Content
Undated material is presented at the end, although it may be more recent than other items
2020
- CARF-F-486 Average Inflation Targeting and the Interest Rate Lower Bound
by Flora Budianto & Taisuke Nakata & Sebastian Schmidt - CARF-F-485 Optimal Inflation Target with Expectations-Driven Liquidity Traps
by Philip Coyle & Taisuke Nakata - CARF-F-484 Credible Forward Guidance
by Taisuke Nakata & Takeki Sunakawa - CARF-F-483 Monetary Policy Options at the Effective Lower Bound: Assessing the Federal Reserveâ€™s Current Policy Toolkit
by Hess Chung & Etienne Gagnon & Taisuke Nakata & Matthias Paustian & Bernd Schlusche & James Trevino & Diego VilÃ¡n & Wei Zheng - CARF-F-482 Equilibrium Yield Curves and the Interest Rate Lower Bound
by Taisuke Nakata & Takeki Sunakawa - CARF-F-481 A Promised Value Approach to Optimal Monetary Policy
by Timothy Hills & Taisuke Nakata & Takeki Sunakawa - CARF-F-480 Speed Limit Policy and Liquidity Traps
by Taisuke Nakata & Sebastian Schmidt & Paul Yoo - CARF-F-477 How Much Did People Refrain from Service Consumption due to the Outbreak of COVID-19?
by Tsutomu Watanabe & Yuki Omori - CARF-F-476 Capital Market Integration with Multiple Convergence Clubs: The Case of Prewar Japan
by Tsutomu Watanabe - CARF-F-475 Capital Market Integration with Multiple Convergence Clubs: The Case of Prewar Japan
by Tetsuji Okazaki & Koji Sakai - CARF-F-474 Mechanism Design with Blockchain Enforcement
by Hitoshi Matsushima & Shunya Noda - CARF-F-473 A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
by Masaaki Fujii & Akihiko Takahashi - CARF-F-472 Recurrent Preemption Games
by Hitoshi Matsushima
2019
- CARF-F-471 A novel approach to asset pricing with choice of probability measures
by Taiga Saito & Akihiko Takahashi - CARF-F-470 Online Appendix for Interest Rate Model with Investor Attitude and Text Mining
by Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi - CARF-F-468 Sequential Îµ-Contamination with Learning
by Hiroyuki Kato & Kiyohiko G. Nishimura & Hiroyuki Ozaki - CARF-F-467 Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations
by Masaaki Fujii - CARF-F-466 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments (Revised version of CARF-F-433)
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-465 How Large is the Demand for Money at the ZLB? Evidence from Japan
by Tsutomu Watanabe & Tomoyoshi Yabu - CARF-F-464 Mechanism Design with General Ex-Ante Investments (Revised version of F415 )
by Hitoshi Matsushima & Shunya Noda - CARF-F-463 Detecting stock market bubbles based on the cross-sectional dispersion of stock prices
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-462 Information Design in Blockchain: A Role of Trusted Intermediaries
by Hitoshi Matsushima - CARF-F-461 House Price Dispersion in Boom-Bust Cycles: Evidence from Tokyo
by Takaaki Ohnishi & Takayuki Mizuno & Tsutomu Watanabe - CARF-F-460 State space approach to adaptive fuzzy modeling for financial investment (Published in Applied Soft Computing)
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-459 Blockchain Disables Real-World Governance
by Hitoshi Matsushima - CARF-F-458 Forecasting Japanese inflation with a news-based leading indicator of economic activities
by Keiichi Goshima & Hiroshi Ishijima & Mototsugu Shintani & Hiroki Yamamoto - CARF-F-457 Recurrent Bubbles and Economic Growth
by Pablo A. Guerron-Quintana & Tomohiro Hirano & Ryo Jinnai - CARF-F-456 Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs (Forthcoming in Asia-Pacific Financial Markets)
by Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi - CARF-F-454 Approximation Method Using Black-Scholes Formula for Path-Dependent Option Pricing under LÃ©vy Models
by Kaimon Miyachi & Kenichiro Shiraya & Akira Yamazaki - CARF-F-453 Partial Ex-Post Verifiability and Unique Implementation of Social Choice Functions
by Hitoshi Matsushima - CARF-F-452 Behavioral Theory of Repeated Prisonerâ€™s Dilemma: Generous Tit-For-Tat Strategy (Forthcoming in the B. E. Journal of Theoretical Economics)
by Hitoshi Matsushima - CARF-F-451 Stochastic Differential Game in High Frequency Market (Forthcoming in Automatica)
by Taiga Saito & Akihiko Takahashi
2018
- CARF-F-450 Trade Clustering and Power Laws in Financial Markets
by Makoto Nirei & John Stachurski & Tsutomu Watanabe - CARF-F-449 Predicting Adverse Media Risk using a Heterogeneous Information Network
by Ryohei Hisano & Didier Sornette & Takayuki Mizuno - CARF-F-448 Application of Online Booking Data to Hotel Revenue Management (Forthcoming in International Journal of Information Management)
by Taiga Saito & Akihiko Takahashi & Noriaki Koide & Yu Ichifuji - CARF-F-447 Bank Runs and Minimum Reciprocity
by Hitoshi Matsushima - CARF-F-446 Term Structure Models During the Global Financial Crisis: A Parsimonious Text Mining Approach(Forthcoming in "Asia-Pacific Financial Markets". )
