Kentaro Kikuchi

Personal Details

First Name:	Kentaro
Middle Name:
Last Name:	Kikuchi
Suffix:
RePEc Short-ID:	pki712
	[This author has chosen not to make the email address public]

Affiliation

Faculty of Economics
Shiga University

Hikone, Japan
http://www.econ.shiga-u.ac.jp/
RePEc:edi:feshijp (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Yoshi FUJIWARA & Hiroyasu INOUE & Takayuki YAMAGUCHI & Hideaki AOYAMA & Takuma TANAKA & Kentaro KIKUCHI, 2021. "Money Flow Network Among Firms' Accounts in a Regional Bank of Japan," Discussion papers 21005, Research Institute of Economy, Trade and Industry (RIETI).

   Cited by:

   1. Hideaki Aoyama, 2021. "XRP Network and Proposal of Flow Index," Papers 2106.10012, arXiv.org.

2. Akio Hattori & Kentaro Kikuchi & Fuminori Niwa & Yoshihiko Uchida, 2014. "A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market," IMES Discussion Paper Series 14-E-03, Institute for Monetary and Economic Studies, Bank of Japan.

   Cited by:

   1. Kalpakam G & Krina TRIVEDI, 2021. "Systemic Risk in Indian Banking: Measurement and Impact of COVID-19," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 143-151.
   2. Somnath Chatterjee & Andreas Jobst, 2019. "Market-implied systemic risk and shadow capital adequacy," Bank of England working papers 823, Bank of England.
   3. Kleinow, Jacob & Moreira, Fernando & Strobl, Sascha & Vähämaa, Sami, 2017. "Measuring systemic risk: A comparison of alternative market-based approaches," Finance Research Letters, Elsevier, vol. 21(C), pages 40-46.
   4. Maghyereh, Aktham & Abdoh, Hussein, 2021. "The effect of structural oil shocks on bank systemic risk in the GCC countries," Energy Economics, Elsevier, vol. 103(C).
   5. Jamshed Iqbal & Sami Vähämaa, 2019. "Managerial risk-taking incentives and the systemic risk of financial institutions," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 1229-1258, November.
   6. Mihir Dash, 2021. "Non-Performing Loans and Systemic Risk of Indian Banks," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 10(1), pages 10-20, April.

3. Kentaro Kikuchi, 2012. "Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions," IMES Discussion Paper Series 12-E-08, Institute for Monetary and Economic Studies, Bank of Japan.

   Cited by:

   1. Kei Imakubo & Jouchi Nakajima, 2015. "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model," Bank of Japan Working Paper Series 15-E-1, Bank of Japan.
   2. Hibiki Ichiue & Yoichi Ueno, 2013. "Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields," Bank of Japan Working Paper Series 13-E-8, Bank of Japan.

4. Kentaro Kikuchi & Kohei Shintani, 2012. "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," IMES Discussion Paper Series 12-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
   • Kentaro Kikuchi & Kohei Shintani, 2012. "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 30, pages 75-122, November.

   Cited by:

   1. Hattori, Takahiro & Miyake, Hiroki, 2016. "Yield Curve for Japanese Agency Bonds: From 2002 to the Present," MPRA Paper 71487, University Library of Munich, Germany.
   2. Wali Ullah & Yasumasa Matsuda, 2014. "Generalized Nelson-Siegel Term Structure Model : Do the second slope and curvature factors improve the in-sample fit and out-of-sample forecast?," TERG Discussion Papers 312, Graduate School of Economics and Management, Tohoku University.
   3. Wali Ullah, 2020. "The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?," Empirical Economics, Springer, vol. 59(3), pages 1243-1284, September.
   4. Yoshiyuki Shimai & Naoki Makimoto, 2023. "Multi-period Dynamic Bond Portfolio Optimization Utilizing a Stochastic Interest Rate Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 817-844, December.
   5. Hattori, Takahiro, 2023. "The premium and settlement of CCPs during the financial crisis: Evidence from the JGB market," Journal of International Money and Finance, Elsevier, vol. 132(C).
   6. Hattori, Takahiro, 2019. "J-liquidity measure: The term structure of the liquidity premium in Japan," Japan and the World Economy, Elsevier, vol. 49(C), pages 61-72.
   7. NAKAJIMA, Jouchi, 2024. "Central bank balance sheets and long-term interest rates : Revisiting Japan's unconventional monetary policy experience," Discussion Paper Series 758, Institute of Economic Research, Hitotsubashi University.
   8. Nagao, Ryoya & Kondo, Yoshihiro & Nakazono, Yoshiyuki, 2021. "The macroeconomic effects of monetary policy: Evidence from Japan," Journal of the Japanese and International Economies, Elsevier, vol. 61(C).
   9. Yoshiyuki Suimon & Hiroki Sakaji & Kiyoshi Izumi & Hiroyasu Matsushima, 2020. "Autoencoder-Based Three-Factor Model for the Yield Curve of Japanese Government Bonds and a Trading Strategy," JRFM, MDPI, vol. 13(4), pages 1-21, April.
   10. Kentaro Kikuchi, "undated". "A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy," Discussion Papers CRR Discussion Paper Series B: Financial 19, Shiga University, Faculty of Economics,Center for Risk Research.
   11. Hattori, Takahiro, 2018. "Decomposing Japanese municipal bond spreads: Default and liquidity premiums in times of crisis," Journal of Asian Economics, Elsevier, vol. 59(C), pages 16-28.
   12. Hattori, Takahiro & Miyake, Hiroki, 2016. "The Japan Municipal Bond Yield Curve: 2002 to the Present," MPRA Paper 69725, University Library of Munich, Germany.
   13. Takahiro Hattori & Hiroki Miyake, 2016. "The Japan Municipal Bond Yield Curve: 2002 to the Present," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(6), pages 118-118, June.
   14. Mmakganya Mashoene & Mishelle Doorasamy & Rajendra Rajaram, 2021. "The application of different term-structure models to estimate South African real spot rate curve," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 10(3), pages 21-36, July.
   15. Kentaro Kikuchi, 2024. "A term structure interest rate model with the Brownian bridge lower bound," Annals of Finance, Springer, vol. 20(3), pages 301-328, September.
   16. Wali ULLAH & Khadija Malik BARI, 2018. "The Term Structure of Government Bond Yields in an Emerging Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-28, September.

