Pricing Discrete Barrier Options Under Stochastic Volatility

This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in pricing barrier options with discrete monitoring. To the best of our knowledge, this paper is the first one that shows an analytical approximation for pricing discrete barrier options with stochastic volatility models. Furthermore, it provides numerical examples for pricing double barrier call options with discrete monitoring under Heston and λ-SABR models.     

A trend filtering method closely related to $$\ell _{1}$$ trend filtering

The filtering method developed by Kim et al. (SIAM Rev 51:339–360, 2009), \(\ell _{1}\) trend filtering, is attractive because it enables us to estimate a continuous piecewise linear trend. This paper introduces a new filtering method closely related to \(\ell _{1}\) trend filtering in order to contribute to the accumulation of knowledge on \(\ell _{1}\) trend filtering. We show that the piecewise linearity, which is the key feature of \(\ell _{1}\) trend filtering, is derived from the new filtering. For this reason, we refer to the filtering as ‘pure’ \(\ell _{1}\) trend filtering. We also demonstrate some other miscellaneous results concerning the new filtering.     

Interlinkage in the endogenous real business cycles of international economies

Summary This study investigates interlinkage among the business cycles of countries from the viewpoint of endogenous real business cycles. For this purpose, we build a simple perfect foresight equilibrium model with two countries and characterize the global dynamics of a free-trade equilibrium as well as that of each country's autarky equilibrium by means of the fundamental structure of an economy.We are greatful to Murray Kemp, Mukul Majumdar, Takashi Negishi, Marcus Noland, Ian Novos, Jose Scheinkman and an anonymous referee for useful conversations and suggestions.     

An extensive analysis on the Japanese markets via S. Taylor's model

Applying S. Taylor's approach (1986), we make an extensive analysis on the Japanese stock market, foreign exchange market and the Japanese Government Bond Futures market. The purpose of this paper is to empirically reveal the structure of the Japanese markets via Taylor's model rather than to propose a new model. For this reason, we include a variety of analyzed data particularly for the Japanese stock market and the foreign exchange market because the results can be used in a different manner. The paper consists of three parts. But each part can be read separately. Part 1: Overshooting hypothesis for Japanese stock prices Part 2: A trend movement in daily/weekly Yen-Dollar exchange rates Part 3: Price variations of Japanese Government Futures. In the first part, the stock prices are shown to over-respond to new information, which is different from the behaviors of stock prices in other markets. In Part 2, a trend movement is revealed in Yen-Dollar exchange rates. In Part 3, a strategy in the Japanese Government Bond futures markets is shown to perform better than a buy and hold strategy.     

Japanese Companies in China: Problems of Human Resource Management

Much of China's recent economic growth has been driven by foreign funded enterprises (FFEs). They continue to invest heavily, making China the largest recipient of foreign direct investment (FDI) among all developing countries. Japanese firms have already shifted the focus of their FDI from the US to Asian countries, including China. However, there are many difficulties which Japanese companies have yet to over-come, especially in human resource management (HRM). Although FDI in China has become a significant phenomenon, it is still under-researched, and the role of Japanese firms and the transferability of Japanese-style management figure prominently amongst the relevant issues. Initial information allows us to make conclusions about which cultural, production, and product factors influence the importation of business systems.     

The trade credit channel revisited: evidence from micro data of Japanese small firms

It is suggested that trade credit can be a substitute for bank loans for small- and medium-sized enterprises (SMEs) that have little access to external funding sources. Using unique cross-sectional survey data of Japanese SMEs, we conduct a deep investigation into the substitutability between bank loans and trade credit. This survey contains rich information on the suppliers of trade credit to SMEs, thus enabling the examination of the channel through which credit is provided from suppliers to customers. We find that SMEs with little access to bank credit depend more on large suppliers for trade credit. We also find that when a purchase is made from a large supplier, more credit is indeed provided in the form of trade credit. Furthermore, this channel of credit from large suppliers to SMEs is only observed for solvent customers, not for insolvent customers. Our findings suggest that trade credit plays an important role for entrepreneurial firms over the financial growth cycle. For young and small firms with little access to bank loans trade credit is an important funding source.     

Multiple equilibria in two-sector monetary economies: An interplay between preferences and the timing for money

In this paper, we study the occurrence of local indeterminacy in two-sector monetary economies. We consider a general MIUF model with two alternative timings in monetary payments: the Cash-In-Advance timing, in which the cash available to buy goods is money in the consumers’ hands after they leave the bond market but before they enter the goods market, and the Cash-After-the-Market timing, in which agents hold money for transactions after leaving the goods market. We consider three standard specifications of preferences: the additively separable formulation, the Greenwood–Hercovitz–Huffman (GHH) (Greenwood et al., 1988) formulation and the King–Plosser–Rebelo (KPR) (King et al., 1988) formulation. First, we show that for all the three types of preferences, local indeterminacy occurs under the CIA timing with a low enough interest rate elasticity of money demand. Second, we show that with the CAM timing, although determinacy always holds under separable preferences, local indeterminacy can occur with GHH and KPR preferences. We thus prove that compared to aggregate models, two-sector models provide new rooms for local indeterminacy when non-separable standard preferences are considered.     

Stock price targeting and fiscal deficit in Japan: Why did the fiscal deficit increase during Japan’s lost decades?

The purpose of this paper is to explain why Japan’s fiscal deficit increased so dramatically in the 1990s and the 2000s. We focus on the role of “stock price targeting” to explain why the fiscal expenditure increased so much. After presenting a simple model to describe government behavior with an optimistic view about stock price and output growth, the paper tests whether the model can explain Japan’s fiscal expenditure. The empirical results, using biannual and high-frequency data of the 1990s and the 2000s, show that the stock price targeting can track Japan’s fiscal expenditure reasonably well, especially in the 1990s. They imply that without the stock price targeting, the total amount of biannual fiscal stimulus from 1992 to 2000 would have been lower by 2.5 trillion yen on average.     

Time preference and two-country trade

We present a dynamic two-country model of international trade with endogenous time preference. We show that if the two countries have similar preferences, production technologies and labor endowments, there exists a unique and stable steady state such that both consumption and investment goods are produced in both countries. Unlike the case of constant time preferences, the steady state is independent of the initial international distribution of capital. We prove a dynamic Heckscher–Ohlin theorem such that the labor-abundant country exports the labor-intensive good.     

Why Tour Guiding is Important for Ecotourism: Enhancing Guiding Quality with the Ecotourism Promotion Policy in Japan

The Ecotourism Promotion Policy in Japan requires tour guiding to be employed, although it provides little rationale for it. This paper reviews the literature to illustrate why tour guiding is important for achieving policy and ecotourism goals in order to support this requirement. An overview of ecotourism policy in Japan is provided, contributions of tour guiding to achieving the policy and ecotourism goals are described, and approaches to strengthening current practices along with the policy are discussed. It is suggested that non-profit organizations offer training to impart knowledge about guiding roles and interpretation at a national level and that ecotourism promotion councils teach knowledge about ecotour products and tourists at a regional level.