Central bank research hub - Papers by Makoto Nirei
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Research hub papers by author Makoto NireienRisk-Taking, Inequality and Output in the Long-Run
http://www.boj.or.jp/en/research/wps_rev/wps_2018/data/wp18e04.pdf
Bank of Japan Working Papers by Shuhei Aoki, Makoto Nirei and Kazufumi YamanaRisk-Taking, Inequality and Output in the Long-Run2018-03-12T00:00:00ZWe develop a tractable dynamic general equilibrium model with incomplete markets for business risk sharing, which allows for analytical characterization under Epstein-Zin preference with unitary elasticity of intertemporal substitution and Cobb-Douglas technology. Household stationary wealth dispersion is shown to follow a Pareto distribution. In this environment, we conduct comparative statics of stationary output and household inequality when the cost of business risk sharing is reduced. Enhanced risk-taking results in greater long-run outputs and real wage and a lower risk-free interest rate, while its impact on inequality is ambiguous. A quantitative analysis under the parameter values calibrated to Japanese economy shows that elimination of purchase costs for mutual funds leads to an increase in output by 1.3 percent, a decrease in risk-free rate by 15 basis points, and an increase in Gini coefficient of wealth in 2 percentage points.Risk-Taking, Inequality and Output in the Long-RunFull texthttp://www.boj.or.jp/en/research/wps_rev/wps_2018/data/wp18e04.pdfKazufumi YamanaMakoto NireiShuhei AokiShuhei Aoki, Makoto Nirei and Kazufumi Yamana2018-03-12Bank of Japan Working PapersE2G2Bank capital shock propagation via syndicated interconnectedness
http://www.bis.org/publ/work484.pdf
Bank for International Settlements Working papers by Makoto Nirei, Julián Caballero and Vladyslav SushkoBank capital shock propagation via syndicated interconnectedness2015-01-27T12:31:59ZLoan syndication increases bank interconnectedness through co-lending relationships. We study the financial stability implications of such dependency on syndicate partners in the presence of shocks to banks' capital. Model simulations in a network setting show that such shocks can produce rare events in this market when banks have shared loan exposures while also relying on a common risk management tool such as value-at-risk (VaR). This is because a withdrawal of a bank from a syndicate can cause ripple effects through the market, as the loan arranger scrambles to commit more of its own funds by also pulling back from other syndicates or has to dissolve the syndicate it had arranged. However, simulations also show that the core-periphery structure observed in the empirical network may reduce the probability
of such contagion. In addition, simulations with tighter VaR constraints show banks taking on less risk ex-ante.Bank capital shock propagation via syndicated interconnectednessBISAbstracthttp://www.bis.org/publ/work484.htmFull texthttp://www.bis.org/publ/work484.pdfMakoto NireiJulián CaballeroVladyslav SushkoMakoto Nirei, Julián Caballero and Vladyslav Sushko2015-01Bank for International Settlements BIS Working PapersE32E44E52G12G20Stochastic Herding in Financial Markets Evidence from Institutional Investor Equity Portfolios
http://www.bis.org/publ/work371.pdf
Bank for International Settlements Working papers by Makoto Nirei, Theodoros Stamatiou and Vladyslav SushkoStochastic Herding in Financial Markets Evidence from Institutional Investor Equity Portfolios2012-02-17T17:42:00ZWe estimate a structural model of herding behavior in which feedback arises due to mutual concerns of traders over the unobservable "true" level of market liquidity. In a herding regime, random shocks are exacerbated by endogenous feedback, producing a dampened power-law in the uctuation of largest sales. The key to the uctuation is that each trader responds not only to private information, but also to the aggregate behavior of others. Applying the model to the data on portfolios of institutional investors (fund managers), we nd that the empirical distribution is consistent with model predictions. A stock's realized illiquidity propagates herding and raises the probability of observing a sell-off. The distribution function itself has desirable properties for evaluating "tail risk".Stochastic Herding in Financial Markets Evidence from Institutional Investor Equity PortfoliosBISAbstracthttp://www.bis.org/publ/work371.htmFull texthttp://www.bis.org/publ/work371.pdfMakoto NireiTheodoros StamatiouVladyslav SushkoMakoto Nirei, Theodoros Stamatiou and Vladyslav Sushko2012-02Bank for International Settlements BIS Working PapersD80G14G20