by Kiyohiko G. Nishimura & Seisho Sato & Akihiko Takahashi - CARF-F-445 Asymptotic Expansion for Forward-Backward SDEs with JumpsAsymptotic Expansion for Forward-Backward SDEs with Jumps (Forthcoming in Stochastics) (Revised version of F-372)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-444 The Demand for Money at the Zero Interest Rate Bound
by Tsutomu Watanabe & Tomoyoshi Yabu - CARF-F-443 Implementation without Expected Utility: Ex-Post Verifiability
by Hitoshi Matsushima - CARF-F-442 The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience
by Jess Diamond & Kota Watanabe & Tsutomu Watanabe - CARF-F-441 Bitcoin technical trading with artificial neural network
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-440 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Forthcoming in Stochastics and Dynamics) (Revised version of F-431)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-439 Timing Games with Irrational Types: Leverage-Driven Bubbles and Crash-Contingent Claims (Revised version of CARF-F-306)(Forthcoming in the B. E. Journal of Theoretical Economics.)
by Hitoshi Matsushima - CARF-F-438 Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-(Forthcoming in Asia-Pacific Financial Markets)(Revised version of CARF-F-411)
by Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino - CARF-F-437 Online Supplement for "Stochastic Differential Game in High Frequency Market"
by Taiga Saito & Akihiko Takahashi - CARF-F-436 Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions (Forthcoming in Stochastic Processes and their Applications) (Revised version of CARF-F-398)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-434 Herding and Power Laws in Financial Markets
by Makoto Nirei & John Stachurski & Koichiro Takaoka & Tsutomu Watanabe - CARF-F-433 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-432 Psychological Aspect of Monitoring Accuracy in Repeated Prisonersâ€™ Dilemma
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-431 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers (Revised version of F-409)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-430 Bitcoin technical trading with artificial neural network
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-429 Listing and Financial Constraints
by Kenichi Ueda & Akira Ishide & Yasuo Goto - CARF-F-428 Framing Game Theory
by Hitoshi Matsushima - CARF-F-427 An approximation formula for normal implied volatility under general local stochastic volatility models
by Yasaman Karami & Kenichiro Shiraya - CARF-F-422 State Space Approach to Adaptive Artificial Intelligence Modeling: Application to Financial Portfolio with Fuzzy System
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi
2017
- CARF-F-426 Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models (Revised version of CARF-F-365 : Subsequently published in Mathematics of Operations Research)
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-425 Framing Game Theory
by Hitoshi Matsushima - CARF-F-424 Understanding Macroeconomic Statistics: An "Ideal-Type" Economy Approach
by Kiyohiko G. Nishimura & Junko Ishikawa - CARF-F-423 Asymptotic Expansion as Prior Knowledge in Deep Learning Method for high dimensional BSDEs
by Masaaki Fujii & Akihiko Takahashi & Masayuki Takahashi - CARF-F-421 Optimal overbooking strategy in online hotel booking systems¡ÊRevised as "Application of Online Booking Data to Hotel Revenue Management" in F-448¡Ë
by Taiga Saito & Akihiko Takahashi & Noriaki Koide & Yu Ichifuji - CARF-F-420 Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability (Forthcoming in Stochastic Processes and their Applications)(revised version of CARF-F-395)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-419 On the effect of Bank of Japan's outright purchase on the JGB yield curve
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi & Takami Tokioka - CARF-F-418 Hedging and Pricing Illiquid Options with Market Impacts (Forthcoming in International Journal of Financial Engineering)
by Taiga Saito - CARF-F-417 Derivatives Pricing with Market Impact and Limit Order Book (Forthcoming in Automatica.)(Revised version of F-385)
by Taiga Saito & Akihiko Takahashi - CARF-F-416 Dynamic Implementation, Verification, and Detection
by Hitoshi Matsushima - CARF-F-415 Mechanism Design in Hidden Action and Hidden Information: Richness and Pure-VCG (Revised version of F-386)
by Hitoshi Matsushima & Shunya Noda - CARF-F-414 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory (Revised version of F-381)
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-413 Robust technical trading with fuzzy knowledge-based systems (Forthcoming in "Frontiers in Artificial Intelligence and Applications".)
