Takahiro Hattori

University of Tokyo - Graduate School of Public Policy

Tokyo

Japan

SCHOLARLY PAPERS

20

DOWNLOADS
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Top 11,194

in Total Papers Downloads

5,226

SSRN CITATIONS
Rank 36,949

SSRN RANKINGS

Top 36,949

in Total Papers Citations

9

CROSSREF CITATIONS

12

Scholarly Papers (20)

1.

The Relationship Between Arbitrage in Futures and Spot Markets and Bitcoin Price Movements: Evidence From the Bitcoin Markets

Number of pages: 33 Posted: 27 Jul 2018 Last Revised: 09 Mar 2020
Takahiro Hattori and Ryo Ishida
University of Tokyo - Graduate School of Public Policy and Ministry of Finance - Japan - Policy Research Institute
Downloads 829 (35,482)
Citation 5

Abstract:

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Cryptocurrency, Bitcoin, Futures, Arbitrage, Intraday Data

2.

Noise as a liquidity measure: Evidence from the JGB market

Number of pages: 37 Posted: 19 Jun 2018 Last Revised: 18 Jan 2021
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 527 (64,349)
Citation 2

Abstract:

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Liquidity, Commonality of liquidity, Bank of Japan, JGB, Limits to Arbitrage

3.

Estimation of CCP Premium During the Financial Crisis of 2008: Evidence from Japanese Government Bond Market

Number of pages: 40 Posted: 13 Feb 2018 Last Revised: 12 Feb 2020
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 456 (76,976)

Abstract:

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term structure, financial crisis, central clearing, counterparty risk

4.

The Impact of Quantitative and Qualitative Easing on Term Structure: Evidence From Micro-level Data

Number of pages: 30 Posted: 18 Sep 2017 Last Revised: 28 Oct 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 451 (77,931)
Citation 4

Abstract:

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Yield curve, Quantitative easing, Central banking, Market segmentation, Yield curve control

5.

Did the Introduction of Bitcoin Futures Crash the Bitcoin Market at the End of 2017?

Number of pages: 24 Posted: 10 Jan 2019 Last Revised: 19 Mar 2020
Takahiro Hattori and Ryo Ishida
University of Tokyo - Graduate School of Public Policy and Ministry of Finance - Japan - Policy Research Institute
Downloads 381 (94,913)
Citation 6

Abstract:

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cryptocurrency, Bitcoin, futures, intraday data, vector autoregressive model

6.

Yield Curve Control

Number of pages: 25 Posted: 17 Jun 2019 Last Revised: 05 Feb 2021
Takahiro Hattori and Jiro Yoshida
University of Tokyo - Graduate School of Public Policy and Pennsylvania State University - Smeal College of Business
Downloads 337 (108,985)
Citation 1

Abstract:

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large-scale asset purchases (LSAP), quantitative easing (QE), central banking, JGB, bond-price support, high-frequency data, swap spread

7.

A Forecast Comparison of Volatility Models Using Realized Volatility: Evidence from the Bitcoin Market

Number of pages: 9 Posted: 28 Nov 2018 Last Revised: 09 Dec 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 303 (122,281)

Abstract:

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Cryptocurrency, Bitcoin, realized volatility, volatility modeling

8.

Do Fixed-Rate Purchase Operations by the Bank of Japan Control the Yield Curve? Evidence from High-Frequency Data

Number of pages: 24 Posted: 30 Aug 2017 Last Revised: 09 Mar 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 261 (142,794)
Citation 2

Abstract:

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Quantitative and Qualitative Easing (QQE), Central banking, Yield Curve Control (YCC), Fixed-rate purchase operations, High-frequency data

9.

The Bank of Japan’s ETF Purchase during COVID-19

Number of pages: 35 Posted: 08 May 2020 Last Revised: 01 Jun 2021
Takahiro Hattori and Jiro Yoshida
University of Tokyo - Graduate School of Public Policy and Pennsylvania State University - Smeal College of Business
Downloads 231 (160,905)
Citation 2

Abstract:

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large-scale asset purchases (LSAP), quantitative easing (QE), central banking, exchange-traded funds (ETF), unconventional monetary policy

10.

