Research Papers

Interaction-based Aggregate Fluctuations

  • Repricing Avalanches, NBER Working Paper 28654, 2021 (with José A. Scheinkman)

  • Supply Chain Disruptions: Evidence from the Great East Japan Earthquake, Quarterly Journal of Economics, 136(2):1255-1321, 2021 (with Vasco M. Carvalho, Yukiko U. Saito, and Alireza Tahbaz-Salehi).

  • JEA presentation slides, "Interaction Origins of Aggregate Fluctuations," June 24, 2017

  • An Empirical Study of Interaction-based Aggregate Investment Fluctuations, Japanese Economic Review, 68(2):137-157, 2017 (with Luigi Guiso and Chaoqun Lai).

  • An Interaction-based Foundation of Aggregate Investment Fluctuations, Theoretical Economics, 10:953-985, 2015.

  • Closely Competing Firms and Price Adjustment: Some Findings from an Online Marketplace, Scandinavian Journal of Economics, 112(4):673-696, 2010 (with Takayuki Mizuno and Tsutomu Watanabe).

  • Threshold Behavior and Aggregate Fluctuation, Journal of Economic Theory, 127:309-322, 2006.

    • Santa Fe Institute Working Paper, 03-09-049, 2003.

  • Sectoral Propagation and Indivisible Input, Ph.D. thesis, University of Chicago, 2002.

    • "The sectoral model has explained sectoral comovements well but it has not provided a clear mechanism for generating aggregate fluctuations. The intuition behind the failure to create strong propagation is summarized in the law of large numbers: as the number of sectors N goes up, the variance of the aggregate shrinks linearly in N. Dupor [1999] explicitly showed that the variance of sectoral shocks must increase proportionally to the number of sectors aggregated in the Long-Plosser model [...] In this paper, we investigate the conditions for a strong amplification effect of a sectoral shock to take place in a multisectoral model where some inputs exhibit indivisibility."

  • (S,s) Inventory Dynamics and Self-Organized Criticality, Ricerche Economiche, 54:375-383, 2000.

  • Critical Fluctuations in a Random Network Model, Physica A, 269:16-23, 1999.

Financial Fluctuations

  • Trade Clustering and Power Laws in Financial Markets, Theoretical Economics, 15:1365-1398, 2020 (with John Stachurski and Tsutomu Watanabe).

    • Beauty Contests and Fat Tails in Financial Markets, SSRN Working Paper 2362341, 2015 (with Koichiro Takaoka and Tsutomu Watanabe).

    • Herd Behavior and Fat Tails in Financial Markets, SSRN Working Paper 890310, 2006

  • Bank Capital Shock Propagation via Syndicated Interconnectedness, Computational Economics, 47(1):67-96, 2016 (with Julián Caballero and Vladislav Sushko).

  • Stochastic Herding in Financial Markets: Evidence from Institutional Investor Equity Portfolios, BIS Working Papers, No. 371, Bank for International Settlements, 2012 (with Theodoros Stamatiou and Vladyslav Sushko).

  • Jumps in Foreign Exchange Rates and Stochastic Unwinding of Carry Trades, International Review of Economics and Finance, 20(1):110-127, 2011 (with Vladyslav Sushko).

  • Self-Organized Criticality in a Herd Behavior Model of Financial Markets, Journal of Economic Interaction and Coordination, 3: 89-97, 2008.

Income and Wealth Distributions

  • Zipf's Law, Pareto's Law, and the Evolution of Top Incomes in the United States, American Economic Journal: Macroeconomics, 9(3):36-71, 2017 (with Shuhei Aoki).

    • Investment Risk, Pareto Distribution, and the Effects of Tax, RIETI Discussion Paper Series, 11-E-015, Research Institute of Economy, Trade and Industry, 2011.

  • Pareto Distribution of Income in Neoclassical Growth Models, Review of Economic Dynamics, 20:25-42, 2016 (with Shuhei Aoki).

    • IIR Working Paper, 09-05, Hitotsubashi University, 2009.

  • A Two Factor Model of Income Distribution Dynamics, Review of Income and Wealth, 53(3):440-459, 2007 (with Wataru Souma).

    • Santa Fe Institute Working Paper, 04-10-029, 2004.

    • "Our model of personal income consists of an asset accumulation process and a wage process. The asset accumulation process is multiplicative due to the stationary random asset returns. The wage process is assumed additive, reflecting the productivity heterogeneity. We show that this simple process can successfully reproduce the empirical distribution of income." [...] "In our model, the asset income is broadly associated with any income that is derived from accumulable factor. An important example is human capital. Another example is the salary of CEO which should correlate strongly with the capital size and capital growth rate."

  • Income Distribution and Stochastic Multiplicative Process with Reset Events, in The Complex Dynamics of Economic Interaction, Springer, 2003 (with Wataru Souma).

Heterogeneous Agent Macroeconomics