Details of a Researcher - Fujiwara Ippei

Papers - Fujiwara Ippei

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Automation and Disappearing Routine Occupations in Japan

S Kikuchi, I Fujiwara, T Shirota

Journal of the Japanese and International Economies 74 2024.12

ISSN 08891583

We examine the implications of automation technology in Japan since 1980, comparing different local labor markets with different degrees of automation exposure. First, we do not find evidence that automation reduces employment rate within demographic groups and automation encourages workers to move from regular to non-regular employment. Second, we show that automation shifts employment from routine occupations in the manufacturing sector to service sectors, while increasing the share of establishments and sales in the manufacturing sector. Finally, we show that this shift in labor demand is attributed to younger generations and non-college-educated workers.

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Institute for Economic Studies, Keio University

I Fujiwara, Y Hirose

2024

Connecting Exchange Rates to Fundamentals Under Indeterminacy

I Fujiwara, Y Hirose

Keio-IES Discussion Paper Series 2024

A Technology-Gap Model of ‘Premature’Deindustrialization

I Fujiwara, K Matsuyama

American Economic Review 114 (11), 3714-3745 2024

Re-Examining What We Can Learn About Counterfactual Results from Time Series Regression

I Fujiwara, A Pagan

CAMA Working Papers 2024

Aging and the real interest rate in Japan: A labor market channel

S Fujita, I Fujiwara

Journal of the Japanese and International Economies 69, 101262 (Journal of the Japanese and International Economies) 69 2023.09

ISSN 08891583

This paper explores a causal link between aging of the labor force and the declining trend in the real interest rate in Japan. We develop a search and matching model that features heterogeneous workers with respect to their ages and firm-specific skills. Using the model, we examine the long-run implications of the sharp drop in labor force entry in the 1970s. We show that the changes in the demographic structure induce significant low-frequency movements in per capita consumption growth and thus the real interest rate. The model suggests that aging of the labor force caused the real interest rate to decline by 1 percentage point between 1980 and 2010 in Japan.

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Automation and the disappearance of routine work in japan

S Kikuchi, I Fujiwara, T Shirota

Research Institute of Economy, Trade and Industry (RIETI) 2023

Automation and the Disappearance of Routine Work in Japan

K Shinnosuke, F Ippei, S Toyoichiro

Research Institute of Economy, Trade and Industry (RIETI) Discussion papers 2023

Uncovered Interest Rate Parity Puzzle and Sunspot Fluctuations

I Fujiwara, Y Hirose

2023

The Delphic forward guidance puzzle in New Keynesian models

I Fujiwara, Y Waki

Review of Economic Dynamics 46, 280-301 (Review of Economic Dynamics) 46 280 - 301 2022.10

ISSN 10942025

When the central bank has information that can help the private sector better predict the future, should it communicate such information to the public? In purely forward-looking New Keynesian models, such Delphic forward guidance unambiguously reduces ex ante welfare by increasing the variability of inflation and the output gap. We call this phenomenon the Delphic forward guidance puzzle. In more elaborate models with endogenous state variables, a combination of Delphic forward guidance and preemptive policy actions may improve welfare. However, full information revelation is generally not optimal and what information needs to be revealed is highly model-dependent.

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Competition and the Phillips Curve

I Fujiwara, K Matsuyama

Centre for Economic Policy Research 2022

Comment on “The welfare implications of massive money injection: The Japanese experience from 2013 to 2020”

I Fujiwara

Asian Economic Policy Review 16 (2), 243-244 (Asian Economic Policy Review) 16 ( 2 ) 243 - 244 2021.07

ISSN 18328105

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Robot Penetration and Task Changes

A Kosuke, F Ippei, S Toyoichiro

Research Institute of Economy, Trade and Industry (RIETI) Discussion papers 2021

Exchange rate disconnect and the general equilibrium puzzle

Y Chen, I Fujiwara, Y Hirose

CAMA Working Paper 2021

Japan's uncertain fiscal outlook

I Fujiwara

East Asia Forum Quarterly 13 (3), 5-6 2021

Measuring Robot Quality: Has Quality Improvement Slowed Down?

F Ippei, K Ryo, S Shigenori, S Toyoichiro

Research Institute of Economy, Trade and Industry (RIETI) Discussion papers 2021

Measuring Robot Quality: Has Quality Improvement Slowed Down?

I Fujiwara, R Kimoto, S Shiratsuka, T Shirota

CEPR Discussion Paper No. DP16556 2021

Robot Penetration and Task Changes

K Arai, I Fujiwara, T Shirota

Research Institute of Economy, Trade and Industry (RIETI) 2021

Comment on" The Welfare Implications of Massive Money Injection: The Japanese Experience from 2013 to 2020".

