Takahiro Hattori

Ministry of Finance - Japan

3-1-1 Kasumigaseki

Chiyoda-ku

Tokyo, 100-8940

Japan

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 25,673

SSRN RANKINGS

Top 25,673

in Total Papers Downloads

1,803

CITATIONS
Rank 39,946

SSRN RANKINGS

Top 39,946

in Total Papers Citations

12

Scholarly Papers (14)

1.

Do Investors Arbitrage in the Cryptocurrency Market? Evidence from the Bitcoin Futures Market

Number of pages: 25 Posted: 27 Jul 2018 Last Revised: 11 Feb 2019
Takahiro Hattori and Ryo Ishida
Ministry of Finance - Japan and Ministry of Finance - Japan - Policy Research Institute
Downloads 334 (89,092)
Citation 3

Abstract:

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Cryptocurrency, Bitcoin, Futures, Arbitrage, Intraday Data

2.

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
Ministry of Finance - Japan
Downloads 251 (121,032)
Citation 3

Abstract:

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

3.

Noise as a Liquidity Measure in the Japanese Market: Evidence from Quantitative and Qualitative Easing by the Bank of Japan

Number of pages: 35 Posted: 19 Jun 2018 Last Revised: 10 Feb 2019
Takahiro Hattori
Ministry of Finance - Japan
Downloads 199 (151,687)
Citation 2

Abstract:

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Liquidity, Quantitative and Qualitative Easing, Bank of Japan, Security Lending Facility

4.

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

Number of pages: 23 Posted: 10 Jan 2019 Last Revised: 04 Mar 2019
Takahiro Hattori and Ryo Ishida
Ministry of Finance - Japan and Ministry of Finance - Japan - Policy Research Institute
Downloads 182 (165,427)
Citation 1

Abstract:

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

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: 09 Jul 2019
Takahiro Hattori
Ministry of Finance - Japan
Downloads 170 (174,903)

Abstract:

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term structure, financial crisis, central clearing, counterparty risk

6.

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
Ministry of Finance - Japan
Downloads 164 (180,357)

Abstract:

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Cryptocurrency, Bitcoin, realized volatility, volatility modeling

7.

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
Ministry of Finance - Japan
Downloads 138 (208,014)
Citation 2

Abstract:

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

8.

Decomposing Municipal Bond Defaults and Liquidity Risk in Japan

Number of pages: 33 Posted: 21 Aug 2017 Last Revised: 19 Apr 2018
Takahiro Hattori
Ministry of Finance - Japan
Downloads 111 (245,264)

Abstract:

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municipal bonds, public finance, default risk, liquidity premium

9.

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
Ministry of Finance - Japan
Downloads 64 (343,558)
Citation 2

Abstract:

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

10.

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
Ministry of Finance - Japan
Downloads 54 (373,366)

Abstract:

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

11.

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

Number of pages: 19 Posted: 09 Feb 2019
Takahiro Hattori
Ministry of Finance - Japan
Downloads 51 (382,990)
Citation 1

Abstract:

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Liquidity, Japanese Government Bond, Liquidity Enhancement Auction

12.

Return of the Bond-Price Support Regime: Bank of Japan’s Dual Bond-Purchase Program

Number of pages: 37 Posted: 17 Jun 2019
Takahiro Hattori and Jiro Yoshida
Ministry of Finance - Japan and Pennsylvania State University - Smeal College of Business
Downloads 48 (393,194)

Abstract:

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Large Scale Asset Purchases (LSAP), Quantitative Easing (QE), central banking, JGB, bond-price support, high-frequency data, swap spread

13.

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

Number of pages: 12 Posted: 10 Jul 2019
Takahiro Hattori
Ministry of Finance - Japan
Downloads 20 (519,268)

Abstract:

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Cryptocurrency, Bitcoin, realized volatility, volatility modeling, High frequency data

14.

The Empirical Analysis of Bitcoin Market in the General Equilibrium Framework

Number of pages: 30 Posted: 11 Aug 2019
Jun Aoyagi and Takahiro Hattori
University of California, Berkeley - Department of Economics and Ministry of Finance - Japan
Downloads 17 (536,806)

Abstract:

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cryptocurrency, asymmetric information, arbitrage, cointegration