Japanese

 

Welcome to Tomoyoshi Yabufs Website     

 

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

 

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.       gHave the constraints on PPP relaxed over time? Some evidence from Japanh Economics Letters, 84, 205-210, 2004.

 

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

 

3.       gEstimating deterministic trends with an integrated or stationary noise componenth (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.       gTesting for shifts in trend with an integrated or stationary noise componenth (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.       gFiscal policy switching: Evidence from Japan, the U.S., and the U.K.h (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.       gSpurious regressions in technical tradingh (with M. Shintani and D. Nagakura) Journal of Econometrics 169, 301-309, 2012.

 

8.       gTesting for trend in the presence of autoregressive error: A commenth (with P. Perron) Journal of the American Statistical Association 107, 844, 2012.

 

9.       gA new method for identifying the effects of foreign exchange interventionsh (with C. Chen and T. Watanabe) Journal of Money, Credit and Banking 44, 1507-1533, 2012.

 

10.    gExchange rate pass-through and inflation: A nonlinear time series analysish (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.    gThe Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004h (with T. Watanabe) Journal of International Money and Finance 32, 428-443, 2013.

 

12.    gTesting for Flexible Nonlinear Trends with an Integrated or Stationary Noise Componenth (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.    gForex Intervention and Foreign Reserves: Long-term Estimate of Profits/losses from Interventionsh (with T. Ito), JCER Economic Journal, 98-127, 2017. (in Japanese).

 

14.    gJapanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxyh (with T. Ito), Journal of the Japanese and International Economies 58, Article 101106, 2020.

 

15.    gJapanfs Volantary Lockdownh (with T. Watanabe) PLoS ONE 16(6): e0252468, 2021. Japanese version. Download Data.

 

16.    gJapan's Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Datah (with T. Watanabe) Japanese Economic Review 72(3), 333-370, 2021. Download Data.

 

17.    gThe Demand for Money at the Zero Interest Rate Boundh (with T. Watanabe), Journal of Applied Econometrics, forthcoming.

 

 

Working papers

18.    gHow large is the demand for Money at the ZLB? Evidence from Japan,h (with T. Watanabe).

 

19.    gTrigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise,h (with P. Perron and M. Shintani).

 

20.    gGreat earthquakes, exchange rate volatility and government interventions,h (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).