Takahiro Hattori

Ministry of Finance - Japan

3-1-1 Kasumigaseki

Chiyoda-ku

Tokyo, 100-8940

Japan

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 29,190

SSRN RANKINGS

Top 29,190

in Total Papers Downloads

1,528

CITATIONS

0

Scholarly Papers (11)

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 296 (99,971)

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 223 (133,960)

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 162 (179,256)

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 153 (189,203)

Abstract:

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

5.

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 148 (193,443)

Abstract:

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Cryptocurrency, Bitcoin, realized volatility, volatility modeling

6.

Flight to 'Futures' During the Financial Crisis: Deliverability Through Central Counterparties

Number of pages: 37 Posted: 13 Feb 2018 Last Revised: 01 Feb 2019
Takahiro Hattori
Ministry of Finance - Japan
Downloads 144 (197,751)

Abstract:

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term structure, financial crisis, central clearing, counterparty risk

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 134 (209,509)

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 108 (246,109)

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 (337,799)

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 52 (373,255)

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 44 (400,230)

Abstract:

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Liquidity, Japanese Government Bond, Liquidity Enhancement Auction