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-412 Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models Online Appendix
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-411 Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-
by Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino - CARF-F-410 Why Has Japan Failed to Escape from Deflation?
by Kota Watanabe & Tsutomu Watanabe - CARF-F-409 Anticipated Backward SDEs with Jumps and quadratic-exponential growth drivers
by Masaaki Fujii & Akihiko Takahashi - CARF-F-408 Price Rigidity at Near-Zero Inflation Rates: Evidence from Japan
by Kota Watanabe & Tsutomu Watanabe - CARF-F-407 Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
by Elisa Alos & Kenichiro Shiraya - cf406 Creating Investment Scheme with State Space Modeling
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-405 Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in "Knowledge-Based Systems")
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-404 Portfolio Choice and Its Predictions on Japanese Municipalities in the 2040s
by Yoshihiro Tamai & Chihiro Shimizu & Kiyohiko G. Nishimura - CARF-F-385 Derivatives Pricing with Market Impact and Limit Order Book
by Taiga Saito & Akihiko Takahashi - CARF-F-383 This paper proposes a new approach to style analysis of mutual funds in a general state space framework with particle filtering and generalized simulated annealing (GSA). Speci cally, we regard the ex-posure of each style index as a latent state variable in a state space model and employ a Monte Carlo filter as a particle filtering method, where GSA is effectively applied to estimating unknown parameters. An empirical analysis using data of three Japanese equity mu- tual funds with six standard style indexes con rms the validity of our method. Moreover, we create fund-specific style indexes to further improves estimation in the analysis
by Takaya Fukui & Seisho Sato & Akihiko Takahashi
2016
- CARF-F-403 Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection (Forthcoming in "Expert Systems With Applications")
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-402 Predicting accounting fraud: Evidence from Japan (Accepted by The Japanese Accounting Review)
by Song Mingzi & Naoto Oshiro & Akinobu Shuto - CARF-F-401 Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar
by Shin-ichi Fukuda & Mariko Tanaka - CARF-F-400 Product Turnover and Deflation: Evidence from Japan
by Kozo Ueda & Kota Watanabe & Tsutomu Watanabe - CARF-F-399 The Effect of Bank Recapitalization Policy on Corporate Investment: Evidence from a Banking Crisis in Japan
by Hiroyuki Kasahara & Yasuyuki Sawada & Michio Suzuki - CARF-F-398 Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions(Revised version of CARF-F-387)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-397 An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
by Kenichiro Shiraya - CARF-F-396 Monopoly Rights and Economic Growth: An Inverted U-Shaped Relation
by Kenichi Ueda & Stijn Claessen - CARF-F-395 Quadratic-exponential growth BSDEs with Jumps and their Malliavinâ€™s Differentiability (revised version of CARF-F-376)
by Masaaki Fujii & Akihiko Takahashi - CARF-F-394 An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Forthcoming in Asia-Pacific Financial Markets)
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-393 Who buys what, where: Reconstruction of the international trade flows by commodity and industry
by Yuichi Ikeda & Tsutomu Watanabe - CARF-F-392 Power laws in market capitalization during the Dot-com and Shanghai bubble periods
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-391 A Return Prediction-based Investment with Particle Filtering and Anomaly Detection
by Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi - CARF-F-390 Abenomics after Four Years: Formidable Challenges ahead with Limited Policy Tools
by Kazuo Ueda - CARF-F-389 The gradual evolution of buyer-seller networks and their role in aggregate fluctuations
