Takahiro Hattori

Hitotsubashi University

2-1 Naka Kunitachi-shi

Tokyo 186-8601

Japan

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 18,657

SSRN RANKINGS

Top 18,657

in Total Papers Downloads

2,806

SSRN CITATIONS
Rank 43,259

SSRN RANKINGS

Top 43,259

in Total Papers Citations

4

CROSSREF CITATIONS

10

Scholarly Papers (17)

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
Hitotsubashi University and Ministry of Finance - Japan - Policy Research Institute
Downloads 522 (57,510)
Citation 2

Abstract:

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Cryptocurrency, Bitcoin, Futures, Arbitrage, Intraday Data

2.

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
Hitotsubashi University
Downloads 338 (96,308)
Citation 2

Abstract:

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

3.

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
Hitotsubashi University
Downloads 311 (105,531)
Citation 5

Abstract:

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

4.

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
Hitotsubashi University
Downloads 283 (116,837)

Abstract:

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term structure, financial crisis, central clearing, counterparty risk

5.

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
Hitotsubashi University and Ministry of Finance - Japan - Policy Research Institute
Downloads 249 (133,520)
Citation 2

Abstract:

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

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
Hitotsubashi University
Downloads 204 (161,683)

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
Hitotsubashi University
Downloads 173 (187,610)
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.

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
Hitotsubashi University and Pennsylvania State University - Smeal College of Business
Downloads 147 (215,209)
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

9.

Decomposing Municipal Bond Defaults and Liquidity Risk in Japan

Number of pages: 33 Posted: 21 Aug 2017 Last Revised: 19 Apr 2018
Takahiro Hattori
Hitotsubashi University
Downloads 126 (242,938)

Abstract:

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municipal bonds, public finance, default risk, liquidity premium

10.

Bank of Japan as a Contrarian Stock Investor: Large-Scale ETF Purchases

Number of pages: 12 Posted: 08 May 2020
Takahiro Hattori and Jiro Yoshida
Hitotsubashi University and Pennsylvania State University - Smeal College of Business
Downloads 85 (317,629)

Abstract:

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

11.

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 Hitotsubashi University
Downloads 77 (336,847)

Abstract:

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cryptocurrency, asymmetric information, arbitrage, cointegration

12.

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
Hitotsubashi University
Downloads 70 (355,357)
Citation 2

Abstract:

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

13.

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
Hitotsubashi University
Downloads 65 (369,514)

Abstract:

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

14.

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

Number of pages: 19 Posted: 09 Feb 2019
Takahiro Hattori
Hitotsubashi University
Downloads 60 (384,725)

Abstract:

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Liquidity, Japanese Government Bond, Liquidity Enhancement Auction

15.

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
Hitotsubashi University
Downloads 49 (422,119)

Abstract:

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

16.

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
Hitotsubashi University and Pennsylvania State University - Smeal College of Business
Downloads 35 (484,068)
Citation 1

Abstract:

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

17.

Reserves and Risk: Evidence from China

Globalization and Monetary Policy Institute Working Paper No. 387
Number of pages: 40 Posted: 01 Jun 2020
Rasmus Fatum, Takahiro Hattori and Yohei Yamamoto
University of Alberta - Department of Marketing, Business Economics & Law, Hitotsubashi University and Hitotsubashi University
Downloads 12 (614,726)

Abstract:

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International reserves, risk taking, China