KEIO RESEARCHERS INFORMATION SYSTEM

Message from the Faculty Member 【 Display / hide 】

Message from the Faculty Member 【 Display / hide 】

• ファイナンスは研究分野として証券市場を扱う資産価格理論と企業の意思決定を扱う企業財務に分かれます。また研究方法としてはモデルを構築する理論分析とデータを分析する実証分析に分かれます。学生の皆さんはこれらをバランスよく学んで下さい。

Profile Summary 【 Display / hide 】

Profile Summary 【 Display / hide 】

• I have been working on the empirical analysis in the asset pricing area.

Career 【 Display / hide 】

Career 【 Display / hide 】

• 1999.04

  -

  2001.03

  大学専任講師(大学院経営管理研究科附属ビジネス・スクール)

• 1999.04

  -

  2001.03

  大学専任講師(大学院経営管理研究科)

• 2001.04

  -

  2007.03

  大学助教授(大学院経営管理研究科附属ビジネス・スクール)

• 2001.04

  -

  2007.03

  大学助教授(大学院経営管理研究科)

• 2007.04

  -

  2008.03

  大学教授(大学院経営管理研究科)

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Academic Background 【 Display / hide 】

Academic Background 【 Display / hide 】

• 1992.03

  The University of Tokyo, Faculty of Liberal Arts

  University, Graduated

• 1996.03

  The University of Chicago, Graduate School of Economics

  United States, Graduate School, Completed, Master's course

• 1999.03

  The University of Chicago, Graudate School of Economics

  United States, Graduate School, Completed, Doctoral course

Academic Degrees 【 Display / hide 】

Academic Degrees 【 Display / hide 】

• Masters in Economics, The Graduate School of Economics, The University of Chicago, Coursework, 1996.03

• Ph.D. in Economics, Department of Economics, The University of Chicago, Coursework, 1999.03

Research Areas 【 Display / hide 】

Research Areas 【 Display / hide 】

• Finance

Research Keywords 【 Display / hide 】

Research Keywords 【 Display / hide 】

• Finance

• fixed income analysis

• Asset Pricing

Books 【 Display / hide 】

Books 【 Display / hide 】

• Econometrics of Financial Markets

  Campbell, Lo and MacKinlay, 2003.09

  　View Summary

  祝迫 得夫, 大橋 和彦, 中村 信弘, 本多 俊毅, 和田 賢治の翻訳

Papers 【 Display / hide 】

Papers 【 Display / hide 】

• Unconventional monetary policy and the bond market in Japan: A new Keynesian perspective

  Basu P., Wada K.

  Japan and the World Economy 67 2023.09

  ISSN  09221425

  　View Summary

  Using the lens of a medium scale DSGE model, we analyze macroeconomic effects of Japan's unconventional monetary policy which is known as Qualitative and Quantitative Easing (QQE). Our focus is on the bond market. The model features: (i) commercial bank's demand for excess reserve in response to liquidity risk and (ii) linkage among central bank, commercial banks and the government via government bonds and bank reserve. We simulate the policy effects of a quantitative easing (QE) shock and a negative shock to the interest rate on excess reserve (IOER). The QE multiplier for real GDP is 1.94 and it has substantial effect on lowering the bond yield in line with the policy target of QQE. On the other hand, an IOER cut has qualitatively similar effects on the real and financial sectors but quantitatively its effect is of second order importance. In light of these policy simulations, we evaluate Japan's recent yield curve control policy.

  • Access to Document (DOI)

• Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures

  MAKI ATSUSHI,WADA KENJI

  Economics Bulletin 31   1183-1187 2011

  Research paper (scientific journal), Joint Work, Accepted

• Uninsurable Risk and Financial Market Puzzles

  Basu, Parantap, Andrei Semenov and Kenji Wada

  to appear in Journal of International Money and Finance  2010

  Research paper (scientific journal), Joint Work, Accepted

• Consumption Behavior, Asset Returns, and Risk Aversion: Evidence from the Japanese Household Survey

  Keiichi Kubota,Toshifumi Tokunaga,and Kenji Wada

  Japan and the World Economy 20   1-18 2008

  Research paper (scientific journal), Joint Work, Accepted

• The Knightian Uncertainty and the Risk Premium and the Risk Free Rate Puzzles in Japan and the U.S

  Kenji Wada

  Economics Letters 95   386-393 2006

  Research paper (scientific journal), Single Work, Accepted

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Papers, etc., Registered in KOARA 【 Display / hide 】

