area," IMES Discussion Paper Series 09-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
  11. Jouchi Nakajima & Yasuhiro Omori, 2009. "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution," CARF F-Series CARF-F-199, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  12. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
  13. Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," CIRJE F-Series CIRJE-F-514, CIRJE, Faculty of Economics, University of Tokyo.
  14. Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )," CARF F-Series CARF-F-107, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  15. Shin-ichi Fukuda & Munehisa Kasuya & Jouchi Nakajima, 2005. "Bank Health and Investment: An Analysis of Unlisted Companies in Japan," CIRJE F-Series CIRJE-F-330, CIRJE, Faculty of Economics, University of Tokyo.
  16. Shin-ichi Fukuda & Munehisa Kasuya & Jouchi Nakajima, 2005. "Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies Undergoing Financial Distress," CIRJE F-Series CIRJE-F-364, CIRJE, Faculty of Economics, University of Tokyo.
  17. Shin-ichi Fukuda & Munehisa Kasuya & Jouchi Nakajima, 2005. "Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies Undergoing Financial Distress (Subsequently published in "Journal of the Asia Pacific Economy" Vo.11, No.4, D," CARF F-Series CARF-F-042, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  18. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference," CIRJE F-Series CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo.
  19. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. )," CARF F-Series CARF-F-011, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

Articles

  1. Nakajima, Jouchi & Kasuya, Munehisa & Watanabe, Toshiaki, 2011. "Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy," Journal of the Japanese and International Economies, Elsevier, vol. 25(3), pages 225-245, September.
  2. Nakajima Jouchi, 2011. "Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-24, October.
  3. Nakajima, Jouchi & Omori, Yasuhiro, 2009. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2335-2353, April.
  4. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.

NEP Fields

19 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2005-10-15
  2. NEP-CBA: Central Banking (7) 2009-06-03 2009-07-11 2010-03-28 2010-10-02 2011-04-02 2011-04-02 2011-08-09. Author is listed
  3. NEP-CFN: Corporate Finance (1) 2005-04-03
  4. NEP-CMP: Computational Economics (1) 2004-08-31
  5. NEP-ECM: Econometrics (13) 2004-08-31 2004-12-12 2007-09-09 2008-09-29 2009-06-03 2009-07-11 2009-11-27 2010-01-16 2010-04-17 2010-11-20 2011-04-02 2011-04-02 2011-08-09. Author is listed
  6. NEP-ETS: Econometric Time Series (11) 2004-08-31 2004-12-12 2007-09-09 2008-09-29 2009-11-27 2010-01-16 2010-04-17 2010-11-20 2011-01-30 2011-04-02 2011-08-09. Author is listed
  7. NEP-FIN: Finance (3) 2004-08-31 2004-12-12 2004-12-15
  8. NEP-FMK: Financial Markets (3) 2005-04-03 2005-10-15 2008-09-29
  9. NEP-MAC: Macroeconomics (3) 2009-06-03 2009-07-11 2010-10-02
  10. NEP-MON: Monetary Economics (5) 2009-06-03 2009-07-11 2010-03-28 2011-04-02 2011-08-09. Author is listed
  11. NEP-OPM: Open Economy Macroeconomics (1) 2010-10-02
  12. NEP-ORE: Operations Research (4) 2009-06-03 2009-07-11 2009-11-27 2011-04-02
  13. NEP-RMG: Risk Management (5) 2004-08-31 2008-09-29 2009-11-27 2010-11-20 2011-01-30. Author is listed
  14. NEP-SEA: South East Asia (1) 2005-04-03

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