Jouchi Nakajima : Citation Profile

Are you Jouchi Nakajima?

Bank of Japan

11

H index

11

i10 index

580

Citations

RESEARCH PRODUCTION:

16

Articles

44

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 44
   Journals where Jouchi Nakajima has often published
   Relations with other researchers
   Recent citing documents: 173.    Total self citations: 17 (2.85 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pna189
   Updated: 2020-05-16    RAS profile: 2017-06-29    
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Relations with other researchers

Works with:

Kamada, Koichiro (4)

Kunihama, Tsuyoshi (2)

Omori, Yasuhiro (2)

Kimura, Takeshi (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jouchi Nakajima.

Is cited by:

Omori, Yasuhiro (35)

Michaelis, Henrike (18)

Kastner, Gregor (14)

Chan, Joshua (12)

Rodríguez, Gabriel (11)

Thorsrud, Leif (10)

Takahashi, Makoto (9)

Ishihara, Tsunehiro (9)

GUPTA, RANGAN (9)

Deschamps, Philippe (8)

Veiga, Helena (8)

Cites to:

Shephard, Neil (44)

Omori, Yasuhiro (18)

Harvey, Andrew (12)

Primiceri, Giorgio (11)

Jeliazkov, Ivan (10)

Yu, Jun (10)

Chernov, Mikhail (8)

Koop, Gary (8)

Korobilis, Dimitris (8)

Gallant, A. (7)

Shiratsuka, Shigenori (7)

Main data

Where Jouchi Nakajima has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis3
The B.E. Journal of Macroeconomics2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo10
IMES Discussion Paper Series / Institute for Monetary and Economic Studies, Bank of Japan8
Bank of Japan Working Paper Series / Bank of Japan8
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo6
Bank of Japan Research Laboratory Series / Bank of Japan3

Recent works citing Jouchi Nakajima (2018 and 2017)

YearTitle of citing document
2017Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. (2017). Kastner, Gregor ; Lopes, Hedibert Freitas ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1602.08154.

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2017Volatility Forecasts Using Nonlinear Leverage Effects. (2017). Nakatsuma, Teruo ; McAlinn, Kenichiro ; Ushio, Asahi . In: Papers. RePEc:arx:papers:1605.06482.

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2017Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. (2017). Kastner, Gregor ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1706.05280.

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2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

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2018How does monetary policy affect income inequality in Japan? Evidence from grouped data. (2018). Feldkircher, Martin ; Kakamu, Kazuhiko. In: Papers. RePEc:arx:papers:1803.08868.

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2018A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489.

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2018Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler. (2018). Dos, Thiago R ; Rego, Arthur T. In: Papers. RePEc:arx:papers:1809.01501.

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2018A Machine Learning-based Recommendation System for Swaptions Strategies. (2018). Treleaven, Philip ; Firoozye, Nick ; Koshiyama, Adriano Soares. In: Papers. RePEc:arx:papers:1810.02125.

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2019Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1901.11491.

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2019Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

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2019Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379.

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2019Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2019Estimating Large Mixed-Frequency Bayesian VAR Models. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1912.02231.

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2020Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116.

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2018How Does Unconventional Monetary Policy Influence the Economy in Japan?. (2018). Otsubo, Kansho Piotr. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:308-330.

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2018The global component of inflation volatility. (2018). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1170_18.

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2018Sectoral and aggregate response to oil price shocks in the Colombian economy: SVAR and Local Projections approach. (2018). Francis, Neville ; Restrepo-Angel, Sergio. In: Borradores de Economia. RePEc:bdr:borrec:1055.

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2019Bayesian Inference for Markov-switching Skewed Autoregressive Models. (2019). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:726.

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2017Unconventional monetary policy - is there a call for unconventional statistics?. (2017). Lima, Filipa ; Mota, Sonia . In: IFC Bulletins chapters. RePEc:bis:bisifc:43-21.

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2017The evolution of inflation expectations in Japan. (2017). Yetman, James ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:647.

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2018Effectiveness of unconventional monetary policies in a low interest rate environment. (2018). Filardo, Andrew ; Nakajima, Jouchi. In: BIS Working Papers. RePEc:bis:biswps:691.

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2018A time series model of interest rates with the effective lower bound. (2018). Mertens, Elmar ; Johannsen, Benjamin K. In: BIS Working Papers. RePEc:bis:biswps:715.

