Fumio Hayashi

National Graduate Institute for Policy Studies

Professor

Roppongi 7-22-1

Minato-ku

Tokyo, 106-0032

Japan

http://https://sites.google.com/site/fumiohayashi/home

GRIPS

7-22-1 Roppongi, Minato-Ku

Tokyo 106-8677, Tokyo 106-8677

Japan

  • National Graduate Institute for Policy Studies

  • GRIPS

SCHOLARLY PAPERS

31

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19,953

SSRN CITATIONS
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Top 1,839

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379

CROSSREF CITATIONS

454

Scholarly Papers (31)

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1.

The Fundamentals of Commodity Futures Returns

Downloads 15,537 ( 417)
Citation 184

The Fundamentals of Commodity Futures Returns

Yale ICF Working Paper No. 07-08
Number of pages: 62 Posted: 28 Jun 2007 Last Revised: 07 Feb 2012
Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
Downloads 15,144 (439)
Citation 34

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Commodity, Futures, Theory of Storage, Inventories, Backwardation, Hedging Pressure, Futures Trading

The Fundamentals of Commodity Futures Returns

NBER Working Paper No. w13249
Number of pages: 63 Posted: 13 Jul 2007 Last Revised: 15 Sep 2022
Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
Downloads 393 (125,000)
Citation 84

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2.

Commodity Futures: A Japanese Perspective

Downloads 1,316 (25,767)

Commodity Futures: A Japanese Perspective

Yale ICF Working Paper No. 05-27
Number of pages: 25 Posted: 03 Nov 2005
Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
Downloads 747 (56,306)

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commodities, futures, commodity, index, diversification

Commodity Futures: A Japanese Perspective

Yale ICF Working Paper No. 05-27
Number of pages: 24 Posted: 15 Aug 2006
Gary B. Gorton, Fumio Hayashi and K. Geert Rouwenhorst
Yale School of Management, National Graduate Institute for Policy Studies and Yale School of Management - International Center for Finance
Downloads 569 (80,008)
Citation 4

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commodity futures

3.

Emerging Market Currency Excess Returns

Downloads 970 (39,913)
Citation 18

Emerging Market Currency Excess Returns

Number of pages: 54 Posted: 24 Nov 2008 Last Revised: 14 May 2020
Stephen W. Gilmore and Fumio Hayashi
AIG Financial Products - Banque AIG and National Graduate Institute for Policy Studies
Downloads 913 (42,865)
Citation 6

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Emerging Market Currencies, Risk Premium, Bid/Offer Spreads, FX Swaps

Emerging Market Currency Excess Returns

NBER Working Paper No. w14528
Number of pages: 63 Posted: 09 Dec 2008 Last Revised: 12 Sep 2022
Stephen W. Gilmore and Fumio Hayashi
AIG Financial Products - Banque AIG and National Graduate Institute for Policy Studies
Downloads 57 (609,931)
Citation 1

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4.

Nowcasting Japan's GDP

Number of pages: 39 Posted: 09 Jun 2020 Last Revised: 19 Oct 2020
Fumio Hayashi and Yuta Tachi
National Graduate Institute for Policy Studies and University of Texas at Austin
Downloads 206 (244,485)

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nowcasting, real-time data, dynamic factor models, state-space models

5.

Is There a Liquidity Effect in the Japanese Market?

Number of pages: 42 Posted: 09 Aug 2000
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 194 (258,163)

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6.

Exiting From QE

Downloads 185 (269,505)
Citation 4

Exiting From QE

Number of pages: 67 Posted: 03 Feb 2018
Fumio Hayashi and Junko Koeda
National Graduate Institute for Policy Studies and Waseda University - School of Political Science and Economics
Downloads 145 (331,730)
Citation 1

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Quantitative Easing, Effective Lower Bound, Structural Vector Autoregression, Monetary Policy, Taylor Rule, Impulse Responses, Bank of Japan

Exiting from QE

NBER Working Paper No. w19938
Number of pages: 68 Posted: 03 Mar 2014 Last Revised: 25 Jun 2023
Fumio Hayashi and Junko Koeda
National Graduate Institute for Policy Studies and Waseda University - School of Political Science and Economics
Downloads 40 (713,108)
Citation 1

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7.

