Japanese

 

Welcome to Tomoyoshi Yabu’s Website     

 

Contact Information

Faculty of Business and Commerce, Keio University

Tokyo 108-0073, Japan

tomoyabu82@gmail.com

 

Fields of Interest

International Finance, Time Series Econometrics

 

Education

Ph.D. in Economics, Boston University, 2006.

M.A. in Economics, Hitotsubashi University, Japan, 1999.

B.A. in Economics, Hosei University, Japan, 1997.

 

Employment

Keio University

  Professor, Faculty of Business and Commerce, April 2017-Present

  Associate Professor, Faculty of Business and Commerce, April 2010-March 2017

  Assistant Professor, Faculty of Business and Commerce, April 2009-March 2010

University of Tsukuba

Assistant Professor, Graduate School of Systems & Information Engineering, July 2007-March 2009

Bank of Japan

Economist, Institute for Monetary and Economic Studies, September 2005-June 2007

 

Referee

Econometrics Reviews, Econometrics Journal, Econometric Theory, Economics Bulletin, Emerging Markets Finance and Trade, International Journal of Central Banking, Japan and World Economy, Japanese Economic Review, Journal of Applied Econometrics, Journal of Econometrics, Journal of International Money and Finance, Journal of Money, Credit and Banking, Journal of the Japanese and International Economies, Journal of the Royal Statistical Society, Oxford Bulletin of Economics and Statistics, PLOS ONE, Monetary and Economic Studies, Review of Economics and Statistics, Singapore Economic Review, Southern Economic Journal

 

 

Published Papers

1.       “Have the constraints on PPP relaxed over time? Some evidence from Japan” Economics Letters, 84, 205-210, 2004.

 

2.       “What prompts Japan to intervene in the Forex market: A new approach to a reaction function” (with T. Ito) Journal of International Money and Finance 26, 193-212, 2007. Download Data.

 

3.       “Estimating deterministic trends with an integrated or stationary noise component” (with P. Perron) Journal of Econometrics 151, 56-69, 2009. Download the GAUSS code. The Matlab code, developed by Lola Gadea, is available here.

 

4.       “Testing for shifts in trend with an integrated or stationary noise component” (with P. Perron), Journal of Business and Economic Statistics 27, 369-396, 2009. Download the GAUSS code. The Matlab code, developed by Lola Gadea, is available here.

 

5.       “Fiscal policy switching: Evidence from Japan, the U.S., and the U.K.” (with A. Ito and T. Watanabe) Journal of the Japanese and International Economies 25, 380-413, 2011. Download Data.

 

6.       "Estimating fiscal multipliers using institutional information" (with T. Watanabe and A. Ito) T. Ihori, ed., Fiscal Policy and Social Insurance. Economic and Social Research Institute, Cabinet Office, Government of Japan, 143-177, 2010 (in Japanese). Download Data.

 

7.       “Spurious regressions in technical trading” (with M. Shintani and D. Nagakura) Journal of Econometrics 169, 301-309, 2012.

 

8.       “Testing for trend in the presence of autoregressive error: A comment” (with P. Perron) Journal of the American Statistical Association 107, 844, 2012.

 

9.       “A new method for identifying the effects of foreign exchange interventions” (with C. Chen and T. Watanabe) Journal of Money, Credit and Banking 44, 1507-1533, 2012.

 

10.    “Exchange rate pass-through and inflation: A nonlinear time series analysis” (with M. Shintani and A. Terada-Hagiwara) Journal of International Money and Finance 32, 512-527, 2013. Download Data and Replication Files (the RATS code).

 

11.    “The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004” (with T. Watanabe) Journal of International Money and Finance 32, 428-443, 2013.

 

12.    “Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component” (with P. Perron and M. Shintani) Oxford Bulletin of Economics and Statistics 79(5), 822-850, 2017. Download Data and Replication Files (the GAUSS and Matlab code).

 

13.    “Forex Intervention and Foreign Reserves: Long-term Estimate of Profits/losses from Interventions” (with T. Ito), JCER Economic Journal, 98-127, 2017. (in Japanese).

 

14.    “Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy” (with T. Ito), Journal of the Japanese and International Economies 58, Article 101106, 2020.

 

15.    “Japan’s Volantary Lockdown” (with T. Watanabe) PLoS ONE 16(6): e0252468, 2021. Japanese version. Download Data.

 

16.    “Japan's Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data” (with T. Watanabe) Japanese Economic Review 72(3), 333-370, 2021. Download Data.

 

17.    “The Demand for Money at the Zero Interest Rate Bound” (with T. Watanabe), Journal of Applied Econometrics 38(6), 968-976, 2023.

 

 

Working papers

18.    “How large is the demand for Money at the ZLB? Evidence from Japan,” (with T. Watanabe).

 

19.    “Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise,” (with P. Perron and M. Shintani).

 

20.    “Great earthquakes, exchange rate volatility and government interventions,” (with M. Hatase and M. Shintani).

 

 

Data

Japanese monthly intervention data from August 1971 to March 2018 are available here. The data from August 1971 to March 1991 are estimated. See Ito and Yabu (2017, JCER) and Ito and Yabu (2020, NBER) for estimation details. If you use this data set, please cite these papers.

 

Japanese daily intervention data from April 1, 1991 to March 31, 2004 are available here. If you use this data set, please cite Ito and Yabu (2007).