NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Takatoshi Ito

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Working Papers

November 2012Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
with Kenta Yamada, Misako Takayasu, Hideki Takayasu: w18541
August 2012Defying Gravity: How Long Will Japanese Government Bond Prices Remain High?
with Takeo Hoshi: w18287
August 2011International Reserves and the Global Financial Crisis
with Kathryn M.E. Dominguez, Yuko Hashimoto: w17362

Published:

July 2010Why has the yen failed to become a dominant invoicing currency in Asia? A firm-level analysis of Japanese Exporters' invoicing behavior
with Satoshi Koibuchi, Kiyotaka Sato, Junko Shimizu: w16231
Is the Distance to Default a Good Measure in Predicting Bank Failures? Case Studies
with Kimie Harada, Shuhei Takahashi: w16182

Published: "Is the Distance to Default a Good Measure in Predicting Bank Failures? A case Study of Japanese Major Banks", (with Takatoshi Ito and Shuhei Takahashi ), Japan and the World Economy, 2013, vol. 27.

February 2010Great Inflation and Central Bank Independence in Japan
w15726

Published: Great Inflation and Central Bank Independence in Japan, Takatoshi Ito. in The Great Inflation: The Rebirth of Modern Central Banking, Bordo and Orphanides. 2013

May 2009Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture
with Yuko Hashimoto: w15020

Published: Journal of the Japanese and International Economies Volume 24, Issue 3, September 2010, Pages 334–354 Cover image Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture Yuko Hashimotoa, E-mail the corresponding author, Takatoshi Itob, c, Corresponding author contact information, E-mail the corresponding author

December 2008Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks
with Kimie Harada: w14518

Published: Harada, Kimie & Ito, Takatoshi, 2011. "Did mergers help Japanese mega-banks avoid failure? Analysis of the distance to default of banks," Journal of the Japanese and International Economies, Elsevier, vol. 25(1), pages 1-22, March. citation courtesy of

July 2008Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability
with Yuko Hashimoto, Takaaki Ohnishi, Misako Takayasu, Hideki Takayasu, Tsutomu Watanabe: w14160
November 2006Price Impacts of Deals and Predictability of the Exchange Rate Movements
with Yuko Hashimoto: w12682

Published:

August 2006Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System
with Yuko Hashimoto: w12413

Published: Ito, Takatoshi & Hashimoto, Yuko, 2006. "Intraday seasonality in activities of the foreign exchange markets: Evidence from the electronic broking system," Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 637-664, December. citation courtesy of

July 2006Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through
with Kiyotaka Sato: w12395

Published: Ito, Takaytoshi and Kiyotaka Sato. "Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass-Through." Journal of Money, Credit and Banking 40, 7 (October 2008): 1407–1438.

November 2004Two Decades of Japanese Monetary Policy and the Deflation Problem
with Frederic S. Mishkin: w10878

Published: Two Decades of Japanese Monetary Policy and the Deflation Problem, Takatoshi Ito, Frederic S. Mishkin. in Monetary Policy with Very Low Inflation in the Pacific Rim, NBER-EASE, Volume 15, Ito and Rose. 2006

October 2004Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System
with Yuko Hashimoto: w10856
Inflation Targeting and Japan: Why has the Bank of Japan not Adopted Inflation Targeting?
w10818

Published: Takatoshi Ito, 2004. "Inflation Targeting and Japan: Why has the Bank of Japan not Adopted Inflation Targeting?," RBA Annual Conference Volume, in: Christopher Kent & Simon Guttmann (ed.), The Future of Inflation Targeting Reserve Bank of Australia.

May 2004What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function
with Tomoyoshi Yabu: w10456

Published: Ito, Takatoshi & Yabu, Tomoyoshi, 2007. "What prompts Japan to intervene in the Forex market? A new approach to a reaction function," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 193-212, March. citation courtesy of

April 2004High-Frequency Contagion Between the Exchange Rates and Stock Prices
with Yuko Hashimoto: w10448

Published: Dungey, Mardi and Demosthenes N.Tambakis (eds.) Identifying International Financial Contagion: Progress and Challenges CERF Finance and the Economy series. Oxford and New York: Oxford University Press, 2005.

March 2003Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives
with Kimie Harada: w9589

Published: Ito, Takatoshi and Kimie Harada. "Credit Derivatives Premium As A New Japan Premium," Journal of Money, Credit and Banking, 2004, v36(5,Oct), 965-968.

