Welcome
to Tomoyoshi Yabu’s Website
Contact
Information
Faculty
of Business and Commerce, Keio University
Tokyo
108-0073, Japan
Fields of
Interest
International
Finance, Time Series Econometrics
Education
Ph.D. in
Economics, Boston University, 2006.
M.A. in
Economics, Hitotsubashi University, Japan, 1999.
B.A. in
Economics, Hosei University, Japan, 1997.
Employment
Keio University
Professor, Faculty of Business and
Commerce, April 2017-Present
Associate Professor, Faculty of Business
and Commerce, April 2010-March 2017
Assistant Professor, Faculty of Business
and Commerce, April 2009-March 2010
University of Tsukuba
Assistant Professor, Graduate School of
Systems & Information Engineering, July 2007-March 2009
Bank of Japan
Economist, Institute for Monetary and
Economic Studies, September 2005-June 2007
Referee
Econometrics
Reviews, Econometrics Journal, Econometric Theory, Economics Bulletin, Emerging
Markets Finance and Trade, International Journal of Central Banking, Japan and
World Economy, Japanese Economic Review, Journal of Applied Econometrics,
Journal of Econometrics, Journal of International Money and Finance, Journal of
Money, Credit and Banking, Journal of the Japanese and International Economies,
Journal of the Royal Statistical Society, Oxford Bulletin of Economics and
Statistics, PLOS ONE, Monetary and Economic Studies, Review of Economics and
Statistics, Singapore Economic Review, Southern Economic Journal
Published
Papers
1. “Have the constraints on PPP relaxed over
time? Some evidence from Japan” Economics
Letters, 84, 205-210, 2004.
2. “What
prompts Japan to intervene in the Forex market: A new approach to a reaction
function” (with T. Ito) Journal of International Money and Finance
26, 193-212, 2007. Download
Data.
3. “Estimating
deterministic trends with an integrated or stationary noise component”
(with P. Perron) Journal of
Econometrics 151, 56-69, 2009. Download the GAUSS code. The
Matlab code, developed by Lola Gadea, is available here.
4. “Testing for
shifts in trend with an integrated or stationary noise component” (with P.
Perron), Journal of Business and Economic Statistics 27, 369-396, 2009. Download the GAUSS code.
The Matlab code, developed by Lola Gadea, is available here.
5. “Fiscal
policy switching: Evidence from Japan, the U.S., and the U.K.” (with A. Ito
and T. Watanabe) Journal of the
Japanese and International Economies 25,
380-413, 2011. Download Data.
6. "Estimating
fiscal multipliers using institutional information" (with T. Watanabe
and A. Ito) T. Ihori, ed., Fiscal Policy
and Social Insurance. Economic and Social Research Institute, Cabinet
Office, Government of Japan, 143-177, 2010 (in Japanese). Download Data.
7. “Spurious
regressions in technical trading” (with M. Shintani and D. Nagakura) Journal of Econometrics 169, 301-309, 2012.
8. “Testing
for trend in the presence of autoregressive error: A comment”
(with P. Perron) Journal of the
American Statistical Association 107, 844,
2012.
9. “A
new method for identifying the effects of foreign exchange interventions”
(with C. Chen and T. Watanabe) Journal
of Money, Credit and Banking 44,
1507-1533, 2012.
10. “Exchange rate
pass-through and inflation: A nonlinear time series analysis” (with
M. Shintani and A. Terada-Hagiwara) Journal
of International Money and Finance 32,
512-527, 2013. Download Data and
Replication Files (the RATS code).
11. “The Great Intervention
and Massive Money Injection: The Japanese Experience 2003-2004” (with T.
Watanabe) Journal of
International Money and Finance 32, 428-443, 2013.
12. “Testing for
Flexible Nonlinear Trends with an Integrated or Stationary Noise Component”
(with P. Perron and M. Shintani) Oxford
Bulletin of Economics and Statistics 79(5),
822-850, 2017. Download Data and
Replication Files (the GAUSS and Matlab code).
13. “Forex Intervention and
Foreign Reserves: Long-term Estimate of Profits/losses from Interventions”
(with T. Ito), JCER Economic Journal,
98-127, 2017. (in Japanese).
14. “Japanese
Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using
the Best Proxy” (with T. Ito), Journal of the Japanese and International
Economies 58, Article 101106, 2020.
15. “Japan’s
Volantary Lockdown” (with
T. Watanabe) PLoS ONE 16(6): e0252468, 2021. Japanese
version. Download
Data.
16. “Japan's Voluntary Lockdown: Further Evidence Based on
Age-Specific Mobile Location Data” (with T. Watanabe) Japanese
Economic Review 72(3), 333-370, 2021. Download Data.
17. “The Demand for Money at the Zero
Interest Rate Bound” (with T. Watanabe), Journal
of Applied Econometrics 38(6), 968-976, 2023.
Working
papers
18. “How
large is the demand for Money at the ZLB? Evidence from Japan,” (with T.
Watanabe).
19. “Trigonometric
Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise,” (with
P. Perron and M. Shintani).
20. “Great
earthquakes, exchange rate volatility and government interventions,” (with
M. Hatase and M. Shintani).
Data
Japanese monthly
intervention data from August 1971 to March 2018 are available here.
The data from August 1971 to March 1991 are estimated. See Ito and Yabu (2017,
JCER) and Ito and
Yabu (2020, NBER) for estimation details. If you use this data set, please
cite these papers.
Japanese
daily intervention data from April 1, 1991 to March 31, 2004 are available here. If you use this data set, please cite Ito
and Yabu (2007).