M Fukao

Asian Economic Policy Review 16 (2) 2021

Robots and labour: implications for inflation dynamics

I Fujiwara, F Zhu

BIS Paper 2020

Reconnecting Exchange Rate and the General Equilibrium Puzzle

Y Chen, I Fujiwara, Y Hirose

CAMA Working Paper 2020

A Technology-Gap Model of Premature Deindustrialization

I Fujiwara, K Matsuyama

CEPR Discussion Paper No. DP15530 2020

Business cycles and indeterminacy in economic models: a special issue in Honor of Professor Kazuo Nishimura

I Fujiwara, M Yano

Studies in Nonlinear Dynamics & Econometrics 23 (4), 20195002 (Studies in Nonlinear Dynamics and Econometrics) 23 ( 4 ) 2019.09

ISSN 10811826

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On two notions of imperfect credibility in optimal monetary policies

I Fujiwara, T Kam, T Sunakawa

Economics Letters 174, 22-25 (Economics Letters) 174 22 - 25 2019.01

ISSN 01651765

© 2018 Elsevier B.V. We explore how outcomes of optimal monetary policy with loose commitment (Schaumburg and Tambalotti, 2007; Debortoli and Nunes, 2010) with the non-reoptimization probability of [Formula presented] can be interpretable as outcomes of deeper optimal policy under sustainable plans (Chari and Kehoe, 1990) with [Formula presented]-period punishment. In a standard monetary-policy framework, we show that, for any sufficiently high value of [Formula presented], there exists an integer [Formula presented] such that impulse responses to the cost-push shock under each policy are similar to each other.

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Sustainable international monetary policy cooperation

I Fujiwara, T Kam, T Sunakawa

Journal of Economic Dynamics and Control 106, 103721 2019

Fiscal forward guidance: A case for selective transparency

Fujiwara I, Waki Y

Journal of Monetary Economics (Journal of Monetary Economics) 116 236 - 248 2019

Joint Work, ISSN 03043932

© 2019 Elsevier B.V. Should the fiscal authority use forward guidance to reduce future policy uncertainty perceived by private agents? Using dynamic general equilibrium models, we examine the welfare effects of announcing future fiscal policy shocks and show that selective transparency is desirable — announcing distortionary future policy shocks can be detrimental to ex ante social welfare, whereas announcing non-distortionary shocks generally improves welfare. Sizable welfare gains are found with constructive ambiguity regarding the timing of a tax increase in a realistic fiscal consolidation scenario. However, being secretive about distortionary shocks is time inconsistent, and welfare loss from communication may be unavoidable.

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Foreign exchange reserves as a tool for capital account management

S Davis, I Fujiwara, KXD Huang, J Wang

Globalization and Monetary Policy Institute Working Paper 117 473 - 488 2019

ISSN 03043932

Recent theoretical papers argue that countries can insulate themselves from volatile world capital flows by using a variable tax on foreign capital as an instrument of monetary policy. But empirical papers argue that we rarely observe these cyclical capital flow taxes used in practice. We construct a small open economy model where the central bank engages in sterilized foreign exchange intervention. When private agents freely trade foreign bonds, sterilized intervention has no effect. But we prove that when frictions prevent the free trade in foreign bonds, optimal sterilized foreign exchange intervention is equivalent to an optimal tax on foreign capital. The model is then calibrated to match the levels of capital account restrictions that we observe in the data. For levels of capital account openness that we observe in many emerging market economies, a variable tax on capital flows is a close approximation for sterilized foreign exchange intervention.

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Private news and monetary policy-Forward guidance as Bayesian persuasion

I Fujiwara, Y Waki

CAMA Working Paper 2019

Generational war on inflation: optimal inflation rates for the young and the old

I Fujiwara, S Hori, Y Waki

Globalization and Monetary Policy Institute Working Paper 2019

Dealing with time inconsistency: Inflation targeting versus exchange rate targeting

JS Davis, I Fujiwara, J Wang

Journal of Money, Credit and Banking 50 (7), 1369-1399 (Journal of Money, Credit and Banking) 50 ( 7 ) 1369 - 1399 2018.10

ISSN 00222879

© 2018 The Ohio State University Adopting a single instead of multiple targets can be an effective way to overcome the classic time-inconsistency problem. The choice of a single mandate depends on the trade openness and the credibility. Reduced-form empirical results show as central banks become less credible, they are more likely to adopt a pegged exchange rate, and the tendency to peg depends on trade openness. In a model with “loose commitment,” as credibility falls, either an inflation target or a pegged exchange rate is more likely to be adopted. A relatively closed (highly open) economy would adopt an inflation target (exchange rate peg).