The Root Cause of Japan's 30-year Stagnation: Implications for the U.S., Europe, and East Asia

Number of pages: 35 Posted: 18 Sep 2023
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 151 (322,252)

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Japan's stagnation, population aging, demographic transition, China

8.

Research and Development as an Investment

NBER Working Paper No. w2973
Number of pages: 45 Posted: 28 Jun 2004 Last Revised: 18 Aug 2022
Bronwyn H. Hall and Fumio Hayashi
University of California at Berkeley and National Graduate Institute for Policy Studies
Downloads 142 (336,632)
Citation 3

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9.

The Effects of Income and Wealth on Time and Money Transfers between Parents and Children

NBER Working Paper No. w5522
Number of pages: 62 Posted: 19 May 1998 Last Revised: 05 Aug 2022
Joseph G. Altonji, Fumio Hayashi and Laurence J. Kotlikoff
Yale University - Economic Growth Center, National Graduate Institute for Policy Studies and Boston University - Department of Economics
Downloads 115 (394,460)
Citation 2

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10.

Can it Be Japan's Savior?

NBER Working Paper No. w11749
Number of pages: 36 Posted: 20 Jul 2006 Last Revised: 10 Aug 2022
Fumio Hayashi and Koji Nomura
National Graduate Institute for Policy Studies and Keio University - Keio Economic Observatory
Downloads 105 (421,024)

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11.

Generalized Nowcast Revision Analysis

Number of pages: 17 Posted: 16 Aug 2021
Fumio Hayashi and Yuta Tachi
National Graduate Institute for Policy Studies and Reitaku University
Downloads 81 (497,357)

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nowcast revision analysis, Kalman recursion, least squares projection

12.

Affine Term Structure Pricing with Bond Supply as Factors

FRB Atlanta CQER Working Paper No. 2016-1
Number of pages: 19 Posted: 25 Apr 2016
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 68 (548,690)
Citation 1

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ATSM, yield curves, portfolio balance channel, supply of government bonds, impulse responses

13.

The Relation between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms

NBER Working Paper No. w3326
Number of pages: 41 Posted: 07 Aug 2007 Last Revised: 05 Aug 2022
Fumio Hayashi and Taroh Inoue
National Graduate Institute for Policy Studies and Motorola Japan Ltd.
Downloads 64 (566,371)
Citation 7

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14.

The Main Bank System and Corporate Investment: An Empirical Reassessment

NBER Working Paper No. w6172
Number of pages: 25 Posted: 14 Jun 2000 Last Revised: 15 May 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 62 (575,291)
Citation 1

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15.

Tests for Liquidity Constraints: a Critical Survey

NBER Working Paper No. w1720
Number of pages: 46 Posted: 04 Jul 2004 Last Revised: 15 Sep 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 61 (579,845)
Citation 1

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16.

The Depressing Effect of Agricultural Institutions on the Prewar Japanese Economy

NBER Working Paper No. w12081
Number of pages: 67 Posted: 11 May 2006 Last Revised: 07 Jul 2022
Fumio Hayashi and Edward C. Prescott
National Graduate Institute for Policy Studies and Arizona State University (ASU) - Economics Department
Downloads 60 (584,570)
Citation 12

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17.

Is the Extended Family Altruistically Linked? Direct Tests Using Micro Data

NBER Working Paper No. w3046
Number of pages: 60 Posted: 14 Apr 2007 Last Revised: 30 Oct 2022
Joseph G. Altonji, Fumio Hayashi and Laurence J. Kotlikoff
Yale University - Economic Growth Center, National Graduate Institute for Policy Studies and Boston University - Department of Economics
Downloads 55 (609,383)
Citation 21

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18.

A Model of Fiat Money and Barter

NBER Working Paper No. w4919
Number of pages: 28 Posted: 08 Jul 2000
Fumio Hayashi and Akihiko Matsui
National Graduate Institute for Policy Studies and University of Tokyo - Faculty of Economics
Downloads 55 (609,383)

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19.

The Permanent Income Hypothesis and Consumption Durability: Analysis Based on Japanese Panel Data

NBER Working Paper No. w1305
Number of pages: 63 Posted: 16 Jul 2004 Last Revised: 28 Jul 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 54 (614,620)
Citation 10

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20.

