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Papers
| 1. | Inflation-overshooting commitment: An analysis using a macroeconomic model (Peer-reviewed) Takuji Kawamoto, Jouchi Nakajima, Tomoaki Mikami Oxford Economic Papers 2024.3 |
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| 2. | Energy efficiency in Japan: Developments in the business and household sectors (Peer-reviewed) Kosuke Aoki, Jouchi Nakajima, Masato Takahashi, Tomoyuki Yagi, Kotone Yamada Monetary and Economic Studies Vol.41,pp.81-110 2023.11 |
| 3. | わが国のエネルギー効率: 企業・家計部門の動向とカーボンニュートラルに向けた含意 (Peer-reviewed) 青木浩介, 高橋優豊, 中島上智, 八木智之, 山田琴音 金融研究 Vol.42,No.4,pp.39-68 2023.10 |
| 4. | The impact of macroeconomic uncertainty on the relationship between financial volatility and real economic activity (Peer-reviewed) Jouchi Nakajima Applied Economics pp.1-14 2023.9 
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| 5. | An evolution of global and regional banking networks: A focus on Japanese banks’ international expansion (Peer-reviewed) Michael Harrison, Jouchi Nakajima, Mimoza Shabani Journal of International Financial Markets, Institutions and Money Vol.83,pp.101717 2023.3
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| 6. | Estimating the macroeconomic effects of Japan’s expansionary monetary policy under Quantitative and Qualitative Monetary Easing during 2013–2020 (Peer-reviewed) Takuji Kawamoto, Takashi Nakazawa, Yui Kishaba, Kohei Matsumura, Jouchi Nakajima Economic Analysis and Policy 2023.3
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| 7. | Characteristics of Uncertainty Indices in the Macroeconomy (Peer-reviewed) Shinohara, Takeshi, Okuda, Tatsushi, Nakajima, Jouchi 経済研究 Vol.72,No.3,pp.246-267 2021.7
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| 8. | Steady-state growth (Peer-reviewed) Emanuel Kohlscheen, Jouchi Nakajima International Finance Vol.24,No.1,pp.40-52 2021.4
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| 9. | Identifying oil price shocks and their consequences: The role of expectations in the crude oil market (Peer-reviewed) Takuji Fueki, Jouchi Nakajima, Shinsuke Ohyama, Yoichiro Tamanyu International Finance Vol.24,No.1,pp.53-76 2021.4
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| 10. | Estimation of Multivariate Stochastic Volatility Model with Skew-t Distribution (Peer-reviewed) 中島上智 日本統計学会誌 Vol.50,No.2,pp.403-424 2021.3 |
| 11. | Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting (Peer-reviewed) Kenichiro McAlinn, Knut Are Aastveit, Jouchi Nakajima, Mike West Journal of the American Statistical Association Vol.115,No.531,pp.1092-1110 2020.7
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| 12. | The role of household debt heterogeneity on consumption: Evidence from Japanese household data (Peer-reviewed) Jouchi Nakajima Economic Analysis and Policy Vol.65,pp.186-197 2020.3
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| 13. | Skew selection for factor stochastic volatility models (Peer-reviewed) Jouchi Nakajima Journal of Applied Statistics Vol.47,No.4,pp.582-601 2020.3
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| 14. | Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions” (Peer-reviewed) Jouchi Nakajima Annals of the Institute of Statistical Mathematics Vol.72,No.1,pp.33-36 2020.2
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| 15. | Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model (Peer-reviewed) Sohei Kaihatsu, Jouchi Nakajima Economic Analysis and Policy Vol.59,pp.69-83 2018.9
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| 16. | The natural yield curve: its concept and measurement (Peer-reviewed) Kei Imakubo, Haruki Kojima, Jouchi Nakajima Empirical Economics Vol.55,No.2,pp.551-572 2018.9
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| 17. | The role of corporate governance in Japanese unlisted companies (Peer-reviewed) Shin ichi Fukuda, Munehisa Kasuya, Jouchi Nakajima Japan and the World Economy Vol.47,pp.27-39 2018.9
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| 18. | 非上場企業におけるコーポレート・ガバナンス