Decomposing Municipal Bond Defaults and Liquidity Risk in Japan

Number of pages: 33 Posted: 21 Aug 2017 Last Revised: 19 Apr 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 186 (196,772)

Abstract:

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municipal bonds, public finance, default risk, liquidity premium

11.

Do Fiscal Policy News Shocks Affect JGB Yield? Evidence from COVID-19

Number of pages: 33 Posted: 12 Oct 2020 Last Revised: 15 Oct 2020
Takahiro Hattori and Motoki Katano
University of Tokyo - Graduate School of Public Policy and Ministry of Finance - Japan
Downloads 171 (211,714)

Abstract:

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Budget Deficit, Japanese Government Bond, Interest Rate, Fiscal News, COVID-19

12.

Discriminatory Versus Uniform Auction: Evidence From JGB Market

Number of pages: 39 Posted: 24 Sep 2020 Last Revised: 28 May 2021
Takahiro Hattori and Shogo Takahashi
University of Tokyo - Graduate School of Public Policy and Ministry of Finance - Japan
Downloads 161 (222,758)

Abstract:

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Discriminatory Auction; Uniform Auction; Markup; When-Issued Markets; Japanese Government Bond

13.

The Empirical Analysis of Bitcoin Market in the General Equilibrium Framework

Number of pages: 30 Posted: 11 Aug 2019
Jun Aoyagi and Takahiro Hattori
University of California, Berkeley - Department of Economics and University of Tokyo - Graduate School of Public Policy
Downloads 144 (244,325)
Citation 1

Abstract:

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cryptocurrency, asymmetric information, arbitrage, cointegration

14.

Do Liquidity Enhancement Auctions Improve the Market Liquidity in the JGB Market?

Number of pages: 19 Posted: 09 Feb 2019
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 137 (254,255)
Citation 2

Abstract:

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Liquidity, Japanese Government Bond, Liquidity Enhancement Auction

15.

J-Liquidity Measure: The Term Structure of the Liquidity Premium in Japan

Number of pages: 41 Posted: 17 Apr 2018 Last Revised: 20 Jul 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 120 (280,787)
Citation 1

Abstract:

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Bond Liquidity, Liquidity Risk, Term Structure of the Liquidity Premium

16.

The Bank of Japan as a Real Estate Tycoon: Large-Scale REIT Purchases

Handbook of Real Estate and Macroeconomics, Forthcoming
Number of pages: 32 Posted: 03 Apr 2020
Takahiro Hattori and Jiro Yoshida
University of Tokyo - Graduate School of Public Policy and Pennsylvania State University - Smeal College of Business
Downloads 118 (284,246)
Citation 2

Abstract:

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large-scale asset purchases (LSAP), quantitative easing (QE), central banking, real estate investment trust, unconventional monetary policy

17.

Does 5-Minute RV Outperform Other Realized Measures in the Cryptocurrency Market?

Number of pages: 20 Posted: 10 Jul 2019 Last Revised: 01 Apr 2020
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 117 (285,954)

Abstract:

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Cryptocurrency, Bitcoin, Realized volatility, Volatility modeling, High frequency data

18.

Market Segmentation and Limits to Arbitrage under Negative Interest Rates: Evidence from the Bank of Japan’s QQE

Number of pages: 25 Posted: 10 Aug 2017 Last Revised: 15 Jan 2019
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 116 (287,658)

Abstract:

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Preferred Habitat, Market Segmentation, Quantitative Easing, Term Structure of Interest Rate, Zero Lower Bound

19.

Estimation of 10-year JGB yields: From 1961 to 1984

Number of pages: 10 Posted: 09 Jan 2021
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 103 (312,259)

Abstract:

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Japanese Government Bond, Interest Rate, Japanese History

20.

Reserves and Risk: Evidence from China

Globalization and Monetary Policy Institute Working Paper No. 387
Number of pages: 40 Posted: 01 Jun 2020
Rasmus Fatum, Takahiro Hattori and Yohei Yamamoto
University of Alberta - Department of Marketing, Business Economics & Law, University of Tokyo - Graduate School of Public Policy and Hitotsubashi University
Downloads 77 (373,829)

Abstract:

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International reserves, risk taking, China