Housing Finance Imperfections and Private Saving: a Comparative Simulation Analysis of the U.S. And Japan

NBER Working Paper No. w2272
Number of pages: 33 Posted: 30 Jul 2001 Last Revised: 18 Sep 2022
Fumio Hayashi, Takatoshi Ito and Joel B. Slemrod
National Graduate Institute for Policy Studies, University of Tokyo - Faculty of Economics and University of Michigan, Stephen M. Ross School of Business
Downloads 54 (614,620)
Citation 2

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21.

Parental Altruism and Inter Vivos Transfers: Theory and Evidence

Downloads 54 (614,620)

Parental Altruism and Inter Vivos Transfers: Theory and Evidence

NBER Working Paper No. w5378
Number of pages: 59 Posted: 19 Jul 2000 Last Revised: 12 Sep 2022
Joseph G. Altonji, Fumio Hayashi and Laurence J. Kotlikoff
Yale University - Economic Growth Center, National Graduate Institute for Policy Studies and Boston University - Department of Economics
Downloads 54 (626,271)
Citation 29

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Parental Altruism and Inter Vivos Transfers: Theory and Evidence

Journal of Political Economy 105, 6 (December 1997)
Posted: 26 Mar 1998
Joseph G. Altonji, Fumio Hayashi and Laurence J. Kotlikoff
Yale University - Economic Growth Center, National Graduate Institute for Policy Studies and Boston University - Department of Economics

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22.

Computing Equilibrium Bond Prices in the Vayanos-Vila Model

Number of pages: 30 Posted: 27 Oct 2017
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 53 (619,869)

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Vayanos-Vila model; computation; maturity structure; yield curve; risk premia

23.

The Effect of Liquidity Constraints on Consumption: A Cross-Sectional Analysis

NBER Working Paper No. w0882
Number of pages: 46 Posted: 07 Jan 2008 Last Revised: 01 Dec 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 50 (636,020)
Citation 12

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24.

Japan's Saving Rate: New Data and Reflections

NBER Working Paper No. w3205
Number of pages: 36 Posted: 08 Jun 2004 Last Revised: 06 Oct 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 45 (664,592)
Citation 1

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25.

Risk-Sharing, Altruism, and the Factor Structure of Consumption

NBER Working Paper No. w3834
Number of pages: 49 Posted: 28 Jun 2004 Last Revised: 25 Dec 2022
Fumio Hayashi, Joseph G. Altonji and Laurence J. Kotlikoff
National Graduate Institute for Policy Studies, Yale University - Economic Growth Center and Boston University - Department of Economics
Downloads 42 (682,873)

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26.

Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology

NBER Working Paper No. w3421
Number of pages: 37 Posted: 08 Nov 2011 Last Revised: 07 Nov 2022
Fumio Hayashi and Ravi Jagannathan
National Graduate Institute for Policy Studies and Northwestern University - Kellogg School of Management
Downloads 41 (689,128)

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27.

Real and Financial Decisions of a Firm with Bankruptcy and Default: An Integration

NBER Working Paper No. w1097
Number of pages: 67 Posted: 23 Aug 2000 Last Revised: 03 Jul 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 38 (708,922)

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28.

Is the Japanese Extended Family Altruistically Linked? A Test Based on Engel Curves

NBER Working Paper No. w5033
Number of pages: 21 Posted: 26 Jul 2000
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 35 (729,441)
Citation 2

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29.

Taxes and Corporate Investment in Japanese Manufacturing

NBER Working Paper No. w1753
Number of pages: 45 Posted: 14 Jan 2001 Last Revised: 17 Oct 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 31 (758,796)

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30.

Measuring Depreciation for Japan: Rejoinder to Dekle and Summers

NBER Working Paper No. w3836
Number of pages: 19 Posted: 03 Jul 2007 Last Revised: 26 Dec 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 29 (774,216)
Citation 1

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31.

Analytically Deriving Risk-Neutral Densities from Volatility Smiles

The Journal of Derivatives, Summer 2020; DOI: https://doi.org/10.3905/jod.2020.1.099
Posted: 27 Jul 2019
Fumio Hayashi
National Graduate Institute for Policy Studies

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options, risk-neutral densities, volatility smiles, the delta