福田慎一, 粕谷宗久, 中島上智 福田慎一編『金融システムの制度設計』 2017.11 |
| 19. | Dynamics and sparsity in latent threshold factor models: A study in multivariate EEG signal processing (Peer-reviewed) Jouchi Nakajima, Mike West Brazilian Journal of Probability and Statistics Vol.31,No.4,pp.701-731 2017.11
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| 20. | Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model (Peer-reviewed) 中島 上智, 渡部 敏明 経済研究 Vol.68,No.3,pp.237-249 2017.7
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| 21. | Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes (Peer-reviewed) Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori Journal of Applied Statistics Vol.44,No.7,pp.1248-1268 2017.5
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| 22. | Bayesian analysis of multivariate stochastic volatility with skew return distribution (Peer-reviewed) Jouchi Nakajima Econometric Reviews Vol.36,No.5,pp.546-562 2017.5
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| 23. | Identifying conventional and unconventional monetary policy shocks: A latent threshold approach (Peer-reviewed) Takeshi Kimura, Jouchi Nakajima B.E. Journal of Macroeconomics Vol.16,No.1,pp.277-300 2016.1
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| 24. | Dynamic network signal processing using latent threshold models (Peer-reviewed) Jouchi Nakajima, Mike West Digital Signal Processing: A Review Journal Vol.47,pp.5-16 2015.12
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| 25. | Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models (Peer-reviewed) Xiaocong Zhou, Jouchi Nakajima, Mike West International Journal of Forecasting Vol.30,No.4,pp.963-980 2014.10
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| 26. | On the reliability of Japanese inflation expectations using purchasing power parity (Peer-reviewed) Koichiro Kamada, Jouchi Nakajima Economic Analysis and Policy Vol.44,No.3,pp.259-265 2014.8
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| 27. | Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns (Peer-reviewed) Jouchi Nakajima Studies in Nonlinear Dynamics and Econometrics Vol.17,No.5,pp.499-520 2013.12
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| 28. | Bayesian Analysis of Latent Threshold Dynamic Models (Peer-reviewed) Jouchi Nakajima, Mike West Journal of Business and Economic Statistics Vol.31,No.2,pp.151-164 2013.4
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| 29. | Dynamic factor volatility modeling: A bayesian latent threshold approach (Peer-reviewed) Jouchi Nakajima, Mike West Journal of Financial Econometrics Vol.11,No.1,pp.116-153 2012.12
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| 30. | Generalized extreme value distribution with time-dependence using the AR and MA models in state space form (Peer-reviewed) Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, Sylvia Frühwirth-Schnatter Computational Statistics and Data Analysis Vol.56,No.11,pp.3241-3259 2012.11
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| 31. | Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution (Peer-reviewed) Jouchi Nakajima, Yasuhiro Omori Computational Statistics and Data Analysis Vol.56,No.11,pp.3690-3704 2012.11
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| 32. | Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data- (Peer-reviewed) 中島 上智, 渡部 敏明 経済研究 Vol.63,No.3,pp.193-208 2012.7
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| 33. | Anhedonia in Japanese patients with Parkinson's disease: Analysis using the Snaith-Hamilton Pleasure Scale (Peer-reviewed) Shiroh Miura, Hideki Kida, Jouchi Nakajima, Kazuhito Noda, Kunihiko Nagasato, Mitsuyoshi Ayabe, Hisamichi Aizawa, Michael Hauser, Takayuki Taniwaki Clinical Neurology and Neurosurgery Vol.114,No.4,pp.352-355 2012.5
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| 34. | Bayesian analysis of generalized autoregressive conditional heteroskedasticity and stochastic volatility: Modeling leverage, jumps and heavy-tails for financial time series (Peer-reviewed) Jouchi Nakajima Japanese Economic Review Vol.63,No.1,pp.81-103 2012.3
