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

30

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Rank 2,922

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Top 2,922

in Total Papers Downloads

19,627

SSRN CITATIONS
Rank 1,794

SSRN RANKINGS

Top 1,794

in Total Papers Citations

361

CROSSREF CITATIONS

456

Scholarly Papers (30)

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1.

The Fundamentals of Commodity Futures Returns

Downloads 15,433 ( 385)
Citation 180

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 15,055 (401)
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 378 (125,697)
Citation 81

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2.

Commodity Futures: A Japanese Perspective

Downloads 1,308 (24,919)

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 743 (54,367)

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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 565 (77,510)
Citation 4

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commodity futures

3.

Emerging Market Currency Excess Returns

Downloads 966 (38,498)
Citation 17

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 910 (41,268)
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 56 (590,927)
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 199 (242,906)

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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 193 (249,690)

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6.

Exiting From QE

Downloads 181 (264,388)
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 142 (324,634)
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 Dec 2022
Fumio Hayashi and Junko Koeda
National Graduate Institute for Policy Studies and Waseda University - School of Political Science and Economics
Downloads 39 (690,546)
Citation 1

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7.

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 141 (325,768)
Citation 3

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8.

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 111 (389,410)

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9.

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 103 (410,401)

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10.

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 77 (496,067)

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nowcast revision analysis, Kalman recursion, least squares projection

11.

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 (544,097)
Citation 7

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12.

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 (557,340)
Citation 1

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13.

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 61 (557,340)
Citation 1

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14.

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 59 (566,416)
Citation 1

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

15.

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 59 (566,416)
Citation 12

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16.

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 (585,440)

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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 53 (595,238)
Citation 21

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18.

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 53 (595,238)
Citation 2

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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 51 (605,657)
Citation 10

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20.

Parental Altruism and Inter Vivos Transfers: Theory and Evidence

Downloads 50 (610,923)

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 50 (623,334)
Citation 28

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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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21.

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 49 (616,103)
Citation 7

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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 47 (626,875)

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

23.

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 42 (655,247)
Citation 1

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24.

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 (661,126)

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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 40 (667,180)

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26.

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 37 (686,040)

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27.

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 34 (705,737)
Citation 2

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28.

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 (726,515)

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29.

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 28 (748,269)
Citation 1

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30.

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