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The optimal degree of monetary discretion in a new Keynesian model with private information

Y Waki, R Dennis, I Fujiwara

Theoretical Economics 13 (3), 1319-1367 (Theoretical Economics) 13 ( 3 ) 1319 - 1367 2018.09

ISSN 19336837

Copyright © 2018 The Authors. This paper considers the optimal degree of monetary discretion when the central bank conducts policy based on its private information about the state of the economy and is unable to commit. Society seeks to maximize social welfare by imposing restrictions on the central bank's actions over time, and the central bank takes these restrictions and the new Keynesian Phillips curve as constraints. By solving a dynamic mechanism design problem, we find that it is optimal to grant “constrained discretion” to the central bank by imposing both upper and lower bounds on permissible inflation, and that these bounds should be set in a history-dependent way. The optimal degree of discretion varies over time with the severity of the time-inconsistency problem, and although no discretion is optimal when the time-inconsistency problem is very severe, it is a transient phenomenon and some discretion is granted eventually.

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Comment on “Why Has Japan Failed to Escape from Deflation?”

Fujiwara Ippei

Asian Economic Policy Review (Blackwell Publishing) 13 ( 1 ) 42 - 43 2018.01

ISSN 1832-8105

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Foreign Exchange Reserves as a Tool for Capital Account Management in a Small Open Economy

JS Davis, I Fujiwara, KXD Huang, J Wang

2018

Is Exchange Rate Disconnected After All?

YC Chen, I Fujiwara, Y Hirose

Unpublished 2018

Exchange Rate is Disconnected after All

YC Chen, I Fujiwara, Y Hirose

2018

Comment on'Why Has Japan Failed to Escape from Deflation?'.

I Fujiwara

Asian Economic Policy Review 13 (1) 2018

Optimal monetary policy in open economies revisited

Fujiwara Ippei, Wang Jiao

Journal of International Economics (ELSEVIER SCIENCE BV) 108 300 - 314 2017.09

ISSN 0022-1996

This paper revisits optimal monetary policy in open economies, in particular, focusing on the noncooperative policy game under local currency pricing in a two-country dynamic stochastic general equilibrium model. We first derive the quadratic loss functions which noncooperative policy makers aim to minimize. Then, we show that noncooperative policy makers face extra trade-offs regarding stabilizing real marginal costs induced by deviations from the law of one price under local currency pricing, and that optimal monetary policy seeks to stabilize CPI inflation rates and more so under noncooperation than it does under cooperation. As a result of the increased number of stabilizing objectives, welfare gains from cooperation emerge even when two countries face only technology shocks. Still, gains from cooperation are not large, implying that frictions other than nominal rigidities are necessary to strongly recommend cooperation as an important policy framework to increase global welfare.

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Financial frictions and policy cooperation

Fujiwara Ippei, Teranishi Yuki

Journal of International Economics (ELSEVIER SCIENCE BV) 104 19 - 43 2017.01

ISSN 0022-1996

Do financial frictions call for cross-border policy cooperation? This paper investigates the implications of financial frictions in the form of staggered loan contracts supplied by monopolistic banks, for monetary policy. Using the linear quadratic (LQ) framework, we show that policy cooperation yields long-run gains in addition to gains from stabilizing inefficient fluctuations over the business cycle, as usually found in models with price rigidities. The Ramsey optimal steady states differ between cooperation and noncooperation. Such gains from cooperation arise irrespective of capital account liberalization.

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Dealing with Time-inconsistency: Inflation Targeting vs. Exchange Rate Targeting

I Fujiwara, S Davis

2017 Meeting Papers 2017

Fiscal forward guidance

I Fujiwara, Y Waki

RIETI Discussion paper 2017

Working Paper No. 318-Fiscal Forward Guidance: A Case for Selective Transparency-Dallas Fed

I Fujiwara, Y Waki

Federal Reserve Bank of Dallas 2017

A note on imperfect credibility

I Fujiwara, T Kam, T Sunakawa

CAMA Working Paper 2016

Declining trends in the real interest rate and inflation: The role of aging

S Fujita, I Fujiwara

FRB of Philadelphia Working Paper 2016

Aging and Deflation: A Politico-Economic Perspective

I Fujiwara, S Hori

2016

Private News and Monetary Policy: Forward guidance or the expected virtue of ignorance

F Ippei, W Yuichiro

Research Institute of Economy, Trade and Industry (RIETI) Discussion papers 2016

Policy regime change against chronic deflation? Policy option under a long-term liquidity trap

Fujiwara Ippei, Nakazono Yoshiyuki, Ueda Kozo

Journal of the Japanese and International Economies (ACADEMIC PRESS INC ELSEVIER SCIENCE) 37 59 - 81 2015.09