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| 35. | Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications (Peer-reviewed) Jouchi Nakajima Monetary and Economic Studies Vol.29,pp.107-142 2011.11 |
| 36. | Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy (Peer-reviewed) Jouchi Nakajima, Munehisa Kasuya, Toshiaki Watanabe Journal of the Japanese and International Economies Vol.25,No.3,pp.225-245 2011.9
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| 37. | GH Skew Student’s t-Distribution in Stochastic Volatility Model with Application to Stock Returns (Peer-reviewed) 中島上智, 大森裕浩 日本統計学会誌 Vol.40,No.2 2011.3 |
| 38. | Monetary policy transmission under zero interest rates: An extended time-varying parameter vector autoregression approach (Peer-reviewed) Jouchi Nakajima B.E. Journal of Macroeconomics Vol.11,No.1 2011.1
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| 39. | 金融政策コミットメントの効果: わが国の経験 (Peer-reviewed) 白塚 重典, 寺西 勇生, 中島 上智 金融研究 Vol.29,No.3,pp.239-266 2010.7
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| 40. | 新日銀法10年間における情報発信の影響に関する一考察 (Peer-reviewed) 中島 上智, 服部 正純 金融研究 Vol.29,No.2,pp.1-26 2010.4
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| 41. | Leverage, heavy-tails and correlated jumps in stochastic volatility models (Peer-reviewed) Jouchi Nakajima, Yasuhiro Omori Computational Statistics and Data Analysis Vol.53,No.6,pp.2335-2353 2009.4
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| 42. | Stochastic volatility with leverage: Fast and efficient likelihood inference (Peer-reviewed) Yasuhiro Omori, Siddhartha Chib, Neil Shephard, Jouchi Nakajima Journal of Econometrics Vol.140,No.2,pp.425-449 2007.10
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| 43. | 非上場企業に「追い貸し」は存在したか? (Peer-reviewed) 福田 慎一, 粕谷 宗久, 中島 上智 金融研究 Vol.26,No.1,pp.73-104 2007.2
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| 44. | 非上場企業の設備投資の決定要因：金融機関の健全性および過剰債務問題の影響
福田慎一, 粕谷宗久, 中島上智 林文夫編『経済制度の実証分析と設計 第2巻 金融の機能不全』 2007.1 |
| 45. | Deteriorating bank health and lending in Japan: Evidence from unlisted companies under financial distress (Peer-reviewed) Shin Ichi Fukuda, Munehisa Kasuya, Jouchi Nakajima Journal of the Asia Pacific Economy Vol.11,No.4,pp.482-501 2006.8
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| 46. | 支払い方法選択行動分析による“高価値”顧客の発掘 (Peer-reviewed) 山口景子, 中島上智, 岡賢一 オペレーションズ・リサーチ Vol.51,No.2 2006.1 |
Misc.
| 1. | Real effects of corporate cash holdings: Evidence from Japan
Masazui Hattori, Ryosuke Fujitani, Jouchi Nakajima, Yukihiro Yasuda RIETI Discussion Paper Series 23-E-084, Research Institute of Economy, Trade and Industry 2023.12 |
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| 2. | Estimation of firms’ inflation expectations using the survey DI
Jouchi Nakajima Discussion Paper Series A.749, Institute of Economic Research, Hitotsubashi University 2023.12 |
| 3. | Estimating trend inflation in a regime-switching Phillips curve
Jouchi Nakajima Discussion Paper Series A.750, Institute of Economic Research, Hitotsubashi University 2023.12 |
| 4. | On the estimation of the natural yield curve
Jouchi Nakajima, Nao Sudo, Yoshihiko Hogen, Yasutaka Takizuka Discussion Paper Series A.753, Institute of Economic Research, Hitotsubashi University 2023.12 |
| 5. | 短観ＤＩを用いた企業のインフレ予想の推計
中島上智 一橋大学経済研究所ディスカッションペーパーシリーズ A-744 2023.7 |
| 6. | 消費者物価への非線形なコストパススルー：閾値モデルによるアプローチ
佐々木貴俊, 山本弘樹, 中島上智 日本銀行ワーキングペーパーシリーズ No.23-J-05 2023.5 |
| 7. | Nonlinear input cost pass-through to consumer prices: A threshold approach
Takatoshi Sasaki, Hiroki Yamamoto, Jouchi Nakajima Bank of Japan Working Paper Series No.23-E-9 2023.5 |
| 8. | High-frequency realized stochastic volatility model
Toshiaki Watanabe, Jouchi Nakajima Discussion Paper Series HIAS-E-127, Hitotsubashi Institute for Advanced Study 2023.1 |
| 9. | Corporate finance facility and resource allocation: Research trends and developments during the spread of COVID-19
