Publications

[1] Nakajima, J. (2024). "The impact of macroeconomic uncertainty on the relationship between financial volatility and real economic activity" Applied Economics, in press. Data are available.

[2] Kawamoto, T., J. Nakajima, and T. Mikami (2024). "Inflation-overshooting commitment: An analysis using a macroeconomic model" Oxford Economic Papers, in press.

[3] Aoki, K., J. Nakajima, M. Takahashi, T. Yagi, and K. Yamada (2023). "Energy efficiency in Japan: Developments in the business and household sectors" Monetary and Economic Studies, 41, 81-110.

[4] Harrison, M., J. Nakajima, and M. Shabani (2023). "An evolution of global and regional banking networks: A focus on Japanese banks' international expansion" Journal of International Financial Markets, Institutions & Money, 83, 101717.

[5] Kawamoto, T., T. Nakazawa, Y. Kisyaba, K. Matsumura, and J. Nakajima (2023). "Estimating the macroeconomic effects of Japan's expansionary monetary policy under Quantitative and Qualitative Monetary Easing during 2013-2020" Economic Analysis and Policy, 78, 208-224.

[6] Kohlscheen, E. and J. Nakajima (2021). "Steady-state growth" International Finance, 24, 40-52.

[7] Fueki, T., J. Nakajima, S. Ohyama, and Y. Tamanyu (2021). "Identifying oil price shocks and their consequences: the role of expectations in the crude oil market" International Finance, 24, 53-76.

[8] McAlinn, K., K. A. Aastveit, J. Nakajima, and M. West (2020). "Multivariate Bayesian predictive synthesis in macroeconomic forecasting" Journal of the American Statistical Association, 115, 1092-1110.

[9] Nakajima, J. (2020). "Skew selection for factor stochastic volatility models" Journal of Applied Statistics, 47, 582-601.

[10] Nakajima, J. (2020). "The role of household debt heterogeneity on consumption: Evidence from Japanese household data" Economic Analysis and Policy, 65, 186-197.

[11] Imakubo, K., H. Kojima, and J. Nakajima (2018). "The natural yield curve: Its concept and measurement" Empirical Economics, 55, 551-572.

[12] Kaihatsu, S., and J. Nakajima (2018). "Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model" Economic Analysis and Policy, 59, 69-83.

[13] Fukuda, S., M. Kasuya, and J. Nakajima (2018). "The role of corporate governance in Japanese unlisted companies" Japan and the World Economy, 47, 27-39.

[14] Nakajima, J. (2017). "Bayesian analysis of multivariate stochastic volatility with skew distribution" Econometric Reviews, 36, 546-562.

[15] Nakajima, J. and M. West (2017). "Dynamics and sparsity in latent threshold factor models: A study in multivariate EEG signal processing" Brazilian Journal of Probability and Statistics, 31, 701-731.

[16] Nakajima, J., T. Kunihama, and Y. Omori (2017). "Bayesian modeling of dynamic extreme values: Extension of generalized extreme value distributions with latent stochastic processes" Journal of Applied Statistics, 44, 1248-1268.

[17] Kimura, T. and J. Nakajima (2016). "Identifying conventional and unconventional monetary policy shocks: A latent threshold approach" The B.E. Journal of Macroeconomics, 16, 277-300.

[18] Nakajima, J. and M. West (2015). "Dynamic network signal processing using latent threshold models" Digital Signal Processing, 47, 5-16.

[19] Zhou, X., J. Nakajima, and M. West (2014). "Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models" International Journal of Forecasting, 30, 963-980.

[20] Kamada, K. and J. Nakajima (2014). "On the reliability of Japanese inflation expectations using purchasing power parity" Economic Analysis and Policy, 44, 259-265.

[21] Nakajima, J. and M. West (2013). "Dynamic factor volatility modeling: A Bayesian latent threshold approach" Journal of Financial Econometrics, 11, 116-153.

[22] Nakajima, J. and M. West (2013). "Bayesian analysis of latent threshold dynamic models" Journal of Business and Economic Statistics, 31, 151-164.

[23] Nakajima, J. (2013). "Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns" Studies in Nonlinear Dynamics and Econometrics, 17, 499-520.

[24] Nakajima, J. and Y. Omori (2012). "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution" Computational Statistics and Data Analysis, 56, 3690-3704.

[25] Nakajima, J., T. Kunihama, Y. Omori, and S. Frühwirth-Schnatter (2012). "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form" Computational Statistics and Data Analysis, 56, 3241-3259.

[26] Miura, S., H. Kida, J. Nakajima, K. Noda, K. Nagasato, M. Ayabe, H. Aizawa, M. Hauser, and T. Taniwaki (2012). "Anhedonia in Japanese patients with Parkinson's disease: analysis using the Snaith-Hamilton Pleasure Scale" Clinical Neurology and Neurosurgery, 114, 352-355.

[27] Nakajima, J. (2012). "Bayesian analysis of generalized autoregressive conditional heteroskedasticity and stochastic volatility: modeling leverage, jumps and heavy-tails for financial time series" Japanese Economic Review, 63, 81-103.

