Takahiro Hattori

University of Tokyo - Graduate School of Public Policy

Tokyo

Japan

SCHOLARLY PAPERS

21

DOWNLOADS
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5,816

SSRN CITATIONS
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SSRN RANKINGS

Top 36,711

in Total Papers Citations

9

CROSSREF CITATIONS

12

Scholarly Papers (21)

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 987 (32,804)
Citation 5

Abstract:

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Cryptocurrency, Bitcoin, Futures, Arbitrage, Intraday Data

2.

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 543 (72,488)
Citation 2

Abstract:

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

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
University of Tokyo - Graduate School of Public Policy
Downloads 482 (83,883)
Citation 4

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
University of Tokyo - Graduate School of Public Policy
Downloads 474 (85,571)
Citation 1

Abstract:

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term structure, financial crisis, central clearing, counterparty risk

5.

Yield Curve Control

Number of pages: 40 Posted: 17 Jun 2019 Last Revised: 10 Aug 2022
Takahiro Hattori and Jiro Yoshida
University of Tokyo - Graduate School of Public Policy and Pennsylvania State University - Smeal College of Business
Downloads 427 (96,766)
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

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 406 (102,502)
Citation 6

Abstract:

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

7.

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 326 (130,895)

Abstract:

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Cryptocurrency, Bitcoin, realized volatility, volatility modeling

8.

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

Number of pages: 62 Posted: 08 May 2020 Last Revised: 01 Aug 2022
Takahiro Hattori and Jiro Yoshida
University of Tokyo - Graduate School of Public Policy and Pennsylvania State University - Smeal College of Business
Downloads 308 (138,898)
Citation 2

Abstract:

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

9.

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 264 (162,651)
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

10.

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 209 (203,454)
Citation 1

Abstract:

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cryptocurrency, asymmetric information, arbitrage, cointegration

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 186 (225,753)

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 174 (239,096)

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 168 (246,204)

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 138 (288,754)
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 123 (314,927)
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 123 (314,927)

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 122 (316,726)
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 118 (324,288)

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 104 (353,689)

Abstract:

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Japanese Government Bond, Interest Rate, Japanese History

20.

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 79 (418,854)

Abstract:

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21.

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 55 (503,639)

Abstract:

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