Japanese

Welcome to Tomoyoshi Yabu’s Home Page

Contact Information

Faculty of Business and Commerce, Keio University

Tokyo 108-0073, Japan

Tel: +81-3-5418-6591

Email: tomoyoshi.yabu@gmail.com

Fields of Interest

International Finance, Time Series Econometrics

Doctoral Studies

Ph.D., Economics, Boston University:

Dissertation: “Essays on Theoretical and Empirical Aspects of Structural Break Models”

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

Assistant Professor, Faculty of Business and Commerce, April 2009-Present

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

Econometric Theory, Japan and World Economy, Journal of Econometrics, Journal of International Money and Finance, Journal of the Japanese and International Economies, Journal of Money, Credit, and Banking, Monetary and Economic Studies, Southern Economic Journal

Publications

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

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

3. “Estimating deterministic trends with an integrated or stationary noise component,” (with Pierre Perron), Journal of Econometrics, Vol. 151, July 2009: 56-69. Download Data and Replication Files (.zip).

4. “Testing for shifts in trend with an integrated or stationary noise component,” (with Pierre Perron), Journal of Business and Economic Statistics, Vol. 27, 2009, pp. 369-396. Download Data and Replication Files (.zip).

5. “Fiscal policy switching: Evidence from Japan, the U.S., and the U.K.,” (with Arata Ito and Tsutomu Watanabe), January 2007

6. “Spurious regressions in technical trading: Momentum or Contrarian,” (with Mototsugu Shintani and Daisuke Nagakura), June 2008

7. “A new method for identifying the effects of foreign exchange interventions,” (with Chih-nan Chen and Tsutomu Watanabe), February 2009

8. “Exchange rate pass-through and inflation: A nonlinear time series analysis,” (with Mototsugu Shintani, Akiko Terada-Hagiwara), December 2009.