Kotone Yamada, Yukio Minoura, Jouchi Nakajima, Tomoyuki Yagi Bank of Japan Working Paper Series No.23-E-1 2023.1 |
| 10. | わが国のエネルギー効率: 企業・家計部門の動向とカーボンニュートラルに向けた含意
青木浩介, 高橋優豊, 中島上智, 八木智之, 山田琴音 日本銀行ワーキングペーパーシリーズ No.22-J-8 2022.11 |
| 11. | Productivity trends in Japan: Reviewing recent facts and the prospects for the post-COVID-19 era
Tomoyuki Yagi, Kakuho Furukawa, Jouchi Nakajima Bank of Japan Working Paper Series No.22-E-10 2022.7 |
| 12. | An assessment of online consumption trends in Japan during the COVID-19 pandemic
Jouchi Nakajima, Masato Takahashi, Tomoyuki Yagi Bank of Japan Working Paper Series No.22-E-11 2022.7 |
| 13. | Macroeconomic uncertainty matters: A nonlinear effect of financial volatility on real economic activity
Jouchi Nakajima Discussion Paper Series HIAS-E-121, Hitotsubashi Institute for Advanced Study 2022.6 |
| 14. | An evolution of global and regional banking networks: A focus on Japanese banks' international expansion
Harrison, M, J. Nakajima, M. Shabani Discussion Paper Series HIAS-E-120, Hitotsubashi Institute for Advanced Study 2022.4 |
| 15. | わが国の生産性動向－近年の事実整理とポストコロナに向けた展望－
八木智之, 古川角歩, 中島上智 日本銀行ワーキングペーパーシリーズ No.22-J-3 2022.3 |
| 16. | 新型コロナウイルス感染症拡大前後のオンライン消費動向の分析
中島上智, 高橋優豊, 八木智之 日本銀行ワーキングペーパーシリーズ No.22-J-5 2022.3 |
| 17. | 企業金融支援と資源配分－研究の潮流と新型コロナウイルス感染症拡大後の動向－
山田琴音, 箕浦征郎, 中島上智, 八木智之 日本銀行ワーキングペーパーシリーズ No.22-J-4 2022.3 |
| 18. | 景気ウォッチャー調査のテキスト分析からみた企業の短期インフレ予想
中島上智, 山縣広晃, 奥田達志, 香月信之輔, 篠原武史 日本銀行ワーキングペーパーシリーズ No.21-J-12 2021.10 |
| 19. | Extracting firms' short-term inflation expectations from the Economy Watchers Survey using text analysis
Nakajima, J, H. Yamagata, T. Okuda, S. Katsuki, T. Shinohara Bank of Japan Working Paper Series No.21-E-12 2021.10 |
| 20. | Inflation-overshooting commitment: An analysis using a macroeconomic model
Kawamoto, T, J. Nakajima, T. Mikami Bank of Japan Working Paper Series No.21-E-9 2021.7 |
| 21. | マクロ経済モデルを用いたオーバーシュート型コミットメントの分析
川本卓司, 中島上智, 三上朝晃 日本銀行ワーキングペーパーシリーズ No.21-J-11 2021.5 |
| 22. | マクロ経済モデルQ-JEMを用いた「量的・質的金融緩和」導入以降の政策効果の推計
川本卓司, 中澤崇, 喜舎場唯, 松村浩平, 中島上智 日本銀行ワーキングペーパーシリーズ No.21-J-7 2021.4 |
| 23. | Estimating effects of expansionary monetary policy since the introduction of Quantitative and Qualitative Monetary Easing (QQE) using the macroeconomic model (Q-JEM)
Kawamoto, T, T. Nakazawa, Y. Kisyaba, K. Matsumura, J. Nakajima Bank of Japan Working Paper Series No.21-E-4 2021.4 |
Presentations
| No. | Name of subject/Conference Name | Year | Site |
|---|---|---|---|
| 1. | Estimating trend inflation in a regime-switching Phillips curve(Hitotsubashi Summer Institute) |
Holding date :
Presentation date : 2024.3.11 |
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| 2. | Time-varying parameter local projections with stochastic volatility(17th International Conference on Computational and Financial Econometric) |
Holding date :
Presentation date : 2023.12.17 |
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| 3. | Time-varying parameter local projections with stochastic volatility(25th International Conference on Computational Statistics) |
Holding date :
Presentation date : 2023.8.25 |
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| 4. | Time-varying parameter local projections with stochastic volatility(6th International Conference on Econometrics and Statistics) |
Holding date :
Presentation date : 2023.8.1 |
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| 5. | Time-varying parameter local projections with stochastic volatility(Hitotsubashi Summer Institute) |
Holding date :
Presentation date : 2023.2 |
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| 6. | Time-varying parameter local projections with stochastic volatility(Webinar of Bayesian Econometrics 2023) |
Holding date :
Presentation date : 2023.1 |
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| 7. | High-frequency realized stochastic volatility model with the generalized hyperbolic skew Student's t-distribution(16th International Conference on Computational and Financial Econometrics) |
Holding date :
Presentation date : 2022.12 |
