Current working papers
3. Markus Heckel, Tomoo Inoue, Kiyohiko Nishimura, and Tatsuyoshi Okimoto (2022), "Assessing Unconventional Monetary Policy in Japan Using Market Operation-based Monetary Policy Indices," RIETI Discussion paper, 22-E-103.
2. Irawan, Denny and Tatsuyoshi Okimoto (2021), “Macro Uncertainties and Tests of Capital Structure Theories across Renewable and Non-Renewable Resource Companies,” RIETI Discussion Paper, 21-E-55.
1. Irawan, Denny and Tatsuyoshi Okimoto (2021), “How Does ESG Performance Affect Firm Values and Overinvestments?” RIETI Discussion Paper, 21-E-033.
Publications in Academic Journals
33. Okimoto, Tatsuyoshi and Sumiko Takaoka (2024), "Credit Default Swaps and Corporate Carbon Emissions in Japan," Energy Economics 133, 107504.
32. Okimoto, Tatsuyoshi and Sumiko Takaoka (2024), “Sustainability and credit spreads in Japan,” International Review of Financial Analysis 91, 103052.
31. Inoue, Tomoo and Tatsuyoshi Okimoto (2023), “Exploring the Dynamic Relationship between Mobility and the Spread of COVID-19, and the Role of Vaccines,” forthcoming in Applied Economics.
30. Aono, Kohei and Tatsuyoshi Okimoto (2023), “When Does the Japan Empowering Women Index Outperform its Parent and the ESG Select Leaders Indexes?” International Review of Financial Analysis 85, 102428.
29. Irawan, Denny and Tatsuyoshi Okimoto (2022), “Conditional Capital Surplus and Shortfall across Resource Firms,” Energy Economics 112, 106092.
28. Okimoto, Tatsuyoshi and Sumiko Takaoka (2022), “The Credit Spread Curve Distribution and Economic Fluctuations in Japan,” Journal of International Money and Finance 122, 102582.
27. Inoue, Tomoo and Tatsuyoshi Okimoto (2022), “International Spillover Effects of Unconventional Monetary Policies of Major Central Banks,” International Review of Financial Analysis 79, 101968.
26. Nguyen, Bao H., Tatsuyoshi Okimoto, and Trung Duc Tran (2022), “Uncertainty- and Sign-Dependent Effects of Oil Market Shocks,” Journal of Commodity Markets 26, 100207.
25. Inoue, Tomoo, and Tatsuyoshi Okimoto (2022), “How Does Unconventional Monetary Policy Affect the Global Financial Markets?” Empirical Economics 62, 1013-1036.
24. Harada, Kimie and Tatsuyoshi Okimoto (2021), “The BOJ’s ETF Purchases and Its Effects on Nikkei 225 stocks,” International Review of Financial Analysis 77, 101826.
23. Morita, Hiroshi, and Tatsuyoshi Okimoto (2021), “The Interest Rate Determination when Economic Variables are Partially Observable,” Journal of International Financial Markets, Institution, and Money 72, 101323.
22. Irawan, Denny, and Tatsuyoshi Okimoto (2020), “Overinvestment and Macroeconomic Uncertainty: Evidence from Renewable and Non-Renewable Resource Firms,” Journal of Economic Dynamics and Control 126, 103973.
21. Hara, Naoko, Ryuzo Miyao, and Tatsuyoshi Okimoto (2020), “The Effects of Asset Purchases and Normalization of US Monetary Policy,” Economic Inquiry 58(3), 1279-1296.
20. Okimoto, Tatsuyoshi, and Sumiko Takaoka (2020), “No-Arbitrage Determinants of Japanese Government Bond Yield and Credit Spread Curves,” Journal of International Financial Markets, Institutions, and Money 64, 101143.
19. Miyao, Ryuzo, and Tatsuyoshi Okimoto (2020), “Regime Shifts in the Effects of Japan’s Unconventional Monetary Policies,” Manchester School 88(6), 749-772.
18. Okimoto, Tatsuyoshi (2019), “Trend Inflation and Monetary Policy Regimes in Japan,” Journal of International Money and Finance 92, 137-152.
17. Nguyen, Bao H., and Tatsuyoshi Okimoto (2019), “Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity,” Energy Economics 80, 86-99.
16. Komatsubara, Tadaaki, Tatsuyoshi Okimoto, and Ken-ichi Tatsumi (2017), “Dynamics of Integration in East Asian Equity Markets,” Journal of the Japanese and International Economies 45, 37-50.
15. Okimoto, Tatsuyoshi, and Sumiko Takaoka (2017), “The Term Structure of Credit Spreads and Business Cycle in Japan,” Journal of the Japanese and International Economies 45, 27-36.
14. Ohashi, Kazuhiko, and Tatsuyoshi Okimoto (2016), “Increasing Trends in the Excess Comovements of Commodity Prices,” Journal of Commodity Markets 1, 48-64.
13. Armstrong, Shiro, and Tatsuyoshi Okimoto (2016), “Fiscal Sustainability in Japan,” Asia and the Pacific Policy Studies 3(2), 235-243.