December 2002High Frequency Contagion of Currency Crises in Asia
with Yuko Hashimoto: w9376

Published: Ito, Takatoshi and Yuko Hashimoto. "High-Frequency Contagion Of Currency Crises In Asia," Asian Economic Journal, 2005, v19(4,Dec), 357-381. citation courtesy of

April 2002Is Foreign Exchange Intervention Effective?: The Japanese Experiences in the 1990s
w8914

Published: Mizen, Paul (ed.) Monetary History, Exchange Rates and Financial Markets, Essays in Honour of Charles Goodhart, Volume 2. Cheltenham U.K. : Edward Elgar Pub, 2003.

November 2000Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises
with Kimie Harada: w7997

Published:

  • as "Credit Derivatives Premium As A New Japan Premium," Journal of Money, Credit and Banking, Vol. 36, no. 5 (October 2004): 965-968
  • International Journal of Finance & Economics, Vol. 10, no. 3 (July 2005): 195-211 citation courtesy of

On the Desirability of a Regional Basket Currency Arrangement
with Eiji Ogawa: w8002

Published: Ogawa, Eiji and Takatoshi Ito. "On The Desirability Of A Regional Basket Currency Arrangement," Journal of the Japanese and International Economies, 2002, v16(3,Sep), 317-334. citation courtesy of

August 1999How Did the Dollar Peg Fail in Asia?
with Eiji Ogawa, Yuri Nagataki Sasaki: w6729

Published: Ito, Takatoshi & Ogawa, Eiji & Sasaki, Yuri Nagataki, 1998. "How Did the Dollar Peg Fail in Asia?," Journal of the Japanese and International Economies, Elsevier, vol. 12(4), pages 256-304, December. citation courtesy of

July 1999Japan's Big Bang and the Transformation of Financial Markets
with Michael Melvin: w7247

Published: Blomstrom, M., B. Gangnes, S. La Croix (eds.) Japan’s New Economy. Oxford University Press, January 2001.

May 1999Capital Flows in Asia
w7134

Published: Capital Flows in Asia, Takatoshi Ito. in Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, Edwards. 2000

September 1998Impacts of the Basle Capital Standard on Japanese Banks' Behavior
with Yuri Nagatake Sasaki: w6730

Published: Ito, Takatoshi and Yuri Nagataki Sasaki. "Impacts Of The Basle Capital Standard On Japanese Banks' Behavior," Journal of the Japanese and International Economies, 2002, v16(3,Sep), 372-397. citation courtesy of

March 1997Economic Growth and Real Exchange Rate: An Overview of the Balassa-Samuelson Hypothesis in Asia
with Peter Isard, Steven Symansky: w5979

Published:

February 1997Is There Private Information in the FX Market? The Tokyo Experiment
with Richard K. Lyons, Michael T. Melvin: w5936

Published: Journal of Finance (June 1998): 1111-1130. citation courtesy of

December 1995Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
with Graham Elliott: w5376

Published: Journal of Monetary Economics, Vol. 43, no. 2 (April 1999): 435-456.

November 1995Explaining Asset Bubbles in Japan
with Tokuo Iwaisako: w5358

Published: Bank of Japan, Monetary and Economic Studies. Vol. 14, July, 1996: 143-193. citation courtesy of

April 1995One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System
with Charles Goodhart, Richard Payne: t0179

Published:

December 1993Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets
with Wen-Ling Lin: w4592

Published:

November 1993Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate
w4545

Published: Journal of the Japanese and International Economies, vol. 8, no. 2, June 1994, pp. 119-143. citation courtesy of

June 1993Efficiency of the Tokyo Housing Market
with Keiko Nosse Hirono: w4382

Published: Bank of Japan Monetary and Economic Studies, vol. 11, no. 1, pp. 1-32 July 1993 citation courtesy of

September 1992Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
with Robert F. Engle, Wen-Ling Lin: w3504

Published: Journal of International Economics, Vol. 32, pp. 221-240 (1992). citation courtesy of

November 1991Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns
with Wen-Ling Lin, Robert F. Engle: w3911

Published: Review of Financial Studies, Volume 7, Number 3. pp 507-538. (1994)

August 1991International Impacts on Domestic Political Economy: A Case of Japanese General Elections
w3499

Published: Journal of International Money and Finance, Vol. 10, pp. S73-S89, (1991). citation courtesy of

May 1991Bequest Taxes and Accumulation of Household Wealth: U.S. - Japan Comparison
with Thomas A. Barthold: w3692

Published:

March 1990Is the Japanese Distribution System Really Inefficient?
with Masayoshi Maruyama: w3306

Published:

September 1989Estimation and Hypothesis Testing with Restricted Spectral Density Matrices: An Application to Uncovered Interest Parity
with Danny Quah: t0050

Published: "Hypothesis Testing with Restricted Spectral Density Matrices, with an Application to Uncovered Interest Parity" From International Economic Review, Vol. 30, No. 1, pp. 203-215, (February 1989).