[28] Nakajima, J. (2011). "Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications" Monetary and Economic Studies, 29, 107-142.  Source codes are available.

[29] Nakajima, J. (2011). "Monetary policy transmission under zero interest rates: An extended time-varying parameter vector autoregression approach" The B.E. Journal of Macroeconomics, 11, Issue 1 (Topics), Article 32.

[30] Nakajima, J., M. Kasuya, and T. Watanabe (2011). "Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy" Journal of the Japanese and International Economies, 25, 225-245.

[31] Nakajima, J. and Y. Omori (2009). "Leverage, heavy-tails and correlated jumps in stochastic volatility models" Computational Statistics and Data Analysis, 53, 2335-2353.

[32] Omori, Y., S. Chib, N. Shephard, and J. Nakajima (2007). "Stochastic volatility with leverage: Fast likelihood inference" Journal of Econometrics, 140, 425-449. Source codes are available.

[33] Fukuda, S., M. Kasuya, and J. Nakajima (2006). "Deteriorating bank health and lending in Japan: Evidence from unlisted companies undergoing financial distress" Journal of the Asia Pacific Economy, 11, 482-501.

Working Papers

[1] Nakajima, J., N. Sudo, Y. Hogen, and Y. Takizuka (2023). "On the estimation of the natural yield curve" Discussion Paper Series A.753, Institute of Economic Research, Hitotsubashi University.

[2] Nakajima, J. (2023). "Estimating trend inflation in a regime-switching Phillips curve" Discussion Paper Series A.750, Institute of Economic Research, Hitotsubashi University. Data are available.

[3] Nakajima, J. (2023). "Estimation of firms’ inflation expectations using the survey DI" Discussion Paper Series A.749, Institute of Economic Research, Hitotsubashi University. Data are available.

[4] Hattori, M., R. Fujitani, J. Nakajima, and Y. Yasuda (2023). "Real effects of corporate cash holdings: Evidence from Japan" RIETI Discussion Paper Series 23-E-084, Research Institute of Economy, Trade and Industry.

[5] Sasaki, T., H. Yamamoto, and Nakajima, J. (2023). "Nonlinear input cost pass-through to consumer prices: A threshold approach" Working Paper Series No.23-E-9, Bank of Japan.

[6] Watanabe, T. and Nakajima, J. (2023). "High-frequency realized stochastic volatility model" Discussion Paper Series HIAS-E-127, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.

[7] Yamada, K., Y. Minoura, J. Nakajima, and T. Yagi (2023). "Corporate finance facility and resource allocation: Research trends and developments during the spread of COVID-19" Working Paper Series No.23-E-1, Bank of Japan.

[8] Nakajima, J., M. Takahashi, and T. Yagi (2022). "An assessment of online consumption trends in Japan during the COVID-19 pandemic" Working Paper Series No.22-E-11, Bank of Japan.

[9] Yagi, T., K. Furukawa, and J. Nakajima (2022). "Productivity trends in Japan:  Reviewing recent facts and the prospects for the post-COVID-19 era" Working Paper Series No.22-E-10, Bank of Japan.

[10] Nakajima, J., H. Yamagata, T. Okuda, S. Katsuki, and T. Shinohara (2021). "Extracting firms' short-term inflation expectations from the Economy Watchers Survey using text analysis" Working Paper Series No.21-E-12, Bank of Japan.

[11] Shinohara, T., T. Okuda, and J. Nakajima (2020). "Characteristics of uncertainty indices in the macroeconomy" Working Paper Series No.20-E-6, Bank of Japan. Data are available.

[12] Filardo, A. and J. Nakajima (2018). "Effectiveness of unconventional monetary policies in a low interest rate environment" BIS Working Papers No.691.

[13] Kamada, K., J. Nakajima, and S. Nishiguchi (2015). "Are household inflation expectations anchored in Japan?" Working Paper Series No.15-E-8, Bank of Japan.

[14] Imakubo, K. and J. Nakajima (2015). "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model" Working Paper Series No.15-E-1, Bank of Japan.

[15] Nakajima, J. and T. Watanabe (2011). "Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy" Global COE Hi-Stat Discussion Paper Series 196, Hitotsubashi University.

Other Articles

[1] Jinnai, R., T. Mikami, T. Okuda, and J. Nakajima (2021). "Household inflation expectation and consumption: Evidence from Japan" Keizai Kenkyu, 72, 268-295.

[2] Nakajima, J. (2020). "Discussion of 'Bayesian forecasting of multivariate time series: Scalability, structure uncertainty, and decisions'" Annals of the Institute of Statistical Mathematics, 72, 33-36.

[3] Nakajima, J., K. Takatomi, T. Mori, and S. Ohyama (2016). "Slow trade: Structural and cyclical factors in global trade slowdown" Bank of Japan Research Papers 2016.

[4] Nishiguchi, S., J. Nakajima, and K. Imakubo (2014). "Disagreement in households' inflation expectations and its evolution" Bank of Japan Review, No.14-E-1 (Short version published at VOX).