Bank of Japan

08/22/2018 | Press release | Distributed by Public on 08/21/2018 20:01

(Research Paper)IMES DPS: Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market

IMES Discussion Paper Series (DPS) is circulated in order to stimulate discussion and comments. Views expressed in Discussion Paper Series are those of authors and do not necessarily reflect those of the Bank of Japan or the Institute for Monetary and Economic Studies.

Click the title to obtain an abstract of the thesis

No./Main Category Author(s) Title/Keywords Date Full Text (PDF)
2018-E-13/Finance Keiichi Goshima, Yusuke Kumano Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market
/Algorithmic trading; Monetary policy; High frequency data, Foreign exchange market; News trading; Market microstructure; Web access record
2018-08-22 699KB
2018-E-12/Economics Parantap Basu, Kenji Wada Unconventional Monetary Policy and the Bond Market in Japan: A New-Keynesian Perspective
/QE; QQE; Excess Reserve; Overnight Borrowing Rate; IOER; Yield Curve Control
2018-08-15 755KB
2018-E-11/Economics Shigenori Shiratsuka Central Banking in a Changing World
Summary of the 2018 BOJ-IMES Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan
2018-08-08 374KB
2018-E-10/Economics Athanasios Orphanides The Boundaries of Central Bank Independence: Lessons from Unconventional Times
/Bank of Japan; Zero lower bound; Quantitative easing; Central bank independence; Price stability; Inflation target; Balance sheet risk
2018-08-08 369KB
2018-E-9/Economics Raghuram G. Rajan Whither Bank Regulation: Current Debates and Challenges 2018-08-08 471KB
2018-E-8/Economics Yuto Iwasaki, Ichiro Muto, Mototsugu Shintani Missing Wage Inflation? Estimating the Natural Rate of Unemployment in a Nonlinear DSGE Model
/downward wage rigidity; natural rate of unemployment; Phillips curve; particle filter
2018-07-20 2,675KB
2018-E-7/Economics Klaus Adam, Henning Weber Optimal Trend Inflation
/optimal inflation rate; sticky prices; firm heterogeneity
2018-07-12 675KB
2018-E-6/Economics Taisuke Nakata, Sebastian Schmidt, Paul Yoo Speed Limit Policy and Liquidity Traps
/Liquidity Traps; Markov-Perfect Equilibrium; Speed Limit Policy; Zero Lower Bound
2018-06-15 560KB
2018-E-5/Economics Hibiki Ichiue, Yoichi Ueno A Survey-based Shadow Rate and Unconventional Monetary Policy Effects
/Monetary Policy; Effective Lower Bound; Zero Lower Bound; Shadow Rate; Survey Forecasts
2018-06-11 1,108KB
2018-E-4/Economics Kenji Suganuma, Yoichi Ueno The Effects of the Bank of Japan's Corporate and Government Bond Purchases on Credit Spreads
/Credit spreads; Default risk channel; Local supply channel; Global supply channel; Risk taking channel; Monetary policy
2018-06-04 1,901KB
2018-E-3/Finance Masayuki Kazato, Tetsuya Yamada The Implied Bail-in Probability in the Contingent Convertible Securities Market
/Market-implied bail-in probability; Contingent convertible securities; Basel III; Financial stability
2018-05-25 667KB
2018-E-2/Finance Koichiro Kamada, Tetsuo Kurosaki, Ko Miura, Tetsuya Yamada Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data
/Central bank announcements; Government bond futures; Herding behavior; Information efficiency; Market microstructure
2018-03-30 1,223KB
2018-E-1/Economics Marlene Amstad, Frank Packer, Jimmy Shek Does Sovereign Risk in Local and Foreign Currency Differ?
/Sovereign risk; local currency debt; foreign currency debt; credit ratings
2018-03-23 735KB