Takamitsu Kurita

Welcome to my web page. My email address is tkurita[ - ]cc.kyoto-su.ac.jp. Please replace [ - ] with @.

1. Position and Qualification

• Current Position: Professor, Faculty of Economics, Kyoto Sangyo University. Click here for further information.

• Degree: D.Phil., University of Oxford

2. Research Interests

• Econometrics

• International Finance and Open-Economy Macroeconomics

3. Publications

1. Boug, P., Hungnes, H. and Kurita, T. (2025) "Getting back on track: Forecasting after extreme observations",
       International Journal of Forecasting, accepted for publication.

2. Kurita, T. and Shintani, M. (2025) "Johansen test with Fourier-type smooth non-linear trends in cointegrating relations",
       Econometric Reviews, accepted for publication.    

3. Castle, J. L. and Kurita, T. (2024) "Stability between cryptocurrency prices and the term structure",
       Journal of Economic Dynamics and Control, 165, 104890.

4. Boug, P., Hungnes, H. and Kurita, T. (2024) "The empirical modelling of house prices and debt revisited: A policy-oriented perspective",
       Empirical Economics, 66, 369-404. 66(1), 369-404.  66(1), 369-404.  

5. Kurita, T. (2022) "Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression",
       Communications in Statistics - Theory and Methods, 51, 8349-8370. 

6. Kurita, T. and James, P. (2022) "The Canadian-US dollar exchange rate over the four decades of the post-Bretton Woods float: An econometric study allowing for structural breaks",
       Metroeconomica, 73, 12384.

7.  Castle, J. L. and Kurita, T. (2021) "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts",
       Journal of Economic Dynamics and Control, 128, 104139. 

8.  Kurita, T. (2020) "Normalising cointegrating relationships subject to long-run exclusion",
       Economics Letters, 192, 109161.

9.  Kurita, T. (2020) "Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data",
       Journal of Multivariate Analysis, 178, 104622.

10.  Kurita, T. and Nielsen, B. (2019) "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms",
        Econometrics, 7, 42. Published in the Special Issue "Celebrated Econometricians: K. Juselius and S. Johansen".

11.  Kurita, T. (2019) "A recursive Monte Carlo study of structural-break sensitivity of adjustment coefficients in cointegrated VAR systems",
        Journal of Quantitative Economics, 17, 251-270.

12.  Almaas, S. S. and Kurita, T. (2019) "Modelling the real yen-dollar rate and inflation dynamics based on international parity conditions",
        Journal of Asian Economics, 61, 51-64.

13.  Kurita, T. (2019) "Separate cointegration in a VAR system subject to structural breaks",
        Economics Letters, 179, 19-23.

14.  Kurita, T. (2018) "A note on potential one-way policy instruments in cointegrated VAR systems",
        Economic Analysis and Policy, 58, 55-59.

15.  Choo, H. G. and Kurita, T. (2016) "Modeling the dynamics of US monetary policy and inflation over the past quarter century",
        International Journal of Applied Business and Economic Research, 14, 373-402.

16.  Kurita, T. (2016) "Markov-switching variance models and structural changes underlying Japanese bond yields: An inquiry into non-linear dynamics",
        Journal of Economic Asymmetries, 13, 74-80.

17.  Choo, H. G. and Kurita, T. (2015) "A monetary perspective on inflation dynamics in Norway",
        International Journal of Economic Research, 12, 583-606.

18.  Kurita, T. (2014) "A simulation analysis of conditional tests for parameter stability in cointegrated VAR models",
        Journal of Simulation, 8, 335-347.

19.  Kurita, T. (2014) "Dynamic characteristics of the daily yen-dollar exchange rate",
        Research in International Business and Finance, 30, 72-82.

20.  Kurita, T. (2013) "Modelling time series data of monetary aggregates using I(2) and I(1) cointegration analysis",
        Bulletin of Economic Research, 65, 372-388.

21.  Kurita, T. (2013) "Exploring the impact of multivariate GARCH innovations on hypothesis testing for cointegrating vectors",
        Communications in Statistics - Simulation and Computation, 42, 1785-1800.

22.  Kurita, T. (2012) "Shedding light on the underlying long-run price leadership: A study of US gasoline price data",
        Uncertainty Modeling in Knowledge Engineering and Decision Making: Proceedings of the 10th International FLINS Conference, 1167-1172.

23.  Choo, H. G. and Kurita, T. (2012) "Real interest parity, real exchange rate behavior and current account: Exploring Korea-US economic linkages",
        Journal of Korea Trade, 16, 1-23.

24.  Kurita, T. (2012) "Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models",
        Econometric Reviews, 31, 325-360.

25.  Kurita, T. (2011) "A parsimonious econometric model of inflation-demand nexus in Japan",
        Advances and Applications in Statistical Sciences, 6, 153-173.

26.  Kurita, T. (2011) "Local power of likelihood-based tests for cointegrating rank: Comparative analysis of full and partial systems",
        Journal of Time Series Analysis, 32, 672-679.

27.  Kurita, T., Nielsen, H. B. and Rahbek, A. (2011) "An I(2) cointegration model with piecewise linear trends",
        Econometrics Journal, 14, 131-155.

28.  Kurita, T. (2011) "Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence",
        Mathematics and Computers in Simulation, 81, 1733-1740.

29.  Choo, H. G. and Kurita, T. (2011) "An empirical investigation of monetary interaction in the Korean economy",
        International Review of Economics and Finance, 20, 267-280.

30.  Kurita, T. (2011) "An empirical model for Japan's business fixed investment",
        Journal of Economics and Business, 63, 107-120.

31.  Kurita, T. (2010) "Empirical modeling of Japan's markup and inflation, 1976-2000",
        Journal of Asian Economics, 21, 552-563.

32.  Kurita, T. (2010) "Time series analysis of transatlantic market interactions: Evidence from crude oil and gasoline prices",
        International Journal of Business and Economics, 9, 157-173.

33.  Kurita, T. (2010) "Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors",
        Mathematics and Computers in Simulation, 80, 2033-2039.

34.  Kurita, T. (2010) "A forecasting model for Japan's unemployment rate",
        Eurasian Journal of Business and Economics, 3, 127-134.

35.  Kurita, T. (2010) "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan",
        Economic Modelling, 27, 574-584.

36.  Kurita, T. (2010) "Investigating time series properties of a dynamic system for Japan's import demand",
        Economics Bulletin, 30, 450-460.

37.  Kurita, T. and Nielsen, B. (2009) "Cointegrated vector autoregressive models with adjusted short-run dynamics",
        Quantitative and Qualitative Analysis in Social Sciences, 3, 43-77.

38.  Kurita, T. (2009) "A note on small-sample correction for hypothesis testing on cointegrating vectors: Recursive Monte Carlo analysis",
        Economics Bulletin, 29, 1592-1599.

39.  Kurita, T. (2009) "A note on testing parameter constancy in cointegrated vector autoregression: The case of near I(2) processes",
        Economics Bulletin, 29, 575-587.

40.  Kurita, T. (2007) "A dynamic econometric system for the real yen-dollar rate",
        Empirical Economics, 33, 115-149.