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2019Steady-state growth. (2019). Kohlscheen, Emanuel ; Nakajima, Jouchi. In: BIS Working Papers. RePEc:bis:biswps:812.

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2019Truncated priors for tempered hierarchical Dirichlet process vector autoregression. (2019). Seleznev, Sergei. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps47.

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2017Chinas Trade Slowdown: Cyclical or Structural?. (2017). Qian, Xuefeng ; Pan, Ying ; Liu, Zhao. In: China & World Economy. RePEc:bla:chinae:v:25:y:2017:i:6:p:65-83.

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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage. (2017). Omori, Yasuhiro ; Ishihara, Tsunehiro . In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:1:p:63-94.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2018Measuring Exchange Rate, Price, and Output Dynamics at the Effective Lower Bound. (2018). Kaufmann, Daniel ; Baeurle, Gregor ; Baurle, Gregor. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:80:y:2018:i:6:p:1243-1266.

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2018Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064.

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2019Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting. (2019). Aastveit, Knut Are ; West, Mike ; Nakajima, Jouchi ; McAlinn, Kenichiro. In: Working Papers. RePEc:bny:wpaper:0073.

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2019News-driven inflation expectations and information rigidities. (2019). Thorsrud, Leif ; Larsen, Vegard ; Zhulanova, Julia. In: Working Papers. RePEc:bny:wpaper:0075.

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2017Phillips Curve and Price-Change Distribution under Declining Trend Inflation. (2017). Shiraki, Noriyuki ; Kaihatsu, Sohei ; Katagiri, Mitsuru . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e05.

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2017Myths and Observations on Unconventional Monetary Policy -- Takeaways from Post-Bubble Japan --. (2017). Sudo, Nao ; Iwasaki, Yuto. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e11.

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2018The Anchoring of Inflation Expectations in Japan: A Learning-Approach Perspective. (2018). Okuma, Ryoichi ; Hogen, Yoshihiko . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp18e08.

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2019Firms Inflation Expectations under Rational Inattention and Sticky Information: An Analysis with a Small-Scale Macroeconomic Model. (2019). Tanaka, Masaki ; Kitamura, Tomiyuki . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp19e16.

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2017Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models. (2017). Peter, Reusens ; Christophe, Croux. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:18:n:1.

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2019Business Cycle Narratives. (2019). Thorsrud, Leif ; Larsen, Vegard. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7468.

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2017Creating Investment Scheme with State Space Modeling. (2017). Takahashi, Soichiro ; Nakano, Masafumi. In: CARF F-Series. RePEc:cfi:fseres:cf406.

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2019Trend, Seasonal, and Sectoral Inflation in the Euro Area. (2019). Watson, Mark W ; Stock, James H. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:847.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019Exploring option pricing and hedging via volatility asymmetry. (2019). Veiga, Helena ; Casas, Isabel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28234.

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2017Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks. (2017). Georgiadis, Georgios ; Jancokova, Martina. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_008.

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2018Stock markets, banks and economic growth in the UK, 1850–1913. (2018). Jansson, Walter. In: Financial History Review. RePEc:cup:fihrev:v:25:y:2018:i:03:p:263-296_00.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2018On the Persistence of UK Inflation: A Long-Range Dependence Approach. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1731.

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2017Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks. (2017). Georgiadis, Georgios ; Janokova, Martina . In: Working Paper Series. RePEc:ecb:ecbwps:20172082.

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2018Fracking, Wars and Stock Market Crashes: The Price of Oil During the Great Recession. (2018). Garzon, Antonio J ; Hierro, Luis A. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-02-3.

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2018Monetary policy transmission in systemically important economies and China’s impact. (2018). Siklos, Pierre ; Xie, Xiangyou ; Lombardi, Domenico. In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:61-79.

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2018Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model. (2018). Kaihatsu, Sohei ; Nakajima, Jouchi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:59:y:2018:i:c:p:69-83.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Trend inflation estimates for Thailand from disaggregated data. (2017). Limjaroenrat, Vorada ; Manopimoke, Pym. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:75-94.

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2018Oil price shocks and uncertainty: How stable is their relationship over time?. (2018). Filis, George ; Degiannakis, Stavros ; Panagiotakopoulou, Sofia. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:42-53.

