Takahiro Hattori

University of Tokyo - Graduate School of Public Policy

Tokyo

Japan

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 12,789

in Total Papers Downloads

6,703

SSRN CITATIONS
Rank 27,675

SSRN RANKINGS

Top 27,675

in Total Papers Citations

24

CROSSREF CITATIONS

14

Scholarly Papers (23)

1.

The Relationship Between Arbitrage in Futures and Spot Markets and Bitcoin Price Movements: Evidence From the Bitcoin Markets

Number of pages: 33 Posted: 27 Jul 2018 Last Revised: 09 Mar 2020
Takahiro Hattori and Ryo Ishida
University of Tokyo - Graduate School of Public Policy and Ministry of Finance - Japan - Policy Research Institute
Downloads 1,086 (35,400)
Citation 5

Abstract:

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Cryptocurrency, Bitcoin, Futures, Arbitrage, Intraday Data

2.

Yield Curve Control

International Journal of Central Banking, forthcoming
Number of pages: 40 Posted: 17 Jun 2019 Last Revised: 09 Sep 2022
Takahiro Hattori and Jiro Yoshida
University of Tokyo - Graduate School of Public Policy and Pennsylvania State University - Smeal College of Business
Downloads 764 (57,741)
Citation 1

Abstract:

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large-scale asset purchases (LSAP), quantitative easing (QE), central banking, JGB, bond-price support, high-frequency data, swap spread

3.

Noise as a liquidity measure: Evidence from the JGB market

Number of pages: 37 Posted: 19 Jun 2018 Last Revised: 18 Jan 2021
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 576 (82,690)
Citation 2

Abstract:

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Liquidity, Commonality of liquidity, Bank of Japan, JGB, Limits to Arbitrage

4.

The Impact of Quantitative and Qualitative Easing on Term Structure: Evidence From Micro-level Data

Number of pages: 30 Posted: 18 Sep 2017 Last Revised: 28 Oct 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 526 (92,656)
Citation 4

Abstract:

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Yield curve, Quantitative easing, Central banking, Market segmentation, Yield curve control

5.

Estimation of CCP Premium During the Financial Crisis of 2008: Evidence from Japanese Government Bond Market

Number of pages: 40 Posted: 13 Feb 2018 Last Revised: 12 Feb 2020
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 511 (96,003)
Citation 2

Abstract:

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term structure, financial crisis, central clearing, counterparty risk

6.

Did the Introduction of Bitcoin Futures Crash the Bitcoin Market at the End of 2017?

Number of pages: 24 Posted: 10 Jan 2019 Last Revised: 19 Mar 2020
Takahiro Hattori and Ryo Ishida
University of Tokyo - Graduate School of Public Policy and Ministry of Finance - Japan - Policy Research Institute
Downloads 433 (116,982)
Citation 6

Abstract:

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cryptocurrency, Bitcoin, futures, intraday data, vector autoregressive model

7.

The Impact of Bank of Japan’s Exchange-Traded Fund Purchases

Journal of Financial Stability, Forthcoming
Number of pages: 62 Posted: 08 May 2020 Last Revised: 09 Dec 2022
Takahiro Hattori and Jiro Yoshida
University of Tokyo - Graduate School of Public Policy and Pennsylvania State University - Smeal College of Business
Downloads 382 (135,112)
Citation 2

Abstract:

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large-scale asset purchases (LSAP), quantitative easing (QE), central banking, exchange-traded funds (ETF), unconventional monetary policy

8.

A Forecast Comparison of Volatility Models Using Realized Volatility: Evidence from the Bitcoin Market

Number of pages: 9 Posted: 28 Nov 2018 Last Revised: 09 Dec 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 358 (145,102)

Abstract:

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Cryptocurrency, Bitcoin, realized volatility, volatility modeling

9.

The Empirical Analysis of Bitcoin Market in the General Equilibrium Framework

Number of pages: 30 Posted: 11 Aug 2019
Jun Aoyagi and Takahiro Hattori
HKUST, Finance Department and University of Tokyo - Graduate School of Public Policy
Downloads 276 (190,930)
Citation 4

Abstract:

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cryptocurrency, asymmetric information, arbitrage, cointegration

10.

Do Fixed-Rate Purchase Operations by the Bank of Japan Control the Yield Curve? Evidence from High-Frequency Data

Number of pages: 24 Posted: 30 Aug 2017 Last Revised: 09 Mar 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 265 (198,969)
Citation 3

Abstract:

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Quantitative and Qualitative Easing (QQE), Central banking, Yield Curve Control (YCC), Fixed-rate purchase operations, High-frequency data

11.