Endogenous Election Timings and Political Business Cycles in Japan
w3128

Published: "The Timing of Elections and Political Business Cycles in Japan," Journal of Asian Economics, Vol. 1, No. 1, March 1990, pp. 135-156.

June 1989Bonuses, Overtime, and Employment: Korea vs. Japan
with Kyoungsik Kang: w3012

Published: Journal of the Japanese and International Economies, Vol.3, No. 4, pp. 424- 450, (1989). citation courtesy of

March 1989Is the Bank of Japan a Closet Monetarist? Monetary Targeting in Japan, 1978-1988
w2879
September 1988Intraday Yen/Dollar Exchange Rate Movements: News or Noise?
with V. Vance Roley: w2703

Published: Journal of International Financial Markets, Institutions and Money, Vol. 1, No. 1, pp. 1-31, (1991).

August 1988On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market
with Fabio Canova: w2678

Published: "The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market." From Journal of Applied Econometrics, Vol. 6, pp. 125-142, (1991) .

Foreign Exchange Rate Expectations: Micro Survey Data
w2679

Published: The American Economic Review, Vol. 80, No. 3, pp. 434-449, (June 1990), pp. 434-449 citation courtesy of

News and the Dollar/Yen Exchange Rate, 1931-1933: The End of the Gold Standard, Imperialism, and the Great Depression
with Kunio Okina, Juro Teranishi: w2683

Published: Ito, Takatoshi, Kunio Okina and Juro Teranishi. "New And The Dollar/Yen Exchange Rate, 1931-1933: The End Of The Gold Standard, Imperialism, And The Great Depression," Journal of the Japanese and International Economies, 1993, v7(2,Jun), 107-131. citation courtesy of

June 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
with Robert F. Engle, Wen-Ling Lin: w2609

Published: Econometrica 1990, Vol. 58, No. 3, pp. 525-542, (May 1990). citation courtesy of

May 1988On the Consistency of Short-run and Long-run Exchange Rate Expectations
with Kenneth A. Froot: w2577

Published: Froot, Kenneth A. and Takatoshi Ito. "On the Consistency of Short-run and Long-run Exchange Rate Expectations." Journal of International Money and Finance, Vol. 8, no. 4, pp. 487-510, (December 1989). citation courtesy of

June 1987Housing Finance Imperfections and Private Saving: A Comparative Simulation Analysis of the U.S. and Japan
with Fumio Hayashi, Joel Slemrod: w2272

Published: Journal of the Japanese and International Economies, Vol. 2, (1988), pp. 21 5-238.

October 1986The Intra-Daily Exchange Rate Dynamics and Monetary Policies After the G5 Agreement
w2048

Published: Ito, Takatoshi. "The Intra-Daily Exchange rate Dynamic and Monetary Policies After the G5 Agreement," Journal of the Japanese and International Economies, Vol. 1, 1987, pp. 275-298.

March 1986News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate?
with V. Vance Roley: w1853

Published: Ito, Takatoshi and V. Vance Roley. "News from the U.S. and Japan: Which Moves the Yen/Dollar Exchange Rate?" Journal of Monetary Economics, Vol. 19, No. 2, 1987, pp. 255-277. citation courtesy of

November 1984Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity
w1493

Published: The Review of Economics and Statistics, Vol. LXX, No. 2, (May 1988), pp. 29 6-305. citation courtesy of

August 1983Capital Controls and Covered Interest Parity
w1187

Published: Ito, Takatoshi. "Capital Controls and Covered Interest Parity Between the Dollar and the Yen," Economic Studies Quarterly, Vol. 37, No. 3, September 1986, pp. 223-241.

September 1979A Stochastic Approach to Disequilibrium Macroeconomics
with Seppo Honkapohja: t0001

Published: Honkapohja, Seppo and Takatoshi Ito. "On Macroeconomic Equilibrium with Stochastic Rationing." Scandinavian Journal of Economics, Vol. 87, No. 1, 1985, pp. 66-88.

February 1979Non-Trivial Equilibrium in an Economy With Stochastic Rationing
with Seppo Honkapohja: w0322
1979A Note on Stochastic Rationing Mechanisms
w0313

Published: Ito, Takatoshi. "An Example of a Non-Walrasian Equilibrium with Stochastic Rationing at the Walrasian Equilibrium Prices." Economic Letters, Vol. 2,(1979), pp. 13-19.

September 1978Disequilibrium Growth Theory: The Kaldor Model
w0281

Published: Ito, Takatoshi. "Disequilibrium Growth Theory." Journal of Economic Theory , Vol. 23, No. 3, (December 1980), pp. 380-409.

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