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2018Identifying the nonlinear correlation between business cycle and monetary policy rule: Evidence from China and the U.S.. (2018). Liu, Dayu ; Song, Yang ; Zhao, Tingting ; Xu, Ning. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:45-54.

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2019Monetary policy volatility shocks in Brazil. (2019). Fasolo, Angelo. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:348-360.

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2019Effects of Japanese quantitative easing policy on the economies of Japan and Korea. (2019). Kim, Won Joong ; Baak, Saang Joon ; Ryou, Jai Won. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:241-252.

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2019Nonlinear dependence in cryptocurrency markets. (2019). Laurini, Márcio ; Chaim, Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:32-47.

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2017Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:10-14.

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2017An extension of stochastic volatility model with mixed frequency information. (2017). Shang, Yuhuang ; Liu, Lulu. In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:144-148.

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2018Comparing hybrid time-varying parameter VARs. (2018). Chan, Joshua ; Eisenstat, Eric. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:1-5.

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2018A generalised stochastic volatility in mean VAR. (2018). Mumtaz, Haroon. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:10-14.

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2019Dynamic Bayesian predictive synthesis in time series forecasting. (2019). West, Mike ; McAlinn, Kenichiro. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:155-169.

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2019Forecast density combinations of dynamic models and data driven portfolio strategies. (2019). Hoogerheide, L ; Grassi, S ; Borowska, A ; Baturk, N ; van Dijk, H K. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:170-186.

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2019The value of news for economic developments. (2019). Thorsrud, Leif A ; Larsen, Vegard H. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:203-218.

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2019Achieving shrinkage in a time-varying parameter model framework. (2019). Fruhwirth-Schnatter, Sylvia ; Bitto, Angela. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:75-97.

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2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

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2017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22.

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2017Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2018A new particle filtering approach to estimate stochastic volatility models with Markov-switching. (2018). Karamé, Frédéric ; Karame, Frederic. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:204-230.

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2017Oil price shocks and Chinas economy: Reactions of the monetary policy to oil price shocks. (2017). GUPTA, RANGAN ; Hyun, Jun Seog ; Hammoudeh, Shawkat ; Kim, Won Joong. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:61-69.

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2017The relationship between global oil price shocks and Chinas output: A time-varying analysis. (2017). Cross, Jamie ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:79-91.

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2019Probabilistic electricity price forecasting with Bayesian stochastic volatility models. (2019). Kostrzewska, Jadwiga ; Kostrzewski, Maciej . In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:610-620.

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2020The pass-through effects of oil price shocks on Chinas inflation: A time-varying analysis. (2020). Li, Hailing ; Zhu, Xuehong ; Chen, Jinyu. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300347.

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2018Time-varying effects of oil supply and demand shocks on Chinas macro-economy. (2018). Lin, Boqiang ; Gong, XU. In: Energy. RePEc:eee:energy:v:149:y:2018:i:c:p:424-437.

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2018Time-varying effects of cyclical fluctuations in Chinas energy industry on the macro economy and carbon emissions. (2018). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:1102-1112.

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2017The effectiveness of conventional and unconventional monetary policy: Evidence from a structural dynamic factor model for Japan. (2017). Hanisch, Max. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:110-134.

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2017Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time?. (2017). Michaelis, Henrike ; Watzka, Sebastian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:204-233.

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2019Trend inflation and monetary policy regimes in Japan. (2019). Okimoto, Tatsuyoshi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:137-152.

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2017The evolution of inflation expectations in Japan. (2017). Yetman, James ; Hattori, Masazumi. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:46:y:2017:i:c:p:53-68.

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2017Variability in the effects of uncertainty shocks: New stylized facts from OECD countries. (2017). Choi, Sangyup. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:53:y:2017:i:c:p:127-144.

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2017Global macroeconomic uncertainty. (2017). Kempa, Bernd ; Grabert, Sibylle ; Berger, Tino. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:53:y:2017:i:c:p:42-56.

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2019Time-varying effects of international copper price shocks on Chinas producer price index. (2019). Hu, Chunyan ; Zhao, Cong ; Wen, Fenghua. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:507-514.

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2019Time-varying effect of the financialization of nonferrous metals markets on Chinas industrial sector. (2019). Chen, Jin-Yu ; Huang, Jian-Bai ; Zhou, Ying-Zhe. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420718302812.