by Ryohei Hisano & Tsutomu Watanabe & Takayuki Mizuno & Takaaki Ohnishi & Didier Sornette - CARF-F-388 The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience
by Jess Diamond & Kota Watanabe & Tsutomu Watanabe - CARF-F-387 Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions
by Masaaki Fujii & Akihiko Takahashi - CARF-F-386 Mechanism Design in Hidden Action and Hidden Information: Richness and Pure Groves
by Hitoshi Matsushima & Shunya Noda - CARF-F-384 Rebalancing Static Super-Replications (Forthcoming in International Journal of Financial Engineering)
by Akihiko Takahashi & Yukihiro Tsuzuki - CARF-F-382 A General Control Variate Method for Multi-dimensional SDEs: An Application to Multi-asset Options under Local Stochastic Volatility with Jumps Models in Finance (Subsequently published in "European Journal of Operational Research")
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-381 Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory
by Yutaka Kayaba & Hitoshi Matsushima & Tomohisa Toyama - CARF-F-380 Optimal Room Charge and Expected Sales under Discrete Choice Models with Limited Capacity (Forthcoming in "International Journal of Hospitality Management")
by Taiga Saito & Akihiko Takahashi & Hiroshi Tsuda - CARF-F-379 Three "Seismic Shifts" in the Global Economy and Policy Challenges
by Kiyohiko G. Nishimura - CARF-F-378 A General Framework for the Benchmark pricing in a Fully Collateralized Market (formerly titled as "Choice of Collateral Currecy Updated" carf-f-371; Forthcoming in Journal of Financial Engineering)
by Masaaki Fujii & Akihiko Takahashi
2015
- CARF-F-377 An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics)
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-376 Quadratic-exponential growth BSDEs with Jumps and their Malliavinâ€™s Differentiability
by Masaaki Fujii & Akihiko Takahashi - CARF-F-375 Price Impacts of Imperfect Collateralization (Revised version of CARF-F-355; Subsequently published in "International Journal of Financial Engineering")
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-374 Financial Disintermediation and Financial Fragility
by Kosuke Aoki & Kalin Nikolov - CARF-F-373 Currency intervention and the global portfolio balance effect: Japanese lessons
by Petra Gerlach-Kristen & Robert N McCauley & Kazuo Ueda - CARF-F-372 Asymptotic Expansion for Forward-Backward SDEs
by Masaaki Fujii & Akihiko Takahashi - CARF-F-371 Choice of Collateral Currency Updated -A market model for the benchmark pricing-
by Masaaki Fujii & Akihiko Takahashi - CARF-F-369 Managerial discretion over initial earnings forecasts
by Takuya Iwasaki & Norio Kitagawa & Akinobu Shuto - CARF-F-368 Management Earnings Forecasts as a Performance Target in Executive Compensation Contracts
by Shota Otomasa & Atsushi Shiiba & Akinobu Shuto - CARF-F-367 Credibility of management earnings forecasts and future returns
by Norio Kitagawa & Akinobu Shuto - CARF-F-366 Novel and topical business news and their impact on stock market activities
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-365 Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-364 Replicating Japan's CPI Using Scanner Data
by Satoshi Imai & Tsutomu Watanabe - CARF-F-363 An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-362 Structure of global buyer-supplier networks and its implications for conflict minerals regulations
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-361 An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-360 Optimal Position Management for a Market Maker with Stochastic Price Impacts
by Masaaki Fujii - CARF-F-359 Connected Price Dynamics with Revealed Preferences and Auctioneerâ€™s Discretionin VCG Combinatorial Auction (Published in the B. E. Journal of Theoretical Economics 18 (1), 2018.)
by Hitoshi Matsushima - CARF-F-358 A weak approximation with asymptotic expansion and multidimensional Malliavin weights
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-357 Optimal Mechanism Design: Type-Independent Preference Orderings (Published in the Japanese Economic Review 69 (4), 2018.)
