Japanese

 

Welcome to Tomoyoshi Yabufs Home Page

 

Contact Information

Faculty of Business and Commerce, Keio University

Tokyo 108-0073, Japan

tyabu@fbc.keio.ac.jp

 

Fields of Interest

International Finance, Time Series Econometrics

 

Doctoral Studies

Ph.D., Economics, Boston University:

Dissertation: gEssays on Theoretical and Empirical Aspects of Structural Break Modelsh

Committee Chair: Professor Pierre Perron

Date of Completion: January 2006

 

Pre-Doctoral Studies

M.A., Economics, Hitotsubashi University, Japan, 1999

B.A., 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, 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 or Submitted Papers

1.       gHave the constraints on PPP relaxed over time? Some evidence from Japan,h Economics Letters, Vol. 84, April 2004, 205-210

 

2.       gWhat prompts Japan to intervene in the Forex market: A new approach to a reaction function,h (with Takatoshi Ito), Journal of International Money and Finance, Vol. 26, March 2007, Pages 193-212. Download Data.

 

3.       gEstimating deterministic trends with an integrated or stationary noise component,h (with Pierre Perron), Journal of Econometrics, Vol. 151, July 2009, Pages 56-69. Download Data and Replication Files (GAUSS Codes).

 

4.       gTesting for shifts in trend with an integrated or stationary noise component,h (with Pierre Perron), Journal of Business and Economic Statistics, Vol. 27, 2009, Pages 369-396. Download Data and Replication Files (GAUSS Codes).

 

5.       gFiscal policy switching: Evidence from Japan, the U.S., and the U.K.,h (with Arata Ito and Tsutomu Watanabe), Journal of the Japanese and International Economies, Vol. 25, December 2011, Pages 380-413. Download Data.

 

6.       "Estimating fiscal multipliers using institutional information," (with Tsutomu Watanabe and Arata Ito), T. Ihori, ed., Fiscal Policy and Social Insurance. Economic and Social Research Institute, Cabinet Office, Government of Japan, 2010, Pages 143-177 (in Japanese). Download Data.

 

7.       gSpurious regressions in technical trading,h (with Mototsugu Shintani and Daisuke Nagakura), Journal of Econometrics, Vol. 169, August 2012, Pages 301-309.

 

8.       gTesting for trend in the presence of autoregressive error: A comment,h (with Pierre Perron), Journal of the American Statistical Association, Vol. 107, July 2012, Pages 844.

 

9.       gA new method for identifying the effects of foreign exchange interventions,h (with Chih-nan Chen and Tsutomu Watanabe), Journal of Money, Credit and Banking, Vol. 44, December 2012, Pages 1507-1533.

 

10.    gExchange rate pass-through and inflation: A nonlinear time series analysis,h (with Mototsugu Shintani and Akiko Terada-Hagiwara), Journal of International Money and Finance, Vol. 32, February 2013, Pages 512-527. Download Data and Replication Files (RATS codes).

 

11.    gThe Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004,h (with Tsutomu Watanabe), Journal of International Money and Finance, Vol. 32, February 2013, Pages 428-443.

 

12.    gTesting for Flexible Nonlinear Trends with an Integrated or Stationary Noise Componenth (with Pierre Perron and Mototsugu Shintani), forthcoming in Oxford Bulletin of Economics and Statistics. Download Data and Replication Files (GAUSS codes).

 

13.    gGreat earthquakes, exchange rate volatility and government interventions,h (with Mariko Hatase and Mototsugu Shintani), 2013.

 

 

Work in Progress

 gJapanese Foreign Exchange Interventions, 1971-1991: Estimating a Reaction Function Using the Best Proxy,h (with Takatoshi Ito), 2016. Download Data

 

gJapanese Foreign Reserves as a passive Carry-Trade Fund: A Long-term Estimate of Profits/Losses from Japanese Forex Interventions,h (with Takatoshi Ito), 2016.