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
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
February 2010Great Inflation and Central Bank Independence in Japan
w15726
May 2009Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture
with Yuko Hashimoto: w15020
December 2008Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks
with Kimie Harada: w14518
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
August 2006Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System
with Yuko Hashimoto: w12413
July 2006Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through
with Kiyotaka Sato: w12395
November 2004Two Decades of Japanese Monetary Policy and the Deflation Problem
with Frederic S. Mishkin: w10878
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
May 2004What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function
with Tomoyoshi Yabu: w10456
April 2004High-Frequency Contagion Between the Exchange Rates and Stock Prices
with Yuko Hashimoto: w10448
March 2003Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives
with Kimie Harada: w9589
December 2002High Frequency Contagion of Currency Crises in Asia
with Yuko Hashimoto: w9376
April 2002Is Foreign Exchange Intervention Effective?: The Japanese Experiences in the 1990s
w8914
November 2000Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises
with Kimie Harada: w7997
On the Desirability of a Regional Basket Currency Arrangement
with Eiji Ogawa: w8002
August 1999How Did the Dollar Peg Fail in Asia?
with Eiji Ogawa, Yuri Nagataki Sasaki: w6729
July 1999Japan's Big Bang and the Transformation of Financial Markets
with Michael Melvin: w7247
May 1999Capital Flows in Asia
w7134
September 1998Impacts of the Basle Capital Standard on Japanese Banks' Behavior
with Yuri Nagatake Sasaki: w6730
March 1997Economic Growth and Real Exchange Rate: An Overview of the Balassa-Samuelson Hypothesis in Asia
with Peter Isard, Steven Symansky: w5979
February 1997Is There Private Information in the FX Market? The Tokyo Experiment
with Richard K. Lyons, Michael T. Melvin: w5936
December 1995Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
with Graham Elliott: w5376
November 1995Explaining Asset Bubbles in Japan
with Tokuo Iwaisako: w5358
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
December 1993Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets
with Wen-Ling Lin: w4592
November 1993Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate
w4545
June 1993Efficiency of the Tokyo Housing Market
with Keiko Nosse Hirono: w4382
September 1992Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
with Robert F. Engle, Wen-Ling Lin: w3504
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
August 1991International Impacts on Domestic Political Economy: A Case of Japanese General Elections
w3499
May 1991Bequest Taxes and Accumulation of Household Wealth: U.S. - Japan Comparison
with Thomas A. Barthold: w3692
March 1990Is the Japanese Distribution System Really Inefficient?
with Masayoshi Maruyama: w3306
September 1989Estimation and Hypothesis Testing with Restricted Spectral Density Matrices: An Application to Uncovered Interest Parity
with Danny Quah: t0050
Endogenous Election Timings and Political Business Cycles in Japan
w3128
June 1989Bonuses, Overtime, and Employment: Korea vs. Japan
with Kyoungsik Kang: w3012
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
August 1988On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market
with Fabio Canova: w2678
Foreign Exchange Rate Expectations: Micro Survey Data
w2679
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
June 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
with Robert F. Engle, Wen-Ling Lin: w2609
May 1988On the Consistency of Short-run and Long-run Exchange Rate Expectations
with Kenneth A. Froot: w2577
June 1987Housing Finance Imperfections and Private Saving: A Comparative Simulation Analysis of the U.S. and Japan
with Fumio Hayashi, Joel Slemrod: w2272
October 1986The Intra-Daily Exchange Rate Dynamics and Monetary Policies After the G5 Agreement
w2048
March 1986News from the U. S. and Japan: Which Moves the Yen/Dollar Exchange Rate?
with V. Vance Roley: w1853
November 1984Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity
w1493
August 1983Capital Controls and Covered Interest Parity
w1187
September 1979A Stochastic Approach to Disequilibrium Macroeconomics
with Seppo Honkapohja: t0001
February 1979Non-Trivial Equilibrium in an Economy With Stochastic Rationing
with Seppo Honkapohja: w0322
1979A Note on Stochastic Rationing Mechanisms
w0313
September 1978Disequilibrium Growth Theory: The Kaldor Model
w0281

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