by Hitoshi Matsushima - CARF-F-356 Asymptotic Expansion Approach in Finance
by Akihiko Takahashi
2014
- CARF-F-355 Price Impacts of Imperfect Collateralization
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-354 Multi-Belief Rational-Expectations Equilibria: Indeterminacy, Complexity And Sustained Deflation
by Kiyohiko G. Nishimura & Hiroyuki Ozaki S - CARF-F-353 Buyer-Supplier Networks and Aggregate Volatility
by Takayuki Mizuno & Wataru Souma & Tsutomu Watanabe - CARF-F-352 An FBSDE Approach to American Option Pricing with an Interacting Particle Method
by Masaaki Fujii & Seisho Sato & Akihiko Takahashi - CARF-F-351 Working Less and Bargain Hunting More:Macro Implications of Sales during Japan's Lost Decades
by Nao Sudo & Kozo Ueda & Kota Watanabe & Tsutomu Watanabe - CARF-F-350 A New Improvement Scheme for Approximation Methods of Probability Density Functions
by Akihiko Takahashi & Yukihiro Tsuzuki - CARF-F-349 A Semi-group Expansion for Pricing Barrier Options
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada - CARF-F-348 Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
by Masaaki Fujii & Akihiko Takahashi - CARF-F-347 On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research", Revised in September 2014)
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-346 Beauty Contests and Fat Tails in Financial Markets
by Makoto Nirei & Tsutomu Watanabe - CARF-F-345 Complexity of Payment Network
by Hitoshi Hayakawa - CARF-F-344 Safe Asset Shortages and Asset Price Bubbles
by Kosuke Aoki & Tomoyuki Nakajima & Kalin Nikolov - CARF-F-343 A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
by Masaaki Fujii - CARF-F-342 We construct a TÃ¶rnqvist daily price index using Japanese point of sale (POS) scannerdata spanning from 1988 to 2013. We find the following. First, the POS based inflation rate tends to be about 0.5 percentage points lower than the CPI inflation rate, although the difference between the two varies over time. Second, the difference between the two measures is greatest from 1992 to 1994, when, following the burst of bubble economy in 1991, the POS inflation rate drops rapidly and turns negative in June 1992, while the CPI inflation rate remains positive until summer 1994. Third, the standard deviation of daily POS inflation is 1.1 percent compared to a standard deviation for the monthly change in the CPI of 0.2 percent, indicating that daily POS inflation is much more volatile, mainly due to frequent switching between regular and sale prices. We show that the volatility in daily inflation can be reduced by more than 2daily inflation rate 0 percent by trimming the tails of product-level price change distributions. Finally, if we measure price changes from one day to the next and construct a chained TÃ¶rnqvist index, a strong chain drift arises so that the chained price index falls to 10-10 of the base value over the 25-year sample period, which is equivalent to an annual deflation rate of 60 percent. We provide evidence suggesting that one source of the chain drift is fluctuations in sales quantity before, during, and after a sale period
by Kota Watanabe & Tsutomu Watanabe - CARF-F-341 A New Improvement Scheme for Approximation Methods of Probability Density Functions
by Akihiko Takahashi & Yukihiro Tsuzuki - CARF-F-340 Speculative Attacks with Multiple Targets
by Junichi Fujimoto - CARF-F-339 The Structure and Evolution of Buyer-Supplier Networks
by Takayuki Mizuno & Wataru Souma & Tsutomu Watanabe - CARF-F-338 Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
by Masaaki Fujii & Akihiko Takahashi - CARF-F-337 Liquidity Preference And Knightian Uncertainty
by Kiyohiko G. Nishimura & Hiroyuki Ozaki
2013
- CARF-F-336 Pricing Basket Options under Local Stochastic Volatility with Jumps
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-335 A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-334 Aging and Real Estate Prices: Evidence from Japanese and US Regional Data
by Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-333 Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method
by Hideyuki Tanaka & Toshihiro Yamada - CARF-F-332 Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-
by Masaaki Fujii & Akihiko Takahashi - CARF-F-331 Role of Credit Default Swap in Bubbles and Crashes
by Hitoshi Matsushima - CARF-F-330 Auction Platform Design and the Linkage Principle
by Wataru Tamura - CARF-F-329 Optimal Monetary Policy and Transparency under Informational Friction
by Wataru Tamura - CARF-F-328 How Much Do Official Price Indexes Tell Us About Inflation?
