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

DOWNLOADS
Rank 2,625

SSRN RANKINGS

Top 2,625

in Total Papers Downloads

19,042

SSRN CITATIONS
Rank 1,727

SSRN RANKINGS

Top 1,727

in Total Papers Citations

269

CROSSREF CITATIONS

462

Scholarly Papers (30)

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1.

The Fundamentals of Commodity Futures Returns

Downloads 15,166 ( 342)
Citation 160

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 14,825 (349)
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: 16 Mar 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 341 (123,719)
Citation 58

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2.

Commodity Futures: A Japanese Perspective

Downloads 1,276 ( 22,543)

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 727 (49,072)

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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 549 (70,532)
Citation 4

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commodity futures

3.

Emerging Market Currency Excess Returns

Downloads 943 ( 34,883)
Citation 15

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 897 (36,925)
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: 14 Mar 2021
Stephen W. Gilmore and Fumio Hayashi
AIG Financial Products - Banque AIG and National Graduate Institute for Policy Studies
Downloads 46 (552,577)
Citation 1

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4.

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 189 (223,182)

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5.

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 161 (256,030)

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

6.

Exiting From QE

Downloads 159 (257,393)
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 129 (304,534)
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 2022
Fumio Hayashi and Junko Koeda
National Graduate Institute for Policy Studies and Waseda University - School of Political Science and Economics
Downloads 30 (645,567)
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: 16 Feb 2022
Bronwyn H. Hall and Fumio Hayashi
University of California at Berkeley and National Graduate Institute for Policy Studies
Downloads 128 (306,806)
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 96 (373,939)

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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: 07 Feb 2022
Fumio Hayashi and Koji Nomura
National Graduate Institute for Policy Studies and Keio University - Keio Economic Observatory
Downloads 89 (392,218)

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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 60 (490,540)

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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 59 (490,540)
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: 16 Mar 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 57 (498,437)
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 55 (506,608)
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 52 (519,552)

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

15.

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 49 (532,934)
Citation 10

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16.

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 Jun 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 46 (546,912)
Citation 7

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17.

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 46 (546,912)
Citation 7

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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: 19 Mar 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 45 (551,750)
Citation 2

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19.

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 41 (571,896)

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20.

Japan's Saving Rate: New Data and Reflections

NBER Working Paper No. w3205
Number of pages: 36 Posted: 08 Jun 2004 Last Revised: 06 Apr 2022
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 40 (577,055)
Citation 1

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21.

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 Apr 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 39 (582,311)
Citation 22

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22.

Parental Altruism and Inter Vivos Transfers: Theory and Evidence

Downloads 38 (582,311)

Parental Altruism and Inter Vivos Transfers: Theory and Evidence

NBER Working Paper No. w5378
Number of pages: 59 Posted: 19 Jul 2000 Last Revised: 14 Mar 2021
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 38 (595,355)
Citation 16

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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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23.

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 36 (599,016)

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

24.

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 Jun 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 35 (604,683)

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25.

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 30 (635,375)

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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: 09 May 2021
Fumio Hayashi and Ravi Jagannathan
National Graduate Institute for Policy Studies and Northwestern University - Kellogg School of Management
Downloads 28 (648,742)

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27.

Taxes and Corporate Investment in Japanese Manufacturing

NBER Working Paper No. w1753
Number of pages: 45 Posted: 14 Jan 2001 Last Revised: 18 Apr 2021
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 27 (655,770)

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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 27 (655,770)
Citation 2

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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: 27 Jun 2021
Fumio Hayashi
National Graduate Institute for Policy Studies
Downloads 25 (670,324)
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