Working Papers
The Trend Effect of Foreign Exchange Intervention, August 2023, (with Rasmus Fatum and Binwei Chen).
mbreaks: R Package for Estimating and Testing Multiple Structural Changes in Linear Regression Models, January 2023, (with Linh Nguyen and Pierre Perron). * The CRAN site is here. The original program was developed by Pierre Perron in GAUSS language.
The Efficiency of the Government's Budget Projections, September 2022, (with Natsuki Arai and Nobuo Iizuka), HIAS Discussion Paper E-122.
Asymptotic Inference for Common Factor Models in the Presence of Jumps, October 2015; revised February 2018.
Published and Forthcoming Articles
Identifying Common and Idiosyncratic Explosive Behaviors in the Large Dimensional Factor Model with an Application to U.S. State-Level House Prices, (with Tetsushi Horie), February 2023+, forthcoming in Journal of Econometric Methods.
Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields, (with Rasmus Fatum and Naoko Hara), January 2023+, forthcoming in Journal of Money, Credit and Banking.
On the Persistence of Near Surface Temperature Dynamics in a Warming World, (with Francisco Estrada and Pierre Perron), Annals of the New York Academy of Sciences, 1531(1), pp 69-83, 2024. (Supplementary Material).
Reserves and Risk: Evidence from China, (with Rasmus Fatum and Takahiro Hattori), Journal of International Money and Finance, 134, 102844, 2023.
A Cross-Sectional Method for Right-Tailed PANIC Tests under a Moderately Local to Unity Framework, (with Tetsushi Horie), Econometric Theory, 39(2), 389-411, 2023. (Supplementary Material).
Anthropogenic Influence on Extremes and Risk Hotspots, (with Francisco Estrada and Pierre Perron), Scientific Reports, 13-35, 2023 . (Supplementary Material: i) Methodology, ii) Animated Figures).
Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances, (with Naoko Hara), Journal of Applied Econometrics, 37(4), 722-745, 2022. (Supplementary Material).
Structural Change Tests under Heteroskedasticity: Joint Estimation versus Two-Steps Methods, (with Pierre Perron), Journal of Time Series Analysis, 43(3), 389-411, 2022. (Supplementary Material).
The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence, (with Pierre Perron), Empirical Economics, 62(3), 1193-1218, 2022.
Testing for Changes in Forecasting Performance, (with Pierre Perron), Journal of Business and Economic Statistics, 39(1), 148-165, 2021. (Supplementary Material).
Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model, (with Pierre Perron and Jing Zhou), Quantitative Economics, 11(3), 1019-1057, 2020. (Supplementary Material) (MATLAB program).
Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model, (with Pierre Perron), Econometrics, 7(2), 22, 2019. (Supplementary Material).
The Exchange Rate Effects of Macro News after the Global Financial Crisis, (with Yin-Wong Cheung and Rasmus Fatum), Journal of International Money and Finance, 95, 424-443, 2019.
Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions, Journal of Applied Econometrics, 34(2), 247-267, 2019. (Supplementary Material).
A Modified Confidence Set for the Structural Break Date in Linear Regression Models, Econometric Reviews, 37(9), 974-999, 2018.
Is the Renminbi a Safe Haven?, (with Rasmus Fatum and Guozhong Zhu), Journal of International Money and Finance, 79, 189-202, 2017.
Intra-Safe Haven Currency Behavior During the Global Financial Crisis, (with Rasmus Fatum), Journal of International Money and Finance, 66, 49-64, 2016 (special issue: The New Normal in the Post-Crisis Era).
On the Usefulness or Lack Thereof of Optimality Criteria in Structural Change Tests, (with Pierre Perron), Econometric Reviews, 35(5), 782-844, 2016.
Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series, Journal of Business and Economic Statistics, 34(1), 81-106, 2016.
Confidence Sets for the Break Date Based on Optimal Tests, (with Eiji Kurozumi), The Econometrics Journal, 18(3), 412-435, 2015.
Testing for Factor Loading Structural Change under Common Breaks, (with Shinya Tanaka), Journal of Econometrics, 189(1), 187-206, 2015. (Online Appendix)
Using OLS to Estimate and Test for Multiple Structural Changes in Models with Endogenous Regressors, (with Pierre Perron), Journal of Applied Econometrics, 30(1), 119-144, 2015.
On Structural Change and Forecasting Performance Stability of Japanese Phillips Curve Models (in Japanese), Journal of the Japan Statistical Society, Series J 44(1), 75-95, 2014.
Large Versus Small Foreign Exchange Interventions, (with Rasmus Fatum), Journal of Banking and Finance, 43, 114-123, 2014.
A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS, (with Pierre Perron), Econometric Theory, 30(2), 491-507, 2014.
Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions, (with Pierre Perron), The Econometrics Journal, 16(3), 400-429, 2013.
My research activities are currently supported by MEXT Grants-in-Aid for Scientific Research (Kakenhi).