NBER Working Papers by Takatoshi Ito
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|April 2017||Did the Reform Fix the London Fix Problem?|
with Masahiro Yamada: w23327
|November 2016||Puzzles in the Forex Tokyo “Fixing”: Order Imbalances and Biased Pricing by Banks|
with Masahiro Yamada: w22820
|October 2016||A New Financial Order in Asia: Will a RMB bloc emerge?|
|February 2016||Japanization: Is it Endemic or Epidemic?|
|September 2015||Was the Forex Fixing Fixed?|
with Masahiro Yamada: w21518
|April 2015||High-frequency, Algorithmic Spillovers Between NASDAQ and Forex|
with Masahiro Yamada: w21122
|March 2015||Exchange Rate Exposure and Risk Management: The case of Japanese Exporting Firms|
with Satoshi Koibuchi, Kiyotaka Sato, Junko Shimizu: w21040
Published: Takatoshi Ito & Satoshi Koibuchi & Kiyotaka Sato & Junko Shimizu, 2016. "Exchange Rate Exposure and Risk Management: The Case of Japanese Exporting Firms," Journal of the Japanese and International Economies, .
|November 2012||Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets|
with Kenta Yamada, Misako Takayasu, Hideki Takayasu: w18541
|August 2012||Defying Gravity: How Long Will Japanese Government Bond Prices Remain High?|
with Takeo Hoshi: w18287
Published: “Defying Gravity: Can Japanese sovereign debt continue to increase without a crisis?” (Joint with Takatoshi Ito) Economic Policy, January 2014, 5-44.
|August 2011||International Reserves and the Global Financial Crisis|
with Kathryn M.E. Dominguez, Yuko Hashimoto: w17362
|July 2010||Why 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 2010||Great Inflation and Central Bank Independence in Japan|
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 2009||Effects 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 2008||Did 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 2008||Random 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
Published: Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe, 2012. "Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability," Quantitative Finance, vol 12(6), pages 893-905.
|November 2006||Price Impacts of Deals and Predictability of the Exchange Rate Movements|
with Yuko Hashimoto: w12682
|August 2006||Intra-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 2006||Exchange 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 2004||Two 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 2004||Microstructure 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?|
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 2004||What 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 2004||High-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 2003||Market 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 2002||High 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 2002||Is Foreign Exchange Intervention Effective?: The Japanese Experiences in the 1990s|
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 2000||Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises|
with Kimie Harada: w7997
- 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 1999||How 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 1999||Japan'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 1999||Capital Flows in Asia|
Published: Capital Flows in Asia, Takatoshi Ito. in Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, Edwards. 2000
|September 1998||Impacts 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 1997||Economic Growth and Real Exchange Rate: An Overview of the Balassa-Samuelson Hypothesis in Asia|
with Peter Isard, Steven Symansky: w5979
- Ito, Takatoshi and Krueger, Anne O. 1999. Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues. Chicago: The University of Chicago Press. pp. 109-130.
- Economic Growth and Real Exchange Rate: An Overview of the Balassa-Samuelson Hypothesis in Asia , Takatoshi Ito, Peter Isard, Steven Symansky. in Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues (NBER-EASE volume 7), Ito and Krueger. 1999
|February 1997||Is 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 1995||Heterogeneous 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 1995||Explaining 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 1995||One 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 1993||Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets|
with Wen-Ling Lin: w4592
|November 1993||Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate|
Published: Journal of the Japanese and International Economies, vol. 8, no. 2, June 1994, pp. 119-143. citation courtesy of
|June 1993||Efficiency 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
|November 1991||Do 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)
|May 1991||Bequest Taxes and Accumulation of Household Wealth: U.S. - Japan Comparison|
with Thomas A. Barthold: w3692
|October 1990||International Impacts on Domestic Political Economy: A Case of Japanese General Elections|
Published: Journal of International Money and Finance, Vol. 10, pp. S73-S89, (1991). citation courtesy of
|Where 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
|March 1990||Is the Japanese Distribution System Really Inefficient?|
with Masayoshi Maruyama: w3306
|September 1989||Estimation 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|
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 1989||Bonuses, 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 1989||Is the Bank of Japan a Closet Monetarist? Monetary Targeting in Japan, 1978-1988|
|September 1988||Intraday 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 1988||On 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|
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 1988||Meteor 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 1988||On 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 1987||Housing 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 1986||The Intra-Daily Exchange Rate Dynamics and Monetary Policies After the G5 Agreement|
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 1986||News 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 1984||Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity|
Published: The Review of Economics and Statistics, Vol. LXX, No. 2, (May 1988), pp. 29 6-305. citation courtesy of
|August 1983||Capital Controls and Covered Interest Parity|
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 1979||A 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 1979||Non-Trivial Equilibrium in an Economy With Stochastic Rationing|
with Seppo Honkapohja: w0322
|1979||A Note on Stochastic Rationing Mechanisms|
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 1978||Disequilibrium Growth Theory: The Kaldor Model|
Published: Ito, Takatoshi. "Disequilibrium Growth Theory." Journal of Economic Theory , Vol. 23, No. 3, (December 1980), pp. 380-409.
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