Jouchi Nakajima
Jouchi Nakajima
Bank of Japan
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Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications
J Nakajima
Institute for Monetary and Economic Studies, Bank of Japan, 2011
Stochastic volatility with leverage: Fast and efficient likelihood inference
Y Omori, S Chib, N Shephard, J Nakajima
Journal of Econometrics 140 (2), 425-449, 2007
Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
J Nakajima, M Kasuya, T Watanabe
Journal of the Japanese and International Economies 25 (3), 225-245, 2011
Bayesian analysis of latent threshold dynamic models
J Nakajima, M West
Journal of Business & Economic Statistics 31 (2), 151-164, 2013
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution
J Nakajima, Y Omori
Computational Statistics & Data Analysis 56 (11), 3690-3704, 2012
Leverage, heavy-tails and correlated jumps in stochastic volatility models
J Nakajima, Y Omori
Computational Statistics & Data Analysis 53 (6), 2335-2353, 2009
Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
X Zhou, J Nakajima, M West
International Journal of Forecasting 30 (4), 963-980, 2014
Multivariate Bayesian predictive synthesis in macroeconomic forecasting
K McAlinn, KA Aastveit, J Nakajima, M West
Journal of the American Statistical Association 115 (531), 1092-1110, 2020
Identifying conventional and unconventional monetary policy shocks: A latent threshold approach
T Kimura, J Nakajima
The BE Journal of Macroeconomics 16 (1), 277-300, 2016
Monetary policy transmission under zero interest rates: An extended time-varying parameter vector autoregression approach
J Nakajima
The BE Journal of Macroeconomics 11 (1), 2011
Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
M West
Annals of the Institute of Statistical Mathematics 72 (1), 1-31, 2020
Identifying oil price shocks and their consequences: the role of expectations in the crude oil market
T Fueki, J Nakajima, S Ohyama, Y Tamanyu
International Finance 24 (1), 53-76, 2021
Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
J Nakajima, T Kunihama, Y Omori, S Frühwirth-Schnatter
Computational Statistics & Data Analysis 56 (11), 3241-3259, 2012
Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model
K Imakubo, J Nakajima
Bank of Japan, 2015
Dynamic factor volatility modeling: A Bayesian latent threshold approach
J Nakajima, M West
Journal of Financial Econometrics 11 (1), 116-153, 2012
Bayesian dynamic factor models: Latent threshold approach
J Nakajima, M West
Journal of Financial Econometrics 11 (1), 116-153, 2013
Bayesian analysis of multivariate stochastic volatility with skew return distribution
J Nakajima
Econometric Reviews 36 (5), 546-562, 2017
Are household inflation expectations anchored in Japan?
K Kamada, J Nakajima, S Nishiguchi
Bank of Japan, 2015
Effectiveness of unconventional monetary policies in a low interest rate environment
AJ Filardo, J Nakajima
BIS Working Paper, 2018
Deteriorating bank health and lending in Japan: evidence from unlisted companies under financial distress
S Fukuda, M Kasuya, J Nakajima
Journal of the Asia Pacific Economy 11 (4), 482-501, 2006
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