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2018Empirical research on complex networks modeling of combat SoS based on data from real war-game, Part I: Statistical characteristics. (2018). Wu, Cheng ; Chen, Lei ; Li, Zhanwu ; Kou, Yingxin ; Xu, AN. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:754-773.

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2019The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach. (2019). catik, nazif ; Balcilar, Mehmet ; Toparli, Elif Akay. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313755.

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2018An empirical application of a stochastic volatility model with GH skew Students t-distribution to the volatility of Latin-American stock returns. (2018). Rodríguez, Gabriel ; Rodriguez, Gabriel ; Lafosse, Patricia Lengua. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:155-173.

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2017Energy consumption and economic growth: An empirical study of the electricity consumption in Saudi Arabia. (2017). Mezghani, Imed ; ben Haddad, Hedi . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:145-156.

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2017A non-iterative (trivial) method for posterior inference in stochastic volatility models. (2017). Tsionas, Mike. In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:83-87.

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2019The dynamic relationships among CO2 emissions, renewable and non-renewable energy sources, and economic growth in India: Evidence from time-varying Bayesian VAR model. (2019). Tiwari, Aviral ; Islam, Faridul ; Kang, Sang Hoon. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:90-101.

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2017The Macroeconomic Effects of Japans Unconventional Monetary Policies. (2017). Okimoto, Tatsuyoshi ; MIYAO, Ryuzo ; Tatsuyoshi, Okimoto ; Ryuzo, MIYAO . In: Discussion papers. RePEc:eti:dpaper:17065.

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2018Trend Inflation and Monetary Policy Regimes in Japan. (2018). Okimoto, Tatsuyoshi ; Tatsuyoshi, Okimoto. In: Discussion papers. RePEc:eti:dpaper:18024.

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2018What Drives Output Volatility? The Role of Demographics and Government Size Revisited. (2018). Vierke, Hauke ; Iseringhausen, Martin. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:075.

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2018Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors. (2018). Mertens, Elmar ; McCracken, Michael ; Clark, Todd. In: Working Papers. RePEc:fip:fedcwq:171501.

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2019Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility. (2019). Zito, John ; Bognanni, Mark. In: Working Papers. RePEc:fip:fedcwq:86647.

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2017Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks. (2017). Georgiadis, Georgios ; Jancokova, Martina. In: Globalization Institute Working Papers. RePEc:fip:feddgw:314.

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2019Inferring the Shadow Rate from Real Activity. (2017). Skaperdas, Arsenios ; Garcia, Benjamin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-106.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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2017The evolution of inflation expectations in Japan. (2017). Yetman, James ; Hattori, Masazumi. In: CIS Discussion paper series. RePEc:hit:cisdps:662.

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2017Expected Inflation Regimes in Japan. (2017). Okimoto, Tatsuyoshi. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-41.

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2020Empirical Analysis on the Effects of Japanese Fiscal Policy under the Effective Lower Bound. (2020). Morita, Hiroshi. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-97.

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More than 100 citations found, this list is not complete...

Works by Jouchi Nakajima:

YearTitleTypeCited
2012BAYESIAN ANALYSIS OF GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY AND STOCHASTIC VOLATILITY: MODELING LEVERAGE, JUMPS AND HEAVY‐TAILS FOR FINANCIAL TIME SERIES In: The Japanese Economic Review.
[Full Text][Citation analysis]		article4
2015The natural yield curve: its concept and developments in Japan In: Bank of Japan Research Laboratory Series.
[Full Text][Citation analysis]		paper1
2015What do negative inflation risk premia tell us? In: Bank of Japan Research Laboratory Series.
[Full Text][Citation analysis]		paper0
2015Household Inflation Expectations: The Term Structure and the Anchor Effects of Monetary Policy In: Bank of Japan Research Laboratory Series.
[Full Text][Citation analysis]		paper0
2014Disagreement in households inflation expectations and its evolution In: Bank of Japan Review Series.
[Full Text][Citation analysis]		paper6
2016Slow Trade: Structural and Cyclical Factors in Global Trade Slowdown In: Bank of Japan Research Papers.
[Full Text][Citation analysis]		paper3
2005Bank Health and Investment: An Analysis of Unlisted Companies in Japan In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper7
2005Bank Health and Investment: An Analysis of Unlisted Companies in Japan.(2005) In: CARF F-Series.
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2005Bank Health and Investment: An Analysis of Unlisted Companies in Japan.(2005) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 7		paper
2013On the Reliability of Japanese Inflation Expectations Using Purchasing Power Parity In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper4
2014On the reliability of Japanese inflation expectations using purchasing power parity.(2014) In: Economic Analysis and Policy.
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2013Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper22
2016Identifying conventional and unconventional monetary policy shocks: a latent threshold approach.(2016) In: The B.E. Journal of Macroeconomics.
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This paper has another version. Agregated cites: 22		article
2015Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper8
2015Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper18
2015The natural yield curve: its concept and measurement In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper1
2015Are Household Inflation Expectations Anchored in Japan? In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper6
2016Identifying Oil Price Shocks and Their Consequences:Role of Expectations and Financial Factors in the Crude Oil Market In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper3
2011Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach In: The B.E. Journal of Macroeconomics.
[Full Text][Citation analysis]		article17
2011Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach.(2011) In: IMES Discussion Paper Series.
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This paper has another version. Agregated cites: 17		paper
2013Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article4
2004Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series.
[Full Text][Citation analysis]		paper0
2005Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies Undergoing Financial Distress (Subsequently published in Journal of the Asia Pacific Economy Vo.11, No.4, December 2006 In: CARF F-Series.
[Full Text][Citation analysis]		paper0
2007Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in Computational Statistics and Data Analysis, 53-6, 2335-2353. April 2009. ) In: CARF F-Series.
[Full Text][Citation analysis]		paper0
2009Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Students t-distribution In: CARF F-Series.
[Citation analysis]		paper28
2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution.(2010) In: CARF F-Series.
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2012Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution.(2012) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 28		article
2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Students t-distribution.(2010) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2009Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution.(2009) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 28		paper
2009Leverage, heavy-tails and correlated jumps in stochastic volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article34
2007Leverage, heavy-tails and correlated jumps in stochastic volatility models.(2007) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2012Generalized extreme value distribution with time-dependence using the AR and MA models in state space form In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article8
2009Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2009) In: IMES Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2009Generalized extreme value distribution with time-dependence using the AR and MA models in state space form.(2009) In: CIRJE F-Series.
[Citation analysis]
This paper has another version. Agregated cites: 8		paper
2011Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2011) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2007Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article143
2014Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article19
2011Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]		article61
2009Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy.(2009) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2009Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy.(2009) In: IMES Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
2012Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data- In: Economic Review.
[Full Text][Citation analysis]		article0
2012Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2011Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper44
2008EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns In: IMES Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2009The Evolution of Loan Rate Stickiness Across the Euro Area In: IMES Discussion Paper Series.
[Full Text][Citation analysis]		paper1
2010The Effects of Monetary Policy Commitment: Evidence from Time- varying Parameter VAR Analysis In: IMES Discussion Paper Series.
[Full Text][Citation analysis]		paper9
2010How well do the sticky price models explain the disaggregated price responses to aggregate technology and monetary policy shocks? In: IMES Discussion Paper Series.
[Full Text][Citation analysis]		paper5
2010How Well Do the Sticky Price Models Explain the Disaggregated Price Responses to Aggregate Technology and Monetary Policy Shocks?.(2010) In: Discussion papers.
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2011Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications In: IMES Discussion Paper Series.
[Full Text][Citation analysis]		paper72
2011Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications.(2011) In: Monetary and Economic Studies.
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This paper has another version. Agregated cites: 72		article
2004Stochastic volatility with leverage: fast likelihood inference In: Economics Papers.
[Full Text][Citation analysis]		paper7
2004Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series.
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2012Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2017Bayesian analysis of multivariate stochastic volatility with skew return distribution In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2013Bayesian Analysis of Latent Threshold Dynamic Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article40
2005Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies Undergoing Financial Distress In: CIRJE F-Series.
[Full Text][Citation analysis]		paper4
2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution Models In: CIRJE F-Series.
[Full Text][Citation analysis]		paper1
2015Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes In: CIRJE F-Series.
[Full Text][Citation analysis]		paper0
2015Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes .(2015) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 0		paper
2010GH skew Students t-distribution in stochastic volatility model with application to stock returns (in Japanese) In: CIRJE J-Series.
[Full Text][Citation analysis]		paper0

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