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| 8. | High-frequency realized stochastic volatility model with the generalized hyperbolic skew Student's t-distribution(Japanese Joint Statistical Meeting 2022) |
Holding date :
Presentation date : 2022.9 |
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| 9. | Estimating firm's inflation expectations based on survey's diffusion index(The 16th International Symposium on Econometric Theory and Applications (SETA2022)) |
Holding date :
Presentation date : 2022.7 |
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| 10. | Measuring regional economic uncertainty(The 6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA) Conference (Invited session)) |
Holding date :
Presentation date : 2022.7 |
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| 11. | Measuring regional economic uncertainty(The 5th International Conference on Econometrics and Statistics (Special invited session)) |
Holding date :
Presentation date : 2022.6 |
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| 12. | Extracting firms' short-term inflation expectations from survey comments using text analysis(Seminar on Macroeconomics, Waseda University) |
Holding date :
Presentation date : 2022.5 |
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| 13. | Measuring regional economic uncertainty(Symposium on Bayesian Theory and Application) |
Holding date :
Presentation date : 2022.3 |
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| 14. | Central bank balance sheets and long-term interest rates: Revisiting unconventional monetary policy experiences(FFJ-Banque de France Workshop) |
Holding date :
Presentation date : 2022.3 |
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| 15. | Stochastic volatility models with time-varying leverage effect(15th International Conference on Computational and Financial Econometrics) |
Holding date :
Presentation date : 2021.12 |
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| 16. | High-frequency realized stochastic volatility model(Insper Data Science and Decision Seminar Series (Invited Seminar)) |
Holding date :
Presentation date : 2021.12 |
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| 17. | Discussion for "FX interventions as a form of unconventional monetary policy: The Swiss case"(Swiss National Bank Research Conference) |
Holding date :
Presentation date : 2021.9 |
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| 18. | High-frequency realized stochastic volatility model(7th Hitotsubashi Summer Institute) |
Holding date :
Presentation date : 2021.8 |
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| 19. | Stochastic volatility models with time-varying leverage effect(4th International Conference on Econometrics and Statistics) |
Holding date :
Presentation date : 2021.6 |
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| 20. | High-frequency realized stochastic volatility model(Applied Time Series Econometrics Workshop, Federal Reserve Bank of St. Louis) |
Holding date :
Presentation date : 2021.4 |
Awards
| No. | Award name | Year |
|---|---|---|
| 1. | 小川研究奨励賞 | 2020.9 |
Research Projects
| No. | Research subject | Research item(Awarding organization, System name) | Year |
|---|---|---|---|
| 1. | The construction of new uncertainty indicators and theoretical and econometric analysis of their impact on financial markets and the macroeconomy
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research ) |
2023.4 - 2028.3 |
| 2. | 新日銀法下における金融政策の四半世紀総括と次世代への展望
|
基盤研究(A)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 ) |
2023.4 - 2026.3 |
| 3. | 日本における金融政策の効果の推計
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研究活動スタート支援
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 ) |
2022.8 - 2024.3 |
| 4. | 経済危機を「自然実験」とした本邦企業による流動性保有の実体的効果の実証分析
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基盤研究(B)
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 ) |
2021.4 - 2024.3 |
| 5. | Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research ) |
2020.4 - 2023.3 |
