Jouchi Nakajima

Visiting Senior Economist
Monetary and Economic Department, Monetary Policy

Before joining the BIS in 2016, Jouchi Nakajima worked at the Bank of Japan, where he was an economist in the Monetary Affairs Department, the International Department and the Institute for Monetary and Economic Studies. Jouchi holds a PhD in statistical science from Duke University. Jouchi's research covers various econometric and empirical issues including monetary policy, financial markets and Bayesian methods.

Fields of interest

  • Monetary policy
  • Financial markets
  • Econometrics

  • "Identifying conventional and unconventional monetary policy shocks: a latent threshold approach" (with T Kimura), The B.E. Journal of Macroeconomics, vol 16, 2016, pp 277-300.
  • "Dynamic network signal processing using latent threshold models" (with M West), Digital Signal Processing, vol 47, 2015, pp 5-16.
  • "Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models" (with X Zhou and M West), International Journal of Forecasting, vol 30, 2014, pp 963-80.
  • "On the reliability of Japanese inflation expectations using purchasing power parity" (with K Kamada), Economic Analysis and Policy, vol 44, 2014, pp 259-65.
  • "Dynamic factor volatility modeling: a Bayesian latent threshold approach" (with M West), Journal of Financial Econometrics, vol 11, 2013, pp 116-153.
  • "Bayesian analysis of latent threshold dynamic models" (with M West), Journal of Business and Economic Statistics, vol 31, 2013, pp 151-64.
  • "Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns", Studies in Nonlinear Dynamics and Econometrics, vol 17, 2013, pp 499-520.
  • "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution" (with Y Omori), Computational Statistics and Data Analysis, vol 56, 2012, pp 3690-704.
  • "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form" (with T Kunihama, Y Omori and S Fruhwirth-Schnatter), Computational Statistics and Data Analysis, vol 56, 2012, pp 3241-59.
  • "Time-varying parameter VAR model with stochastic volatility: an overview of methodology and empirical applications", Monetary and Economic Studies, vol 29, 2011, pp 107-42.
  • "Monetary policy transmission under zero interest rates: an extended time-varying parameter vector autoregression approach", The B.E. Journal of Macroeconomics, vol 11, 2011, issue 1 (Topics), article 32.
  • "Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy" (with M Kasuya and T Watanabe), Journal of the Japanese and International Economies, vol 25, 2011, pp 225-45.
  • "Leverage, heavy-tails and correlated jumps in stochastic volatility models" (with Y Omori), Computational Statistics and Data Analysis, vol 53, 2009, pp 2335-53.
  • "Stochastic volatility with leverage: fast likelihood inference" (with Y Omori, S Chib and N Shephard), Journal of Econometrics, vol 140, 2007, pp 425-49.
  • "Deteriorating bank health and lending in Japan: evidence from unlisted companies undergoing financial distress" (with S Fukuda and M Kasuya), Journal of the Asia Pacific Economy, vol 11, 2006, pp 482-501.