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Jun Nagayasu

Section

Graduate School of Economics and Management

Job title

Professor

Degree

Ｐｈ．Ｄ．（ストラスクライド大学）
Ｍ．Ｓ．（グラスゴー大学）
Master of Philosophy（グラスゴー大学）

researchmap

https://researchmap.jp/jun_nagayasu

J-GLOBAL ID

200901037829641533

ORCID

https://orcid.org/0000-0003-0850-1451

Research History 6

2015/04 - Present

Tohoku University　Graduate School of Economics and Management　Professor
2011/10 -

University of Tsukuba　Division of Policy and Planning Sciences　Associate Professor
2004/04 -

Graduate School of Systems & Information Engineering　Associate Professor
2003/11 -

University of Tsukuba　Institute of Policy and Planning Sciences　Associate Professor
1997/10 -

International Monetary Fund:　Economist
1997/04 -

Nomura International Plc/Nomura Research Institute:　Quantitative analyst

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Education 4

Scottish Graduate Programme in Economics UK (PhD Economics, Strathclyde) UK

1998 -
Scottish Graduate Programme in Economics (MSc Economics, Glasgow) UK

1994 -
University of Glasgow　(MPhil Economics) UK

1993 -
Sophia University Japan (BA Business & Economics)

1991 -

Committee Memberships 2

Japan Society of Monetary Economics　Co-editor, Japanese Journal of Monetary and Financial Economics

2022/11 - Present
Japan Society of Monetary Economics　Director

2016/05 - 2020/05

Professional Memberships 3

Nippon Finance Association
Japan Society for Monetary Economics
Japanese Economic Association

Research Interests 2

International Finance
Applied Economics

Research Areas 2

Humanities & social sciences / Economic statistics /
Humanities & social sciences / Money and finance /

Papers 51

Generative AI: The transformative impact of ChatGPT on systemic financial risk in Chinese banks Peer-reviewed

Yikai Zhao, Runyu Dai, Jun Nagayasu

Pacific-Basin Finance Journal　102829-102829　2025/10
Publisher: Elsevier BV
DOI： 10.1016/j.pacfin.2025.102829 　

ISSN： 0927-538X
Is corporate environmental responsibility more valuable in the transitory period? The moderating effect of ownership type Peer-reviewed

Hui Zhou, Jun Nagayasu

Finance Research Letters　53　103585　2023/05

DOI： 10.1016/j.frl.2022.103585 　
The non-monotonic relationship between ESG disclosure and stock price crash risk Invited

Hui Zhou, Jun Nagayasu

Topical Issues in Development Economics: An International Perspective. Eds by D. Avom, G. Dufrenot　2023/03
Spatial Dependence, Social Networks, and Economic Structures in Japanese Regional Labor Migration Peer-reviewed

Koji Murayama, Jun Nagayasu, Lamia Bazzaoui

Sustainability　14　(3)　1865-1865　2022/02/06
Publisher: {MDPI} {AG}
DOI： 10.3390/su14031865 　

eISSN： 2071-1050

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This study empirically analyzes the determinants of regional labor migration in Japan, where small towns are disappearing due to the shortage of labor. Using spatial models of origin–destination flows and considering network effects of labor and economic structures, we obtain results more consistent with the standard migration theory, compared to previous studies. In particular, we find that migration decisions are based on economic motivations and that high (low) unemployment rates in origin (destination) regions and low income in origin regions are important determinants of labor migration flows. Second, we report that network effects, which help reduce migration costs, play a significant role in the relocation of labor. Finally, considering different definitions of spatial weights based on distance, the volume of traded goods, and economic structures, we show that regional dependence is most appropriately defined by the similarity in economic structures. In other words, migration patterns are similar between regions that rely on analogous economic activities.
Is Inflation Fiscally Determined? Peer-reviewed