ISSN 0889-1583

The policy package known as Abenomics appears to have influenced the Japanese economy drastically, in particular, in the financial markets. In this paper, focusing on the aggressive monetary easing of Abenomics, the first arrow, we evaluate its role in guiding public perceptions on monetary policy stance through the management of expectations. In order to end chronic deflation, such as that which Japan has been suffering over the last two decades, policy regime change must be perceived by economic agents. Analysis using the QUICK survey system (QSS) monthly survey data shows that monetary policy reaction to inflation rates has been in a declining trend since the mid 2000s, implying intensified forward guidance well before Abenomics. However, Japan seems to have moved closer to a long-term liquidity trap, where even long-term bond yields are constrained by the zero lower bound. Consequently, no sizable difference in perceptions has been found before and after the introduction of Abenomics. Estimated changes in perceptions are not abrupt enough to satisfy "Sargent's (1982) criteria for regime change" termed by Eggertsson (2008). This poses a serious challenge to central banks: what is an effective policy option left under the long-term liquidity trap?

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Purchasing Power Parity and the Taylor Rule

Kim Hyeongwoo, Fujiwara Ippei, Hansen Bruce E., Ogaki Masao

Journal of Applied Econometrics (WILEY-BLACKWELL) 30 ( 6 ) 874 - 903 2015.09

ISSN 0883-7252

It is well known that there is a large degree of uncertainty around Rogoff's consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a system method that combines the Taylor rule and a standard exchange rate model to estimate half-lives. Further, we propose a median unbiased estimator for the system method based on the generalized method of moments with non-parametric grid bootstrap confidence intervals. Applying the method to real exchange rates of 18 developed countries against the US dollar, we find that most half-life estimates from the single equation method fall in the range of 3-5 years, with wide confidence intervals that extend to positive infinity. In contrast, the system method yields median-unbiased estimates that are typically shorter than 1 year, with much sharper 95% confidence intervals. Our Monte Carlo simulation results are consistent with an interpretation of these results that the true half-lives are short but long half-life estimates from single-equation methods are caused by the high degree of uncertainty of these methods.

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SIRE DISCUSSION PAPER SIRE-DP-2015-66

Y Waki, R Dennis, I Fujiwara

2015

Pegging the exchange rate to gain monetary policy credibility

JS Davis, I Fujiwara

2015

Report on Ph. D. Dissertation Defence

T SONOBE, I FUJIWARA

2015

Private news and monetary policy forward guidance or (the expected virtue of ignorance)

I Fujiwara, Y Waki

Globalization and Monetary Policy Institute Working Paper 2015

Financal frictions and policy cooperation: a case with monopolistic banking and staggered loan contracts

Y Teranishi, I Fujiwara

Federal Reserve Bank of Dallas 2015

Declining Trends in the Real Interest Rate and Inflation: Role of aging

F Shigeru, F Ippei

Research Institute of Economy, Trade and Industry (RIETI) Discussion papers 2015

Indeterminacy and Forecastability

Fujiwara, Ippei, Hirose, Yasuo

JOURNAL OF MONEY CREDIT AND BANKING 46 ( 1 ) 243 - 251 2014.02

Research paper (scientific journal), ISSN 0022-2879

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Optimal monetary policy with endogenous entry and product variety

Florin O. Bilbiie; Ippei Fujiwara; Fabio Ghironi

Journal of Monetary Economics (ELSEVIER SCIENCE BV) 64 1 - 20 2014.01

Research paper (scientific journal), ISSN 03043932

Deviations from long-run price stability are optimal in the presence of endogenous entry and product variety in a sticky-price model in which price stability would be optimal otherwise Long-run inflation (deflation) is optimal when the benefit of variety to consumers falls short of (exceeds) the market incentive for creating that variety the desired markup; Price indexation exacerbates this mechanism. Plausible preference specifications and parameter values justify positive long-run inflation rates. However, short-run price stability (around this non-zero trend) is close to optimal, even in the presence of endogenously time-varying desired markups that distort the intertemporal allocation of resources. (C) 2014 Elsevier B.V. All rights reserved.

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Comments on Michael Devereux and James Yetman’s paper

I Fujiwara

Frank Packer and Aaron Mehrotra, 119 2014

Policy Regime Change against Chronic Deflation? Policy option under long-term liquidity trap

K Ueda, Y Nakazono, I Fujiwara

AJRC Working Papers 2014

Global liquidity trap

Fujiwara, Ippei, Nakajima, Tomoyuki, Sudo, Nao, Teranishi, Yuki

JOURNAL OF MONETARY ECONOMICS (ELSEVIER SCIENCE BV) 60 ( 8 ) 936 - 949 2013.11

Research paper (scientific journal), ISSN 0304-3932

How should monetary policy respond to a "global liquidity trap," where the two countries may fall into a liquidity trap simultaneously? Using a two-country New Open Economy Macroeconomics model, we first characterize optimal monetary policy, and show that the optimal rate of inflation in one country is affected by whether or not the other country is in a liquidity trap. We next examine how well the optimal monetary policy is approximated by relatively simple monetary policy rules. The interest-rate rule targeting the producer price index performs well in this respect. (C) 2013 Elsevier B.V. All rights reserved.

