Jouchi Nakajima

| profile | paper | program |

  Publications
[1] Imakubo, K., H. Kojima, and J. Nakajima (2017). "The natural yield curve: Its concept and measurement" Empirical Economics, in press.

[2] 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, in press.

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

[4] 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.

[5] 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.

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

[7] 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.

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

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

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

[11] 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.

[12] 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.

[13] 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.

[14] 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.

[15] 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.

[16] 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.

[17] 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.

[18] 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.

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

[20] 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.

[21] 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] Fueki, T., H. Higashi, N. Higashio, J. Nakajima, S. Ohyama, and Y. Tamanyu (2016). "Identifying oil price shocks and their consequences: Role of expectations and financial factors in the crude oil market" Working Paper Series No.16-E-17, Bank of Japan.

[2] 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.

[3] Kaihatsu, S. and J. Nakajima (2015). "Has trend inflation shifted?: An empirical analysis with a regime-switching model" Working Paper Series No.15-E-3, Bank of Japan.

[4] 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.

[5] 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.

[6] Nakajima, J., N. Sudo, and T. Tsuruga (2010). "How well do the sticky price models explain the disaggregated price responses to aggregate technology and monetary policy shocks?" IMES Discussion Papers, 2010-E-22, Bank of Japan.

[7] Nakajima, J., S. Shiratsuka, and Y. Teranishi (2010). "The effects of monetary policy commitment: evidence from time-varying parameter VAR analysis" IMES Discussion Papers, 2010-E-6, Bank of Japan.

[8] Nakajima, J. and Y. Teranishi (2009). "The evolution of loan rate stickiness across the Euro area" IMES Discussion Papers, 2009-E-10, Bank of Japan.

  Other Articles
[1] 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.

[2] 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).

  Ph.D. Thesis
Nakajima, J. (2012). "Bayesian Analysis of Latent Threshold Models" Ph.D. Thesis, Duke University.