by Jessie Handbury & Tsutomu Watanabe & David E. Weinstein - CARF-F-327 Do Wild Fluctuations in Quarterly Inventory Investment Data Matter?: A Study of Japanese GDP Statistics, 1994-2010
by Yoshiro Miwa - CARF-F-326 On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-325 Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets")
by Yukihiro Tsuzuki - CARF-F-324 On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-323 Bankâ€™s regulation, asset portfolio choice of banks, and macroeconomic dynamics
by Kosuke Aoki & Nao Sudo - CARF-F-322 A Regime-Switching SVAR Analysis of Quantitative Easing
by Fumio Hayashi & Junko Koeda - CARF-F-321 Making Mean-Variance Hedging Implementable in a Partially Observable Market
by Masaaki Fujii & Akihiko Takahashi - CARF-F-320 Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period
by Satoshi Imai & Tsutomu Watanabe - CARF-F-319 A Robust Version of Convex Integral Functionals
by Keita Owari - CARF-F-318 Dark Sides of Patent Pools with Compulsory Independent Licensing
by Akifumi Ishihara & Noriyuki Yanagawa - CARF-F-317 On the Lebesgue Property of Monotone Convex Functions
by Keita Owari - CARF-F-316 International Trade and Capital Movement under Financial Imperfection
by Taiji Furusawa & Taiji Furusawa, Noriyuki Yanagawa - CARF-F-315 Maximum Lebesgue Extension of Monotone Convex Functions
by Keita Owari - CARF-F-314 Why are product prices in online markets not converging?
by Takayuki Mizuno & Tsutomu Watanabe - CARF-F-313 Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices
by Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-312 Note on an Extension of an Asymptotic Expansion Scheme
by Akihiko Takahashi & Masashi Toda - CARF-F-310 Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations?
by Kazuo Ueda - CARF-F-309 Behavioral Approach to Repeated Games with Private Monitoring
by Hitoshi Matsushima & Tomomi Tanaka & Tomohisa Toyama - CARF-F-306 Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage: Awareness Heterogeneity
by Hitoshi Matsushima - CARF-F-305 A New Improvement Scheme for Approximation Methods of Probability Density Functions
by Akihiko Takahashi & Yukihiro Tsuzuki
2012
- CARF-F-370 The role of accounting conservatism in executive compensation contracts (Forthcoming in Journal of Business Finance and Accounting)
by Takuya Iwasaki & Shota Otomasa & Atsushi Shiiba & Akinobu Shuto - CARF-F-311 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering
by Masaaki Fujii - CARF-F-307 Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data
by C. Shimizu & W. E. Diewert & K. G. Nishimura & T. Watanabe - CARF-F-304 An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada - CARF-F-303 Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields
by Junko Koeda - CARF-F-302 An FBSDE Approach to American Option Pricing with an Interacting Particle Method
by Masaaki Fujii & Seisho Sato & Akihiko Takahashi - CARF-F-300 On the Optimal Super- and Sub-Hedging Strategies
by Yukihiro Tsuzuki - CARF-F-299 High quality topic extraction from business news explains abnormal financial market volatility
by Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-298 How Fast Are Prices in Japan Falling?
by Satoshi Imai & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-297 The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables
by Atushi Ishikawa & Shouji Fujimotoa & Tsutomu Watanabe & Takayuki Mizuno - CARF-F-296 An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-295 Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity
by Shin-ichi Fukuda - CARF-F-292 Optimal Multiunit Exchange Design with Single-Dimensionality
by Hitoshi Matsushima - CARF-F-291 How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s
by Yoshiro Miwa - CARF-F-290 Pricing Multi-Asset Cross Currency Options
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-289 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering and other Problems
by Masaaki Fujii - CARF-F-288 Role of Leverage in Bubbles and Crashes
by Hitoshi Matsushima - CARF-F-287 Maximum Lebesgue Extension Of Convex Risk Measures
by Keita Owari - CARF-F-286 Note on an Extension of an Asymptotic Expansion Scheme
by Akihiko Takahashi & Masashi Toda - CARF-F-285 Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes
by Hitoshi Matsushima - CARF-F-284 Inequalities in Japanese Economy during the Lost Decades
by Nao Sudo & Michio Suzuki & Tomoaki Yamadai - CARF-F-283 Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007
by Kazuo Ueda - CARF-F-282 The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles
by Yasushi Asako & Kozo Ueda - CARF-F-281 Collateralized CDS and Default Dependence -Implications for the Central Clearing
by Masaaki Fujii & Akihiko Takahashi - CARF-F-280 Channels of Stabilization in a System of Local Public Health Insurance: The Case of the National Health Insurance in Japan
by Masayoshi Hayashi - CARF-F-279 Optimal Multiunit Exchange Design
by Hitoshi Matsushima - CARF-F-278 Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
by Masaaki Fujii & Akihiko Takahashi - CARF-F-277 Application Of The Kusuoka Approximation To Barrier Options
by Shigeto Kusuoka & Mariko Ninomiya & Syoiti Ninomiya