5. Kentaro Kikuchi, "undated". "A Global Joint Pricing Model of Stocks and Bonds Based on the Quadratic Gaussian Approach," Discussion Papers CRR Discussion Paper Series B: Financial 18, Shiga University, Faculty of Economics,Center for Risk Research.

   Cited by:

   1. Bolorsuvd BATBOLD & Kentaro Kikuchi & Koji Kusuda, "undated". "A Semi-analytical Solution to Consumption and International Asset Allocation Problem," Discussion Papers CRR Discussion Paper Series B: Financial 17, Shiga University, Faculty of Economics,Center for Risk Research.

Articles

1. Kentaro Kikuchi, 2024. "A term structure interest rate model with the Brownian bridge lower bound," Annals of Finance, Springer, vol. 20(3), pages 301-328, September.

   Cited by:

   1. Kentaro Kikuchi & Koji Kusuda, 2024. "Age-dependent robust strategic asset allocation with inflation–deflation hedging demand," Mathematics and Financial Economics, Springer, volume 18, number 4, January.
   2. Bolorsuvd Batbold & Kentaro Kikuchi & Koji Kusuda, 2025. "Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(2), pages 1991-2024, December.

2. Kentaro Kikuchi & Kohei Shintani, 2012. "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 30, pages 75-122, November.
   • Kentaro Kikuchi & Kohei Shintani, 2012. "Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data," IMES Discussion Paper Series 12-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
   See citations under working paper version above.

Chapters

1. Kentaro Kikuchi, 2016. "Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis," World Scientific Book Chapters, in: Masaaki Kijima & Yukio Muromachi & Takashi Shibata (ed.), RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014, chapter 6, pages 107-131, World Scientific Publishing Co. Pte. Ltd..

   Cited by:

   1. Kentaro Kikuchi, "undated". "A Global Joint Pricing Model of Stocks and Bonds Based on the Quadratic Gaussian Approach," Discussion Papers CRR Discussion Paper Series B: Financial 18, Shiga University, Faculty of Economics,Center for Risk Research.

Books

1. Kentaro Kikuchi & Koji Kusuda, 2024. "Age-dependent robust strategic asset allocation with inflation–deflation hedging demand," Mathematics and Financial Economics, Springer, volume 18, number 4, January.

   Cited by:

   1. Guohui Guan & Zongxia Liang & Yi Xia, 2025. "Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets," Mathematics and Financial Economics, Springer, volume 19, number 4, January.
   2. Bolorsuvd Batbold & Kentaro Kikuchi & Koji Kusuda, 2025. "Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(2), pages 1991-2024, December.

2. Bolorsuvd Batbold & Kentaro Kikuchi & Koji Kusuda, 2022. "Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk," Mathematics and Financial Economics, Springer, volume 16, number 4, January.

   Cited by:

   1. Kentaro Kikuchi & Koji Kusuda, 2024. "Age-dependent robust strategic asset allocation with inflation–deflation hedging demand," Mathematics and Financial Economics, Springer, volume 18, number 4, January.
   2. Bolorsuvd Batbold & Kentaro Kikuchi & Koji Kusuda, 2025. "Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(2), pages 1991-2024, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-MAC: Macroeconomics (3) 2016-06-04 2021-04-12 2021-04-12
2. NEP-CBA: Central Banking (2) 2012-05-02 2014-05-04
3. NEP-MON: Monetary Economics (2) 2021-03-15 2021-04-12
4. NEP-ORE: Operations Research (2) 2014-05-04 2021-04-12
5. NEP-UPT: Utility Models and Prospect Theory (2) 2016-06-04 2021-04-12
6. NEP-BAN: Banking (1) 2014-05-04
7. NEP-CWA: Central and Western Asia (1) 2021-03-15
8. NEP-FMK: Financial Markets (1) 2012-05-02
9. NEP-NET: Network Economics (1) 2021-03-15
10. NEP-RMG: Risk Management (1) 2014-05-04

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