Takahiro Hattori

University of Tokyo - Graduate School of Public Policy

Tokyo

Japan

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 14,211

SSRN RANKINGS

Top 14,211

in Total Papers Downloads

7,313

TOTAL CITATIONS
Rank 29,969

SSRN RANKINGS

Top 29,969

in Total Papers Citations

31

Scholarly Papers (25)

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 1,205 (37,486)
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 1,003 (48,804)
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 599 (96,716)
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 567 (103,726)
Citation 4

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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 524 (114,419)
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 466 (132,465)
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 439 (141,566)
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 395 (159,736)

Abstract:

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Cryptocurrency, Bitcoin, realized volatility, volatility modeling

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 270 (240,495)
Citation 3

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

10.

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 192 (334,437)

Abstract:

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municipal bonds, public finance, default risk, liquidity premium

11.

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 186 (344,407)

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

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 178 (358,326)

Abstract:

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

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 139 (442,067)

Abstract:

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

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

Number of pages: 12 Posted: 13 Feb 2024
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 18 (1,196,417)

Abstract:

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International reserves, Special Drawing Rights, IMF, Sudden stop, COVID-19.

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

Number of pages: 11 Posted: 23 Jan 2024
Takahiro Hattori
University of Tokyo - Graduate School of Public Policy
Downloads 16 (1,223,946)

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International reserves, Special Drawing Rights, IMF, Sudden stop, COVID-19.

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 150 (415,029)
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 137 (446,282)
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.

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 130 (465,509)
Citation 1

Abstract:

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

17.

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 129 (468,282)

Abstract:

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

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 122 (489,186)
Citation 1

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

19.

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 109 (532,549)

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20.

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 107 (540,013)

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Japanese Government Bond, Interest Rate, Japanese History

21.

Incomplete Information and Investment Inaction

Number of pages: 59 Posted: 23 Sep 2024 Last Revised: 21 Dec 2024
University of Florida, Clemson University, University of Florida - Department of Economics, University of Tokyo - Graduate School of Public Policy and University of Florida - Department of Economics
Downloads 104 (551,407)

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Heterogeneous Firms, Incomplete Information, Irreversible Investment, Heterogeneous Beliefs, Misallocation, Investment Volatility

22.

REIT Equity Financing and Capital Investment in the Presence of the Central Bank Put

Number of pages: 40 Posted: 01 May 2024
Takahiro Hattori and Jiro Yoshida
University of Tokyo - Graduate School of Public Policy and Pennsylvania State University - Smeal College of Business
Downloads 50 (829,155)

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

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 36 (951,673)

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

24.

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 36 (951,673)

Abstract:

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Futures option, Standardization, Japanese Government Bond, Liquidity

25.

Population Growth, Employment Protection, and Firm-Level Distortions

Number of pages: 31 Posted: 14 Mar 2025
Cheng Chen and Takahiro Hattori
Clemson University and University of Tokyo - Graduate School of Public Policy
Downloads 6 (1,286,420)

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population growth, employment protection and firing cost, firm-level distortions