Pricing Nikkei 225 Options Using Realized Volatility

This article examines option pricing performance using realized volatilities with or without handling microstructure noise, non‐trading hours and large jumps. The dynamics of realized volatility is specified by ARFIMA(X) and HAR(X) models. The main results using put options on the Nikkei 225 index are that: (i) the ARFIMAX model performs best; (ii) the Hansen and Lunde (2005a) adjustment for non‐trading hours improves the performance; (iii) methods for reducing microstructure noise‐induced bias yield better performance, while if the Hansen–Lunde adjustment is used, the other methods are not necessarily needed; and (iv) the performance is unaffected by removing large jumps from realized volatility.     

Interpolating the Lorenz Curve: Methods to Preserve Shape and Remain Consistent with the Concentration Curves for Components

C¹‐class interpolation methods that preserve monotonicity and convexity and are thus suitable for the estimation of the Lorenz curve from grouped data are not widely known. Instead, parametric models are usually applied for such estimation. Parametric models, however, have difficulty in accurately approximating every part of income/expenditure distributions. This paper proposes two types of C¹‐class shape‐preserving interpolation methods. One is a piecewise rational polynomial interpolation (proposed independently by Stineman and Delbourgo) that enables consistent interpolation of the concentration curves for income/expenditure components, attaining approximately the same accuracy as that of the existing methods when applied to decile‐grouped data or to more detailed aggregation. Another is a Hybrid interpolation that employs pieces of curves derived from parametric models on end intervals. Empirical comparisons show that the Hybrid interpolation (with the assistance of parametric models for class‐boundary estimation) outperforms the existing methods even when applied to quintile‐grouped data without class boundaries.     

Coverage area expansion, customer switching, and household profiles in the Japanese broadband access market

This paper examines the diffusion process of Internet broadband access in Japan by modeling the household choice of access modes. Estimates reveal that the characteristics of users, rather than those of the access modes, play a significant role in demand substitution across the modes. Simulation exercises indicate that had optic fibers (fiber-to-the-home; FTTH) been made available to the whole country in 2005, only 10% of households would have switched to that mode. This result implies that once chosen, the household choice of access mode persists, and that indirect network effects are an important element in decisions to adopt the new technology of broadband. Finally, policy implications are discussed.     

An analysis of the intra-firm sales activities of Japanese multinational enterprises in the United States: 1977 to 1989

This paper examines the activities of the largest Japanese multinational enterprises (MNEs) operating in the United States by looking at data on exports, imports, and intra-firm trade between the Japanese subsidiaries in the United States and their parent and other foreign groups. It also examines how much of the domestic sales in the United States are accounted for by local production of the Japanese subsidiaries. Sales data provide an indication of the advantages of being multinational, which are mirrored in the growth of the post-investment sales of overseas units (both manufacturing and non-manufacturing). Data on the flows and stocks of foreign direct investment (FDI) represent the initial decisions to undertake FDI and largely ignore the learning effects of having overseas production.The authors are from the City University of Hong Kong and NORTACK Software Limited. We would like to thank the Editor, Dr Leung Hing-Man, the anonymous referees, and Don Daly, Wendy Dobson, Hiroaki Izumi, Terutomo Ozawa, Alan M Rugman and Rob Tran for their helpful comments. All errors and omissions, however, remain the responsibility of the authors.     

The role of preconceived ideas in macroeconomic policy: Japan's experiences in two deflationary periods

This paper examines the role of misleading economic ideas that most likely promoted the economic disasters of the two deflationary periods in Japanese economic history. Misleading ideas deepened the depression during the interwar years, and erroneous thinking has prolonged the stagnation of the Japanese economy since the 1990s. While the current framework of political economy is based on the self-interest of political agents as well as of voters, we highlight the role of ideas in policy making, in particular, in the field of macroeconomy where the incidence of a particular policy is not clear to the public. Using two significant examples, this paper illustrates the role of preconceived ideas, in contrast to economic interests, as dominant forces influencing economic policy making.     

Horizontal mergers and divestment dynamics in a sunset industry

Industries with declining demand tend to be riddled with chronic excess capital due to the presence of a business‐stealing effect and fixed costs. This article highlights the potential of mergers to internalize this business‐stealing effect and thereby promote divestment. Using the case of mergers in the Japanese cement industry, it examines whether such merger‐induced divestment improves total welfare based on a dynamic model of divestment. The findings suggest that merged firms indeed tended to reduce capital more actively and that, as a result of these mergers, total welfare improved despite a reduction in the consumer surplus.     

近代日本老工业城市发展过程中"社宅街"的形成、演变及改良

"棚户区"改造是我国老工业城市更新改造的难点和重点。近代日本在矿工业快速发展的过程中也面临类似的问题,即"社宅问题"。日本的"社宅"发展在不同历史时期内表现出不同的形态特征和具体问题。日本政府为解决这些问题出台过多项政策,并开展了相应的工程实践。文章介绍了日本"社宅"产生的时代背景、各历史时期的具体特征和改良政策,分析论述了1970年代末期开始的"小规模矿区居住区改良工程"的实施办法,提出了日本"社宅"改造对于我国的借鉴意义。     

Supplier density and at-home care use in Japan: Evidence from a micro-level survey on long-term care receivers

Following the introduction of the long-term care insurance scheme and deregulation of the market for at-home care services, Japan experienced a substantial increase in expenditure on care for the elderly. Using household-level survey data, we empirically examine whether the increase in care expenditure is associated with supplier density springing from the rise in the number of care providers following deregulation. We provide weak evidence that supplier density in the at-home care market is positively correlated with probability to use care or expenditure on care. Moreover, we find no link between the share of for-profit providers and the demand for at-home care services.     

Peliosis of the spleen with intraperitoneal hemorrhage

We encountered a patient with steroidrelated peliosis of the spleen, a rare disease characterized by multiple blood-filled cavities in the splenic parenchyma, with spontaneous intraperitoneal hemorrhage. The ultrasonographic, computed tomographic, and angiographic images were compared with pathologic findings of the material obtained surgically.