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Asymmetry in government bond returns

Fujiwara, Ippei, Koerber, Lena Mareen, Nagakura, Daisuke

JOURNAL OF BANKING & FINANCE (Journal of Banking and Finance) 37 ( 8 ) 3218 - 3226 2013.08

Research paper (scientific journal), ISSN 0378-4266

Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This finding has important implications for modeling and forecasting government bond returns. For example, widely used models for yield curve analysis such as the affine term structure model assume symmetrically distributed innovations. To answer the second question, we find that liquidity in government bond markets predicts the coefficient of skewness with a positive sign, meaning that the probability of a large and negative excess return is more likely in a less liquid market. In addition, a positive realized return is associated with a negative coefficient of skewness, or a small probability of a large and negative return in the future. © 2013 Elsevier B.V.

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The fiscal multiplier and spillover in a global liquidity trap

Fujiwara, Ippei, Ueda, Kozo

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (ELSEVIER SCIENCE BV) 37 ( 7 ) 1264 - 1283 2013.07

Research paper (scientific journal), ISSN 0165-1889

We consider the fiscal multiplier and spillover-the extent to which one country's government expenditure increases production at home and also in another foreign country, when the two countries are caught simultaneously in a liquidity trap. Using a standard new open economy macroeconomics (NOEM) model, we show that the fiscal multiplier and spillover are contrary to textbook economics. For the country where government expenditure takes place, the fiscal multiplier exceeds one, the currency depreciates, and the terms of trade worsen. The fiscal spillover is negative if the intertemporal elasticity of substitution in consumption is less than one, and positive if it is greater than one. Incomplete stabilization of marginal costs due to the existence of the zero lower bound is critical in understanding the effects of fiscal policy in open economies. These results remain unchanged even if we incorporate incomplete markets or endogenous capital into the model, but local currency pricing yields positive fiscal spillover irrespective of the size of the intertemporal elasticity of substitution. (C) 2013 Elsevier B.V. All rights reserved.

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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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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

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.

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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 & 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

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.

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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

We examine whether the news shocks, as explored in <link rid="b4">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 <link rid="b12">Christiano, Eichenbaum, and Evans (2005) and <link rid="b36 b37">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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People's Republic of China as an Engine of Growth for Developing Asia? Comments

Fujiwara, Ippei

ASIAN ECONOMIC PAPERS 10 ( 2 ) 167 - 170 2011.01

Research paper (scientific journal), ISSN 1535-3516

The global impact of Chinese growth

I Fujiwara, K Otsu, M Saito

School of Economics Discussion Papers 2011

Dynamic General Equilibrium Model--A Survey with the Application to the Japanese Macroeconomic Date--

I Fujiwara, T Watanabe

Economic Review 62 (1), 66-93 2011

DP8565 Optimal Monetary Policy with Endogenous Entry and Product Variety

FO Bilbiie, I Fujiwara, F Ghironi

2011

The Global Impact of Chinese Growth

K Otsu, M Saito, I Fujiwara

University of Kent School of Economics Discussion Papers 2011

Frontiers in Structural Macroeconomic Modeling Foreword

I Fujiwara, M Juillard, S Shiratsuka, T Watanabe

JOURNAL OF ECONOMIC DYNAMICS & CONTROL 35 (12), 1997-1998 2011

How much Asymmetry is there in Bond Returns and Exchange Rates?

LM Koerber, D Nagakura, I Fujiwara

Bank of Japan Working Paper Series 2011

Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute-Indeterminacy and Forecastability

I Fujiwara, Y Hirose

Federal Reserve Bank of Dallas 2011

A note on growth expectation

Fujiwara Ippei

Macroeconomic Dynamics 14 ( 2 ) 242 - 256 2010.04

ISSN 1365-1005

Recently, several researchers have succeeded in producing expectation-driven cycles by balancing the tension between the wealth effect and the substitution effect stemming from the higher expected future productivity. Especially, seminal research by Christiano et al. ("Monetary Policy and Stock Market Boom-Bust Cycles", mimeo, Northwestern University, 2007), explains "stock market boom-bust cycles", characterized by increases in consumption, labor inputs, investment, and stock prices relating to high expected future technology levels. We, however, show that such expectation-driven cycles are difficult to generate based on "growth expectation", which reflects expectations of higher productivity growth rates.

