Fumio Hayashi

National Graduate Institute for Policy Studies

Professor

Roppongi 7-22-1

Minato-ku

Tokyo, 106-0032

Japan

http://https://sites.google.com/site/fumiohayashi/home

GRIPS

7-22-1 Roppongi, Minato-Ku

Tokyo 106-8677, Tokyo 106-8677

Japan

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 2,202

SSRN RANKINGS

Top 2,202

in Total Papers Downloads

18,470

SSRN CITATIONS
Rank 1,838

SSRN RANKINGS

Top 1,838

in Total Papers Citations

241

CROSSREF CITATIONS

463

Scholarly Papers (29)

1.
Downloads 14,822 ( 273)
Citation 158

The Fundamentals of Commodity Futures Returns

Yale ICF Working Paper No. 07-08
Number of pages: 62 Posted: 28 Jun 2007 Last Revised: 07 Feb 2012
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
Downloads 14,511 (279)
Citation 34

Abstract:

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Commodity, Futures, Theory of Storage, Inventories, Backwardation, Hedging Pressure, Futures Trading

The Fundamentals of Commodity Futures Returns

NBER Working Paper No. w13249
Number of pages: 63 Posted: 13 Jul 2007 Last Revised: 15 Mar 2021
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
Downloads 311 (118,240)
Citation 57

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Commodity Futures: A Japanese Perspective

Yale ICF Working Paper No. 05-27
Number of pages: 25 Posted: 03 Nov 2005
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
Downloads 717 (42,686)

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commodities, futures, commodity, index, diversification

Commodity Futures: A Japanese Perspective

Yale ICF Working Paper No. 05-27
Number of pages: 24 Posted: 15 Aug 2006
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
Downloads 547 (60,816)
Citation 4

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commodity futures

3.
Downloads 932 ( 30,199)
Citation 14

Emerging Market Currency Excess Returns

Number of pages: 54 Posted: 24 Nov 2008 Last Revised: 14 May 2020
Stephen W. Gilmore and Fumio Hayashi
AIG Financial Products - Banque AIG and National Graduate Institute for Policy Studies
Downloads 890 (31,767)
Citation 9

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Emerging Market Currencies, Risk Premium, Bid/Offer Spreads, FX Swaps

Emerging Market Currency Excess Returns

NBER Working Paper No. w14528
Number of pages: 63 Posted: 09 Dec 2008 Last Revised: 14 Mar 2021
Stephen W. Gilmore and Fumio Hayashi
AIG Financial Products - Banque AIG and National Graduate Institute for Policy Studies
Downloads 42 (507,726)
Citation 1

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4.

Is There a Liquidity Effect in the Japanese Market?

Number of pages: 42 Posted: 09 Aug 2000
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 188 (194,975)

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5.
Downloads 155 (230,047)
Citation 4

Exiting From QE

Number of pages: 67 Posted: 03 Feb 2018
Fumio Hayashi and Junko Koeda
National Graduate Institute for Policy Studies and Waseda University - School of Political Science and Economics
Downloads 127 (270,395)
Citation 1

Abstract:

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Quantitative Easing, Effective Lower Bound, Structural Vector Autoregression, Monetary Policy, Taylor Rule, Impulse Responses, Bank of Japan

Exiting from QE

NBER Working Paper No. w19938
Number of pages: 68 Posted: 03 Mar 2014
Fumio Hayashi and Junko Koeda
National Graduate Institute for Policy Studies and Waseda University - School of Political Science and Economics
Downloads 28 (584,867)
Citation 1

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6.

Research and Development as an Investment

NBER Working Paper No. w2973
Number of pages: 45 Posted: 28 Jun 2004 Last Revised: 15 Feb 2021
Bronwyn H. Hall and Fumio Hayashi
University of California at Berkeley and National Graduate Institute for Policy Studies
Downloads 114 (291,240)
Citation 3

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7.

Nowcasting Japan's GDP

Number of pages: 39 Posted: 09 Jun 2020 Last Revised: 19 Oct 2020
Fumio Hayashi and Yuta Tachi
National Graduate Institute for Policy Studies and University of Texas at Austin
Downloads 106 (306,386)

Abstract:

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nowcasting, real-time data, dynamic factor models, state-space models

8.

Can it Be Japan's Savior?

NBER Working Paper No. w11749
Number of pages: 36 Posted: 20 Jul 2006 Last Revised: 10 Aug 2010
Fumio Hayashi and Koji Nomura
National Graduate Institute for Policy Studies and Keio University - Keio Economic Observatory
Downloads 87 (347,816)

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9.

The Effects of Income and Wealth on Time and Money Transfers between Parents and Children

NBER Working Paper No. w5522
Number of pages: 62 Posted: 19 May 1998 Last Revised: 01 Oct 2010
Yale University - Economic Growth Center, National Graduate Institute for Policy Studies and Boston University - Department of Economics
Downloads 84 (355,256)
Citation 2

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10.

The Relation between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms

NBER Working Paper No. w3326
Number of pages: 41 Posted: 07 Aug 2007 Last Revised: 10 Aug 2010
Fumio Hayashi and Taroh Inoue
National Graduate Institute for Policy Studies and Motorola Japan Ltd.
Downloads 56 (441,076)
Citation 7

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11.

Tests for Liquidity Constraints: a Critical Survey

NBER Working Paper No. w1720
Number of pages: 46 Posted: 04 Jul 2004 Last Revised: 15 Mar 2021
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 53 (452,206)
Citation 1

Abstract:

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12.

