Research

Publications

8:“Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?”  with Tetsuo Kurosaki, 2023,Research in International Business and Finance. [link]

7:“Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?”  with Tetsuo Kurosaki, 2022, Quantitative Finance. [link]

6:“How has the relationship between safe haven assets and the US stock market changed after the global financial crisis?” 2021, Journal of International Financial Markets, Institutions and Money. [link]

5:“How has the relationship between oil and the US stock market changed after the Covid-19 crisis? ” with Tetsuo Kurosaki, 2020, Finance Research Letters. [link]

4:“A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets” with Tetsuo Kurosaki, 2020, Journal of Economic Interaction and Coordination. [link]

3:"Rehypothecation Dilemma: Impact of Collateral Rehypothecation on Derivative Prices Under Bilateral Counterparty Credit Risk," with Yoshihiko Uchida, 2014, Journal of Banking and Finance. [link] 

2:“When and how US dollar shortages evolved into a full crisis: Evidence from the cross-currency swap market,” with Naohiko Baba, 2011, Journal of Banking and Finance. [link] 

1:“Predicting regime switches in the VIX index with macroeconomic variables,” with Naohiko Baba, 2011, Applied Economics Letters. [link]

Working Papers

“Can burning cash predict increased equity volatility during the Covid-19 crisis?" 2020, Working paper. 

“Structural credit risk model with rollover risk under a pandemic," 2020, Working paper.

“Pricing catastrophe-contingent residential mortgages," 2019, Working paper.

“Bond portfolio optimization with aversion to black-box machine learning models: neural network as an example," 2020, Working paper, co-authored with Keiichi Goshima  

“Robust stress scenario design in the presence of shadow banking," 2019, Working paper.

“The use of the Black model of interest rates as options for monitoring the JGB market expectations,” with Youichi Ueno and Naohiko Baba, 2006, Bank of Japan working paper. [link]

“Customer suitability risk in structured products: A text-based analysis of Japanese ADR cases of FX derivatives," 2015, Working paper. [Under revision] 

“A welfare analysis of cross-border OTC swap market fragmentation and introducing a central limit order book," 2015, Working paper. [Under revision] 

"How does the bond market perceive macroeconomic risks under zero lower bound?,” 2015, Job market paper.  [Under revision] 

Book Chapter

“Foreign exchange forwards, futures and swaps,” in Handbook of Exchange Rates, Edited by Jessica James, Ian Marsh, and Lucio Sarno, John Wiley and Sons, 2012. Coauthor: Naohiko Baba and Franck Packer. [link]