12. Ohmi, Harumi, and Tatsuyoshi Okimoto (2016), “Trends in Stock-Bond Correlations,” Applied Economics 48, 536-552.
11. Okimoto, Tatsuyoshi (2014), “Asymmetric Increasing Trends in Dependence in International Equity Markets,” Journal of Banking and Finance 46, 219-232.
10. Kasahara, Hiroyuki, Tatsuyoshi Okimoto, and Katsumi Shimotsu (2014), “Modified Likelihood Ratio Test for Regime Switching,” Japanese Economic Review 65, 25-41.
9. Managi, Shunsuke, and Tatsuyoshi Okimoto (2013), “Does the Price of Oil Interact with Clean Energy Prices in the Stock Market?” Japan and the World Economy 27, 1-9.
8. Managi, Shunsuke, Tatsuyoshi Okimoto, and Akimi Matsuda (2012), “Do Socially Responsible Investment Indexes Outperform Conventional Indexes?” Applied Financial Economics 22(18), 1511-1527.
7. Doi, Takero, Takeo Hoshi, and Tatsuyoshi Okimoto (2011), “Japanese Government Debt and Sustainability of Fiscal and Monetary Policy,” Journal of the Japanese and International Economies 25(4), 414-433 and NBER working paper No. 17305.
6. Kumar, Manmohan S., and Tatsuyoshi Okimoto (2011), “Dynamics of International Integration of Government Securities’ Markets,” Journal of Banking and Finance 35(1), 142-154.
5. Hamilton, James, and Tatsuyoshi Okimoto (2011), “Sources of Variation in Holding Returns for Fed Funds Futures Contracts,” Journal of Futures Markets 31(3), 205-229.
4. Okimoto, Tatsuyoshi, and Katsumi Shimotsu (2010), “Decline in the Persistence of Real Exchange Rates, but Not Sufficient for Purchasing Power Parity,” Journal of the Japanese and International Economies 24(3), 395-411.
3. Okimoto, Tatsuyoshi (2008), “New Evidence of Asymmetric Dependence Structures in International Equity Markets,” Journal of Financial and Quantitative Analysis 43(3), 787-816.
2. Inoue, Tomoo, and Tatsuyoshi Okimoto (2008), “Were There Structural Breaks in the Effect of Japanese Monetary Policy? Re-evaluating the Policy Effects in the Lost Decade,” Journal of the Japanese and International Economies 22(3), 320-342.
1. Kumar, Manmohan S., and Tatsuyoshi Okimoto (2007), “Dynamics of Inflation Persistence in International Inflation Rate,” Journal of Money, Credit, and Banking 39(6), 1457-1479, 2007.
Other Publications in English
1. Inoue, Tomoo, and Tatsuyoshi Okimoto (2018), “Measuring the Effects of Commodity Price Shocks on Asian Economies.” in Naoyuki Yoshino, Peter J. Morgan, and Pradumna B. Rana ed. “Global Shocks and the New Global and Regional Financial Architecture: Asian Perspectives” Chap. 4, 77-113, Asian Development Bank Institute.
Publications in Japanese
8. Okimoto, Tatsuyoshi (2017), “Nihon niokeru Kitai Inhureritsu no Hensen,” in Economic Analysis (Keizai Bunseki) 193, 197-225.
7. Okimoto, Tatsuyoshi (2014), “Markov-Switching Models with Applications in Macroeconomics and Finance,” Journal of Japan Statistical Society 44, 137-157.
6. Okimoto, Tatsuyoshi, and Eiji Hirasawa (2014), “News Shihyou niyoru Kabushiki Shijo no Yosoku Kanosei,” Security Analysts Journal 52(4), 67-75. Has been awarded 2014 Security Analysts Journal Prize.
5. Okimoto, Tatsuyoshi (2012), “Kokusai Kinyu Shijo no Izon Kankei ni Okeru Hitaisyosei to Choki Torendo,” Gendai Finance 31, 19-40.
4. Doi, Takero, Takeo Hoshi, and Tatsuyoshi Okimoto (2011), “Nihon no Seifu Saimu to Zaisei no Jizoku Kanousei,” Security Analysts Journal 49(11), 41-50.
3. Tatsuyoshi Okimoto (2010), Keizai Fainance Deta no Keiryo Jikeiretsu Bunseki, Asakura Publishing Co., Ltd.
2. Inoue, Tomoo, and Tatsuyoshi Okimoto (2007), “Nihon ni okeru Kinyu Seisaku no Saihyoka: Kozo Henka wo Koryo ni ireta Saihyoka,” in Fumio Hayashi ed. “Keizai Seido no Jissyo Bunseki to Sekkei.” Chap. 7, Keiso Shobo.
1. Inoue, Tomoo, and Tatsuyoshi Okimoto (2006), Jikeiretsu Kaiseki, (Japanese translation of “Time Series Analysis” by James Hamilton, 1994.), Center for Academic Publications.