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A NOTE ON GROWTH EXPECTATION

Fujiwara, Ippei

MACROECONOMIC DYNAMICS 14 ( 2 ) 242 - 256 2010.04

Research paper (scientific journal), ISSN 1365-1005

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The zero lower bound and monetary policy in a global economy

Fujiwara Ippei, Sudo Nao, Teranishi Yuki

International Journal of Central Banking 6 ( 1 ) 103 - 134 2010.03

ISSN 1815-4654

How should monetary policy cooperation be designed when more than one country is simultaneously facing zero lower bounds on nominal interest rates? To answer this question, we examine monetary policy cooperation with both optimal discretion and commitment policies in a two-country model. We reach the following conclusions. Under discretion, monetary policy cooperation is characterized by the intertemporal elasticity of substitution (IES), a key parameter measuring international spillovers, and no history dependency. On the other hand, under commitment, monetary policy featureshistory dependence with international spillover effects. © 2010 Bank of Japan.

The Zero Lower Bound and Monetary Policy in a Global Economy: A Simple Analytical Investigation

Fujiwara, Ippei, Sudo, Nao, Teranishi, Yuki

INTERNATIONAL JOURNAL OF CENTRAL BANKING (ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING) 6 ( 1 ) 103 - 134 2010.03

Research paper (scientific journal), ISSN 1815-4654

How should monetary policy cooperation be designed when more than one country is simultaneously facing zero lower bounds on nominal interest rates? To answer this question, we examine monetary policy cooperation with both optimal discretion and commitment policies in a two-country model. We reach the following conclusions. Under discretion, monetary policy cooperation is characterized by the intertemporal elasticity of substitution (IES), a key parameter measuring international spillovers, and no history dependency. On the other hand, under commitment, monetary policy features history dependence with international spillover effects.

Export shocks and the zero bound trap

I Fujiwara

Globalization Institute Working Papers 2010

Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute-Global Liquidity Trap

I Fujiwara, N Sudo, T Nakajima, Y Teranishi

Federal Reserve Bank of Dallas 2010

Export Shocks and the Zero Bound Trap-Dallas Fed

I Fujiwara

< bound method Organization. get_name_with_acronym of< Organization: Federal … 2010

Dynamic Aspects of Productivity Spillovers, Terms of Trade, and the "Home Market Effect''

Fujiwara, Ippei, Hirakata, Naohisa

IMF STAFF PAPERS (PALGRAVE MACMILLAN LTD) 56 ( 4 ) 958 - 969 2009.11

Research paper (scientific journal), ISSN 1020-7635

Recent empirical findings conclude that the terms of trade improve even after the positive productivity shock hits the economy among advanced economies. Corsetti, Martin, and Pesenti (2007), henceforth CMPs analytically show that a static two-country model with endogenous firm entry can generate improvement of the terms of trade in response to a positive technology shock in the form of lowering the entry cost. This paper evaluates the robustness of the results in CMP in a model with richer and more realistic dynamics such as nominal price and wage stickiness as in the Global Economy Model. It shows how the economic variables respond to the shocks that shift the production frontier outward, namely, productivity gains in manufacturing and efficiency gains in creating new firms. The main conclusions are that short-run responses could be different from those in CMP because of the existence of real as well as nominal rigidities, and that the persistence of shocks also alters the direction of responses via the wealth effect. These results suggest that it is of great importance for policy institutions to acknowledge the dynamic aspects of productivity spillovers by simulating a model with richer dynamics. [JEL E32, F12, J41] IMF Staff Papers (2009) 56, 958-969. doi: 10.1057/imfsp.2009.30

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Three essays on dynamic general equilibrium models

I Fujiwara

Oxford University, UK 2009

Dynamic Aspects of Productivity Spillovers, Terms of Trade, and the “Home Market Effect”

I Fujiwara, N Hirakata

IMF Staff Papers 56 (4), 958-969 2009

A dynamic new Keynesian life-cycle model: Societal aging, demographics, and monetary policy

Fujiwara, Ippei, Teranishi, Yuki

JOURNAL OF ECONOMIC DYNAMICS & CONTROL 32 ( 8 ) 2398 - 2427 2008.08

Research paper (scientific journal), ISSN 0165-1889

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A dynamic new Keynesian life-cycle model

Fujiwara Ippei, Teranishi Yuki

Journal of Economic Dynamics and Control 32 ( 8 ) 2398 - 2427 2008.08

ISSN 0165-1889

In this paper, we first construct a dynamic new Keynesian model that incorporates life-cycle behavior a la Gertler [1999. Government debt and social security in a life-cycle economy. Carnegie-Rochester Conference Series on Public Policy 50, 61-110], in order to study whether structural shocks to the economy have asymmetric effects on heterogeneous agents, namely workers and retirees. We also examine whether considerations of life-cycle and demographic structure alter the dynamic properties of the monetary business cycle model, specifically the degree of amplification in impulse responses. According to our simulation results, shocks indeed have asymmetric impacts on different households and the demographic structure does alter the size of responses against shocks by changing the trade-off between substitution and income effects.