Papers, etc., Registered in KOARA 【 Display / hide 】

• An empirical analysis of holding period return of Japanese government bond

  Wada, Kenji

  学事振興資金研究成果実績報告書 (慶應義塾大学)  2023

• On the cross sectional 3rd moment of household consumption as a risk factor

  Wada, Kenji

  学事振興資金研究成果実績報告書 (慶應義塾大学)  2022

• Quantitative analysis on UK Living Costs and Food Survey

  Wada, Kenji

  学事振興資金研究成果実績報告書 (慶應義塾大学)  2021

• On the relationship between higher moments in consumption growth rate at a household level and asset returns

  Wada, Kenji

  科学研究費補助金研究成果報告書 2021

• On the property of the maturity of Japanese governments bonds held by Bank of Japan

  Wada, Kenji

  学事振興資金研究成果実績報告書 (慶應義塾大学)  2018

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Presentations 【 Display / hide 】

Presentations 【 Display / hide 】

• Uninsurable Risk, Bond Pricing and Real Interest Rates: An Investigation of UK Indexed Bonds

  WADA KENJI

  [Domestic presentation]  Far Eastern Econometric Society (東京) , 

  2009.08

  , 

  Oral presentation (general), Econometric Society

• Uninsurable Risk, Bond Pricing and Real Interest Rates: An Investigation of UK Indexed Bonds

  WADA KENJI

  [Domestic presentation]  日本ファイナンス学会 (東京) , 

  2009.05

  , 

  Oral presentation (general), 日本ファイナンス学会

• Uninsurable Risk and Financial Market Puzzles

  WADA KENJI

  [International presentation]  ESEM EEA 2008 (Milan Italy) , 

  2008.08

  , 

  Oral presentation (general), ESEM EEA

• Uninsurable Risk. Bond Pricing and Real Interest Rates: An Investigation of UK Indexed Bonds

  WADA KENJI

  [International presentation]  2008 Daiwa International Workshop on Financial Engineering Program (Tokyo) , 

  2008.08

  , 

  Oral presentation (invited, special)

• Price Continuation of Weekly Portfolio Returns in Japan

  KUBOTA KEIICHI

  [International presentation]  AsianFA-NFA 2008 Conference (パシフィコ横浜) , 

  2008.07

  , 

  Oral presentation (general)

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Research Projects of Competitive Funds, etc. 【 Display / hide 】

Research Projects of Competitive Funds, etc. 【 Display / hide 】

• On the Investigation of a Term Structure Using a Stochastic Discount Factor

  2025.04

  -

  2028.03

  基盤研究(C), Principal investigator

• On the Relationship between Higher Moments in Consumption Growth Rate at a Household Level and Asset Returns

  2018.04

  -

  2021.03

  MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Principal investigator

• Quantative Easing and Financial Markets

  2015.04

  -

  2018.03

  MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Principal investigator

Works 【 Display / hide 】

Works 【 Display / hide 】

• 2008ファイナンスのノート

  WADA KENJI

  2008

  -

  Present

  , 

  Other, Single

• オプションとフォワードのノート

  WADA KENJI

  2007.12

  -

  Present

  , 

  Other, Single

• 価値評価に用いられる均衡理論と裁定理論のノート(改訂版)

  WADA KENJI

  2007.06

  -

  Present

  , 

  Other, Single

• 統計および数列のノート改訂版

  WADA KENJI

  2005

  -

  Present

  , 

  Other, Single

• 株式会社ヒマラヤ

  WADA KENJI

  2000.09

  -

  Present

  , 

  Other, Single

Courses Taught 【 Display / hide 】

Courses Taught 【 Display / hide 】

• SEMINAR: SPECIAL STUDY OF FINANCE

  2025

• SEMINAR: FINANCE

  2025

• SEMINAR (QD)

  2025

• SEMINAR (QC)

  2025

• SEMINAR (QB)(PAST YEARS)

  2025

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Memberships in Academic Societies 【 Display / hide 】

Memberships in Academic Societies 【 Display / hide 】

• 日本ファイナンス学会, 

  1999.05

  -

  Present

Committee Experiences 【 Display / hide 】

Committee Experiences 【 Display / hide 】

• 1999.05

  -

  Present

  会員, 日本ファイナンス学会

• 2008.07

  -

  2010.06

  Director, 日本ファイナンス学会

• 2018.06

  -

  2020.06

  理事, 日本ファイナンス学会

• 2010.06

  -

  2012.06

  Manager, 日本ファイナンス学会

• 2019.06

  27th Annual Conference Program Committee Chair, Nippon Finance Association

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