The Main Bank System and Corporate Investment: An Empirical Reassessment

NBER Working Paper No. w6172
Number of pages: 25 Posted: 14 Jun 2000 Last Revised: 15 May 2021
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 51 (459,808)
Citation 1

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13.

Affine Term Structure Pricing with Bond Supply as Factors

FRB Atlanta CQER Working Paper No. 2016-1
Number of pages: 19 Posted: 25 Apr 2016
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 47 (475,976)

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ATSM, yield curve, portfolio balance channel, supply of government bonds, impulse responses

14.

The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data

NBER Working Paper No. w1305
Number of pages: 63 Posted: 16 Jul 2004 Last Revised: 28 Jul 2010
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 47 (475,976)
Citation 10

Abstract:

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15.

The Effect of Liquidity Constraints on Consumption: A Cross-Sectional Analysis

NBER Working Paper No. w0882
Number of pages: 46 Posted: 07 Jan 2008 Last Revised: 31 May 2021
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 45 (484,400)
Citation 1

Abstract:

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16.

The Depressing Effect of Agricultural Institutions on the Prewar Japanese Economy

NBER Working Paper No. w12081
Number of pages: 67 Posted: 11 May 2006 Last Revised: 04 Jan 2021
Fumio Hayashi and Edward C. Prescott
National Graduate Institute for Policy Studies and Arizona State University (ASU) - Economics Department
Downloads 43 (493,182)
Citation 7

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17.

Japan&Apos;S Saving Rate: New Data and Reflections

NBER Working Paper No. w3205
Number of pages: 36 Posted: 08 Jun 2004 Last Revised: 05 Apr 2021
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 39 (511,332)
Citation 1

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18.

Housing Finance Imperfections and Private Saving: a Comparative Simulation Analysis of the U.S. And Japan

NBER Working Paper No. w2272
Number of pages: 33 Posted: 30 Jul 2001 Last Revised: 19 Mar 2021
Fumio Hayashi, Takatoshi Ito and Joel B. Slemrod
National Graduate Institute for Policy Studies, University of Tokyo - Faculty of Economics and University of Michigan, Stephen M. Ross School of Business
Downloads 39 (511,332)
Citation 2

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19.

Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data

NBER Working Paper No. w3046
Number of pages: 60 Posted: 14 Apr 2007 Last Revised: 30 Apr 2021
Yale University - Economic Growth Center, National Graduate Institute for Policy Studies and Boston University - Department of Economics
Downloads 37 (520,864)
Citation 6

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20.

A Model of Fiat Money and Barter

NBER Working Paper No. w4919
Number of pages: 28 Posted: 08 Jul 2000
Fumio Hayashi and Akihiko Matsui
National Graduate Institute for Policy Studies and University of Tokyo - Faculty of Economics
Downloads 37 (520,864)

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Parental Altruism and Inter Vivos Transfers: Theory and Evidence

NBER Working Paper No. w5378
Number of pages: 59 Posted: 19 Jul 2000 Last Revised: 14 Mar 2021
Yale University - Economic Growth Center, National Graduate Institute for Policy Studies and Boston University - Department of Economics
Downloads 35 (543,439)
Citation 8

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Parental Altruism and Inter Vivos Transfers: Theory and Evidence

Journal of Political Economy 105, 6 (December 1997)
Posted: 26 Mar 1998
Yale University - Economic Growth Center, National Graduate Institute for Policy Studies and Boston University - Department of Economics

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22.

Risk-Sharing, Altruism, and the Factor Structure of Consumption

NBER Working Paper No. w3834
Number of pages: 49 Posted: 28 Jun 2004 Last Revised: 27 Jun 2010
National Graduate Institute for Policy Studies, Yale University - Economic Growth Center and Boston University - Department of Economics
Downloads 33 (541,311)

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23.

Computing Equilibrium Bond Prices in the Vayanos-Vila Model

Number of pages: 30 Posted: 27 Oct 2017
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 30 (557,484)

Abstract:

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Vayanos-Vila model; computation; maturity structure; yield curve; risk premia

24.

Real and Financial Decisions of a Firm with Bankruptcy and Default: An Integration

NBER Working Paper No. w1097
Number of pages: 67 Posted: 23 Aug 2000 Last Revised: 03 Jul 2010
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 29 (563,157)

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25.

Taxes and Corporate Investment in Japanese Manufacturing

NBER Working Paper No. w1753
Number of pages: 45 Posted: 14 Jan 2001 Last Revised: 18 Apr 2021
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 26 (581,459)

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26.

Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology

NBER Working Paper No. w3421
Number of pages: 37 Posted: 08 Nov 2011 Last Revised: 09 May 2021
Fumio Hayashi and Ravi Jagannathan
National Graduate Institute for Policy Studies and Northwestern University - Kellogg School of Management
Downloads 25 (587,816)

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27.

Measuring Depreciation for Japan: Rejoinder to Dekle and Summers

NBER Working Paper No. w3836
Number of pages: 19 Posted: 03 Jul 2007 Last Revised: 27 Jun 2010
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 23 (600,951)
Citation 1

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28.

Is the Japanese Extended Family Altruistically Linked? A Test Based on Engel Curves

NBER Working Paper No. w5033
Number of pages: 21 Posted: 26 Jul 2000
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 23 (600,951)
Citation 2

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29.

Analytically Deriving Risk-Neutral Densities from Volatility Smiles

The Journal of Derivatives, Summer 2020; DOI: https://doi.org/10.3905/jod.2020.1.099
Posted: 27 Jul 2019
Fumio Hayashi
National Graduate Institute for Policy Studies

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options, risk-neutral densities, volatility smiles, the delta