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Summary of the 2008 International Conference

I Fujiwara, K Fukuda, I Muto, Y Shigemi, W Takahashi

Monetary and Economic Studies 26, 1-24 2008

Expectation shock simulation with dynare

I Fujiwara, H Kang

Quantitative Macroeconomics & Real Business Cycles 2008

Expectation Shock Simulation with DYNARE: Mark II

I Fujiwara, H Kang

Dynare Notes 2008

Frontiers in Monetary Theory and Policy: Summary of the 2008 International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan

I Fujiwara, K Fukuda, I Muto, Y Shigemi, W Takahashi

IMES Discussion Paper Series 2008

Expectations Shock Simulation with DYNARE: Mark II

I Fujiwara, H Kang

Dynare Notes 2008

Is there a direct effect of money?. Money's role in an estimated monetary business cycle model of the Japanese economy

Fujiwara Ippei

Japan and the World Economy 19 ( 3 ) 329 - 337 2007.08

ISSN 0922-1425

In this paper, to study the alternative monetary transmission mechanism to the traditional interest rate channel which may even work under zero nominal interest rates, we estimate the monetary business cycle model of the Japanese economy that incorporates the direct role of money. Estimation is conducted on the system of equations in a state-space form via maximum likelihood estimation. We, however, find that the direct effect of money is extremely small in Japan. This finding is the same as those obtained for the U.S. in Ireland [Ireland, P., 2004. Money's role in the monetary business cycle. Journal of Money, Credit and Banking 36, 969-984] and the Euro area in Andres et al. [Andres, J., Lopez-Salido, D., Valles, J., 2001. Money in an Estimated Business Cycle Model of the Euro area. Working Paper 121, Bank of Spain].

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Is there a direct effect of money ? Money's role in an estimated monetary business cycle model of the Japanese economy

Fujiwara, Ippei

JAPAN AND THE WORLD ECONOMY 19 ( 3 ) 329 - 337 2007.08

Research paper (scientific journal), ISSN 0922-1425

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Is there a direct effect of money?: Money’s role in an estimated monetary business cycle model of the Japanese economy

I Fujiwara

Japan and the World Economy 19 (3), 329-337 2007

Re-thinking Price Stability in an Economy with Endogenous Firm Entry: Real Imperfections under Product Variety

I Fujiwara

Bank of Japan 2007

Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policy-making under Uncertainty

I Fujiwara, N Hara, N Hirakata, T Kimura, S Watanabe

IMES 2007

Monetary policy at the zero interest bound

Fujiwara Ippei, McAdam Peter, Roberts John M.

Journal of the Japanese and International Economies 20 ( 3 ) 305 - 313 2006.09

ISSN 0889-1583

In this paper, we summarize the findings from zero-interest-bound simulation exercises conducted on the policy/forecasting models of the three major central banks. After imposing a fixed-period zero-interest-bound episode on each model, we consider common variations in the monetary-policy reaction function to minimize the macro-economic consequences of such a deflationary regime. Although there is some heterogeneity in the ranking of these remedial policies, reflecting the different properties of the models, we find that more aggressive policy rules and price-targeting rules are potentially candidates for robust monetary strategies. J. Japanese Int. Economies 20 (3) (2006) 305-313.

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Effectiveness of state-contingent monetary policy under a liquidity trap

Fujiwara, Ippei, Hara, Naoko, Yoshimura, Kentaro

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES (ACADEMIC PRESS INC ELSEVIER SCIENCE) 20 ( 3 ) 364 - 379 2006.09

Research paper (scientific journal), ISSN 0889-1583

Recent economic developments in Japan suggest that there is a growing interest in how monetary policy should be conducted under low inflation and nominal interest rates. In this paper, we first confirm the effectiveness of conventional wisdom against a liquidity trap, namely taking aggressive responses around the zero bound and variant of price level targeting so that it can intensify the policy duration effect, in the large scale dynamic general equilibrium model, the JEM (Japanese Economic Model). We then show that the optimal tangible policy rules around the zero bound are possibly state-contingent at the same time.

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Monetary policy at the zero interest bound: A model comparison exercise

Fujiwara, Ippei, McAdam, Peter, Roberts, John M.

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES 20 ( 3 ) 305 - 313 2006.09

Research paper (scientific journal), ISSN 0889-1583

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Evaluating monetary policy when nominal interest rates are almost zero

Fujiwara, Ippei

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES (ACADEMIC PRESS INC ELSEVIER SCIENCE) 20 ( 3 ) 434 - 453 2006.09

Research paper (scientific journal), ISSN 0889-1583

The non-negativity constraint on nominal interest rates may have been a major factor behind a putative structural break in the effectiveness of monetary policy. To check for the existence of such a break without making prior assumptions about timing, and to enable comparison between pre- and post-break monetary policy, we employ an identified Markov switching VAR framework. Estimation results support the existence of a structural break around the time when the de facto zero nominal interest rate policy was resumed and the effectiveness of monetary policy is seen to weaken since then although slightly positive effects from monetary easing still exist.