Decomposing Municipal Bond Defaults and Liquidity Risk in Japan

Number of pages: 33 Posted: 21 Aug 2017 Last Revised: 19 Apr 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 188 (275,167)

Abstract:

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municipal bonds, public finance, default risk, liquidity premium

12.

Do Fiscal Policy News Shocks Affect JGB Yield? Evidence from COVID-19

Number of pages: 33 Posted: 12 Oct 2020 Last Revised: 15 Oct 2020
Takahiro Hattori and Motoki Katano
University of Tokyo - Graduate School of Public Policy and Ministry of Finance - Japan
Downloads 176 (291,519)

Abstract:

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Budget Deficit, Japanese Government Bond, Interest Rate, Fiscal News, COVID-19

13.

Discriminatory versus uniform auctions under non-competitive auction: Evidence from Japan

Number of pages: 38 Posted: 24 Sep 2020 Last Revised: 22 Mar 2022
Takahiro Hattori and Shogo Takahashi
University of Tokyo - Graduate School of Public Policy and Ministry of Finance - Japan
Downloads 175 (292,976)

Abstract:

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Discriminatory Auction; Uniform Auction; Markup; When-Issued Markets; Japanese Government Bond

14.

Do Liquidity Enhancement Auctions Improve the Market Liquidity in the JGB Market?

Number of pages: 19 Posted: 09 Feb 2019
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 145 (342,994)
Citation 2

Abstract:

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Liquidity, Japanese Government Bond, Liquidity Enhancement Auction

15.

The Bank of Japan as a Real Estate Tycoon: Large-Scale REIT Purchases

Handbook of Real Estate and Macroeconomics, Forthcoming
Number of pages: 32 Posted: 03 Apr 2020
Takahiro Hattori and Jiro Yoshida
University of Tokyo - Graduate School of Public Policy and Pennsylvania State University - Smeal College of Business
Downloads 131 (371,143)
Citation 2

Abstract:

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large-scale asset purchases (LSAP), quantitative easing (QE), central banking, real estate investment trust, unconventional monetary policy

16.

Does 5-Minute RV Outperform Other Realized Measures in the Cryptocurrency Market?

Number of pages: 20 Posted: 10 Jul 2019 Last Revised: 01 Apr 2020
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 127 (379,928)

Abstract:

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Cryptocurrency, Bitcoin, Realized volatility, Volatility modeling, High frequency data

17.

J-Liquidity Measure: The Term Structure of the Liquidity Premium in Japan

Number of pages: 41 Posted: 17 Apr 2018 Last Revised: 20 Jul 2018
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 124 (386,935)
Citation 1

Abstract:

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Bond Liquidity, Liquidity Risk, Term Structure of the Liquidity Premium

18.

Market Segmentation and Limits to Arbitrage under Negative Interest Rates: Evidence from the Bank of Japan’s QQE

Number of pages: 25 Posted: 10 Aug 2017 Last Revised: 15 Jan 2019
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 120 (398,866)

Abstract:

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Preferred Habitat, Market Segmentation, Quantitative Easing, Term Structure of Interest Rate, Zero Lower Bound

19.

Estimation of 10-year JGB yields: From 1961 to 1984

Number of pages: 10 Posted: 09 Jan 2021
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 105 (436,724)

Abstract:

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Japanese Government Bond, Interest Rate, Japanese History

20.

The Impact of Foreign Reserves on Developing Countries during the COVID-19 Pandemic: Evidence from a Natural Experiment

Number of pages: 20 Posted: 22 Nov 2021
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 98 (458,039)

Abstract:

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International Reserves, Special Drawing Rights, IMF, Sudden Stop, COVID-19

21.

Reserves and Risk: Evidence from China

Globalization Institute Working Paper No. 387
Number of pages: 40 Posted: 01 Jun 2020 Last Revised: 11 Jan 2022
Rasmus Fatum, Takahiro Hattori, Yohei Yamamoto and Yohei Yamamoto
University of Alberta - Department of Marketing, Business Economics & Law, University of Tokyo - Graduate School of Public Policy and Hitotsubashi UniversityTokyo Center for Economic Research (TCER)
Downloads 96 (464,287)

Abstract:

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22.

How Does Standardization Work in Derivative Markets? Evidence from the Options on Jgb Futures

Number of pages: 13 Posted: 14 Nov 2022
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 27 (821,150)

Abstract:

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Futures option, Standardization, Japanese Government Bond, Liquidity

23.

The Accumulation of Income Balance and its Relationship with Real Exchange Rate: Evidence from Japan

Number of pages: 11 Posted: 30 Mar 2023
Takahiro Hattori, Ayako Tomita and Kohei Asao
University of Tokyo - Graduate School of Public Policy, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 14 (942,404)

Abstract:

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Current account, Income account, International investment position, Exchange Rates, Japan