Papers - Fujiwara Ippei

Financial markets forecasts revisited: Are they rational, stubborn or jumpy?

Fujiwara, Ippei, Ichiue, Hibiki, Nakazono, Yoshiyuki, Shigemi, Yosuke

ECONOMICS LETTERS (ELSEVIER SCIENCE SA)  118 ( 3 ) 526 - 530 2013.03

Research paper (scientific journal),  ISSN  0165-1765

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This paper evaluates professional forecasters' behavior using a panel data of individual forecasts. We find that (i) professional forecasts are behavioral, and (ii) there exists a stock bond dissonance: the forecasting behavior seems to be stubborn in the stock market, but jumpy in the bond market Even in the same country, forecasting behavior is quite different by market. (C) 2013 Elsevier B.V. All rights reserved.

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The impact of unconventional monetary policy on the overnight interbank market

M Bech, C Monnet

Liquidity and Funding Markets, RBA Annual Conference Volume. Reserve Bank of …  2013

Discussion of The Impact of Unconventional Monetary Policy on the Overnight Interbank Market

I Fujiwara

RBA Annual Conference Volume  2013

The G-20 and Central Banks in the New World of Unconventional Monetary Policy

I Atiyas, H Bhorat, K Derviş, P Drysdale, CR Frischtak, I Fujiwara, D Gros, ...

Bookings Institute, Erişim: http://goo. gl/2wrQsS  2013

Financial stability in open economies

Y Teranishi, I Fujiwara

AJRC Working Papers  2013

Monetary Policy Cooperation-Policy Prescriptions from New Open Economy Macroeconomics

I Fujiwara

Institute of Economic Research, Hitotsubashi University  2013

Japanese inflation: a monetary or fiscal phenomenon?

I Fujiwara

East Asia Forum 8  2013

How Should the World View Japan's New Economic Policy Strategy?

P Drysdale, I Fujiwara

The G-20 and Central Banks in the New World of Unconventional Monetary Policy, 9  2013

Optimal Monetary Policy with the Cost Channel Revisited

I Fujiwara, Y Nakazono

Discussion paper, mimeo  2013

Asian Financial Linkage

Fujiwara Ippei, Takahashi Koji

Pacific Economic Review 17 ( 1 ) 136 - 159 2012.02

ISSN  1361-374X

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<p>How are Asian financial markets interlinked and how are they linked to markets in developed countries? What is the main driver of fluctuations in Asian financial markets as well as real economic activity? To answer these questions, we estimate the spillover index proposed by Diebold and Yilmaz and gauge the degree of interaction in both financial markets and real economic activity among Asian economies. We first show that the degree of the international spillover in stock markets is uniform, irrespective of the groups of countries concerned, such as the G3 and ASEAN4. This suggests the importance of global common shocks in stock markets. We then discuss the macro-finance dissonance. In stock and bond markets, the United States has been the main driver of fluctuations. However, China has emerged as an important source of fluctuations in real economic activity.</p>

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ASIAN FINANCIAL LINKAGE: MACRO-FINANCE DISSONANCE

Fujiwara, Ippei, Takahashi, Koji

PACIFIC ECONOMIC REVIEW 17 ( 1 ) 136 - 159 2012.02

Research paper (scientific journal),  ISSN  1361-374X

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The missing piece in the puzzle of the lost decades

I Fujiwara

ANU ePress  2012

Asian Financial Linkage: Macro‐Finance Dissonance

I Fujiwara, K Takahashi

Pacific Economic Review 17 (1), 136-159  2012

Macroeconomics and Finance: How Dynamic Macroeconomic Models Treat Finance (Mathematical Economics)

I Fujiwara

京都大学数理解析研究所  2012

Foreword

Fujiwara Ippei, Juillard Michel, Shiratsuka Shigenori, Watanabe Toshiaki

Journal of Economic Dynamics and Control 35 ( 12 ) 1997 - 1998 2011.12

ISSN  0165-1889

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Special issue: Frontiers in Structural Macroeconomic Modeling Foreword

Fujiwara, Ippei, Juillard, Michel, Shiratsuka, Shigenori, Watanabe, Toshiaki

JOURNAL OF ECONOMIC DYNAMICS &amp; CONTROL 35 ( 12 ) 1997 - 1998 2011.12

Research paper (scientific journal),  ISSN  0165-1889

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Real exchange rate dynamics revisited

Fujiwara Ippei, Teranishi Yuki

Journal of International Money and Finance 30 ( 7 ) 1562 - 1589 2011.11

ISSN  0261-5606

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<p>In this paper, we investigate the relationship between real exchange rate dynamics and financial market imperfections. For this purpose, we first construct a New Open Economy Macroeconomics (NOEM) model that incorporates staggered loan contracts as a simple form of the financial market imperfections. Our model with such a financial market friction replicates persistent, volatile, and realistic hump-shaped responses of real exchange rates, which have been thought very difficult to materialize in standard NOEM models. Remarkably, these realistic responses can materialize even with both supply and demand shocks, such as cost-push, loan rate, and monetary policy shocks. This implies that the financial market development is a key element for understanding real exchange rate dynamics.</p>

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Real exchange rate dynamics revisited: A case with financial market imperfections

Fujiwara, Ippei, Teranishi, Yuki

JOURNAL OF INTERNATIONAL MONEY AND FINANCE 30 ( 7 ) 1562 - 1589 2011.11

Research paper (scientific journal),  ISSN  0261-5606

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Comments

Fujiwara Ippei

Asian Economic Papers (Asian Economic Papers)  10 ( 2 ) 167 - 170 2011.06

ISSN  1535-3516

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Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach

Fujiwara, Ippei, Hirose, Yasuo, Shintani, Mototsugu

JOURNAL OF MONEY CREDIT AND BANKING (WILEY-BLACKWELL)  43 ( 1 ) 1 - 29 2011.02

Research paper (scientific journal),  ISSN  0022-2879

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We examine whether the news shocks, as explored in &lt;link rid="b4"&gt;Beaudry and Portier (2004), can be a major source of aggregate fluctuations. For this purpose, we extend a standard dynamic stochastic general equilibrium model of &lt;link rid="b12"&gt;Christiano, Eichenbaum, and Evans (2005) and &lt;link rid="b36 b37"&gt;Smets and Wouters (2003, 2007) by allowing news shocks on the total factor productivity (TFP), and estimate the model using Bayesian methods. Estimation results on the U.S. and Japanese economies suggest that (i) news shocks play a relatively more important role in the United States than in Japan, (ii) a news shock with a longer forecast horizon has larger effects on nominal variables, and (iii) the overall effect of the TFP on hours worked becomes ambiguous in the presence of news shocks.

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