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The Bubble, Overinvestment, Reduction in Working Hours, and the Lost Decade

LJ Christiano, I Fujiwara

Bank of Japan Working Papers Series 2006

Special Section on Foundations of Computer Science

A Fujiwara

IEICE-Transactions on Information and Systems 89 (2), 743-743 (SIAM PUBLICATIONS) 39 ( 2 ) 545 - 545 2006

ISSN 0097-5397

Modelling Oil Prices in a Dynamic General Equilibrium Model with Free Entry

I Fujiwara, N Hirakata

Bank of Japan 2006

Modelling Oil Prices in a Dynamic General Equilibrium Model with Free Entry [VERY PRELIMINARY]

I Fujiwara, N Hirakata

2006

Bubble, Excess Investment, Shorter Work Hours and the Lost Decade

LJ Christiano, I Fujiwara

Bank of Japan Working Paper Series, 08 2006

Monetary policy in a liquidity trap

Fujiwara Ippei, Hara Naoko, Hirakata Naohisa, Watanabe Shinichiro, Yoshimura Kentaro

International Finance (International Finance) 8 ( 3 ) 471 - 508 2005.12

ISSN 1367-0271

Reflecting recent economic developments in Japan, there is a growing interest in how monetary policy should be conducted under low inflation and nominal interest rates. Among several proposed solutions, the conventional wisdom seems to be to commit to lower future short-term nominal interest rates through some variation on price-level targeting. We confirm the effectiveness of such a policy in a large-scale dynamic general equilibrium model: the Japanese Economic Model. However, uncertainty - which affects how monetary policy should be conducted - increases in the presence of the zero bound on nominal interest rates. We posit that the increased uncertainty may explain why the central bank cannot fully commit to a certain fully specified policy scheme far into the future when the economy is caught in a liquidity trap. © Blackwell Publishing Ltd. 2005.

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Is the central bank's publication of economic forecasts influential?

Fujiwara Ippei

Economics Letters (ELSEVIER SCIENCE SA) 89 ( 3 ) 255 - 261 2005.12

ISSN 0165-1765

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The Japanese economic model (JEM)

I Fujiwara, N Hara, Y Hirose, Y Teranishi

Monetary and Economic Studies 23 (2), 61-142 2005

Monetary Policy in a Liquidity Trap: What Have We Learned, and to What End?*

I Fujiwara, N Hara, N Hirakata, S Watanabe, K Yoshimura

International Finance 8 (3), 471-508 2005

Shakai no Keizai Kousei to Kinyuu Seisaku no Mokuteki (Social Welfare and the Goal of Monetary Policy)

T Kimura, I Fujiwara, T Kurozumi

Bank of Japan Review Series 2005

Output composition of the monetary policy transmission mechanism in Japan

Fujiwara Ippei

Topics in Macroeconomics (Berkeley Electronic Press) 4 ( 1 ) 2004

ISSN 1534-5998

In this paper, we investigate the output composition of the monetary policy transmission mechanism in Japan. The predominant channel through which monetary policy affects output in Japan is usually thought to be the investment channel, namely the process whereby a change in the interest rate alters the cost of capital and therefore investment. In the United States, however, the consumption channel, which works through intertemporal substitution, is commonly considered the more significant of the two. The aim of this paper is twofold: 1) based on analysis using VAR models to understand which of the two channels, the consumption channel or the investment channel, plays the more important role in the transmission of the Japanese monetary policy: and 2) to contribute to the research on what Angeloni, Kashyap, Mojon and Terlizzese (2003) term the "Output Composition Puzzle," referring to the fact that whereas in the United States the predominant driver of output changes is the consumption channel, in the Euro area it is the investment channel. Results obtained from the Japanese models imply that the investment channel is more important. Copyright ©2004 by the authors. All rights reserved.

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The Japanese Economic Model: JEM

Y Teranishi, I Fujiwara, N Hara

Econometric Society 2004 Far Eastern Meetings 2004

A Statistical Method for Inflation Forecasting: Hitting Every Vector Autoregression and Forecasting under Model Uncertainty."

I Fujiwara, M Koga

Monetary and Economic Studies 2004

A statistical forecasting method for inflation forecasting: hitting every vector autoregression and forecasting under model uncertainty

I Fujiwara, M Koga

Monetary and Economic Studies 22 (1), 123-142 2004

Output Composition of the Monetary Policy Transmission Mechanism in Јapan

F Ippei

Research and Statistics Department, Bank of Јapan 2003

An Essay on Asymmetric Movements in Foreign Exchange Rates:" switching Strategy" as a Source of Asymmetry

I Fujiwara

University of Oxford 2000

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