Lamia Bazzaoui, Jun Nagayasu

Sustainability　13　(20)　11306-11306　2021/10/13
Publisher: {MDPI} {AG}
DOI： 10.3390/su132011306 　

eISSN： 2071-1050

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This paper examines the relationship between fiscal policy and inflation for 44 countries, from 1960 to 2020. The study was conducted using a panel VAR approach while accounting for the difference in monetary policy frameworks and the levels of fiscal space across countries. Results suggest that budget deficits are less likely to cause inflation when monetary policy is based on inflation targeting. In contrast, they are inflationary in the group of countries with a poorly structured monetary policy (such as partially dollarized Latin American economies).
Life Cycles and Gender in Residential Mobility Decisions Peer-reviewed

Jun Nagayasu

The Journal of Real Estate Finance and Economics　62　(3)　370-401　2021/04/06
Publisher: Springer Science and Business Media {LLC}
DOI： 10.1007/s11146-019-09743-7 　

ISSN： 0895-5638

eISSN： 1573-045X
Toward Coexistence of Immigrants and Local People in Japan: Implications from Spatial Assimilation Theory Peer-reviewed

Koji Murayama, Jun Nagayasu

Sustainability　13　(7)　3849-3849　2021/03/31
Publisher: MDPI AG
DOI： 10.3390/su13073849 　

eISSN： 2071-1050

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We investigate the validity of spatial assimilation theory (SAT), which predicts geographical dispersion of immigrants from ethnically concentrated areas to non-concentrated areas as time elapses. This can be tested by analyzing the concentration tendency among immigrants who arrive in Japan from overseas and relocate within the country. Using spatial models, we find that immigrants from overseas tend to move to ethnically concentrated regions in Japan, which is in line with SAT. By contrast, this trend substantially weakens with their subsequent domestic relocation, and it differs by national group. The results reveal slow assimilation among nationals from countries characterized as being low-income or culturally dissimilar from Japan. Based on these findings, we discuss potential deficiencies in a new immigration policy (2018), which has been designed to increase the number of immigrants and compensate for a labor shortage in Japan.
Causal and frequency analyses of purchasing power parity Peer-reviewed

Jun Nagayasu

Journal of International Financial Markets, Institutions and Money　71　101287-101287　2021/03
Publisher: Elsevier BV
DOI： 10.1016/j.intfin.2021.101287 　

ISSN： 1042-4431
Productivity spillovers in the global market Invited

Nazmus Khan, Jun Nagayasu

Recent Econometric Techniques in Macroeconomic and Financial Data, eds., G. Dufrénot & T. Matsuki, Springer　79-111　2020/12
Detecting tranquil and bubble periods in housing markets: A review and application of statistical methods Invited

Jun Nagayasu

Recent Econometric Techniques in Macroeconomic and Financial Data, eds., G. Dufrénot & T. Matsuki, Springer　171-195　2020/11
Financial flows, global interest rates, and political integration Peer-reviewed

Jun Nagayasu

Finance Research Letters　31　313-320　2019/12
The Japanese condominium market Invited

Jun Nagayasu

Quarterly Journal of Housing and Land Economics　196　(106)　10-19　2017/10
Publisher:
ISSN： 0917-3498
Global and country-specific movements in real effective exchange rates: implications for external competitiveness Peer-reviewed

J Nagayasu

Journal of International Money and Finance　76　88-105　2017/06
Regional inflation, spatial locations and the Balassa-Samuelson effect: Evidence from Japan Peer-reviewed

Jun Nagayasu

URBAN STUDIES　54　(6)　1482-1499　2017/05

DOI： 10.1177/0042098016629915 　

ISSN： 0042-0980

eISSN： 1360-063X
Inflation and consumption of nontradable goods: Global implications from regional analyses Peer-reviewed

Jun Nagayasu

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE　48　478-491　2017/03

DOI： 10.1016/j.iref.2017.01.004 　

ISSN： 1059-0560

eISSN： 1873-8036
UK house price convergence clubs and spillovers Peer-reviewed

Alberto Montagnoli, Jun Nagayasu

JOURNAL OF HOUSING ECONOMICS　30　50-58　2015/12

DOI： 10.1016/j.jhe.2015.10.003 　

ISSN： 1051-1377

eISSN： 1096-0791
Currency forecast errors and carry trades at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate Peer-reviewed

Ronald MacDonald, Jun Nagayasu

JOURNAL OF INTERNATIONAL MONEY AND FINANCE　53　1-19　2015/05

DOI： 10.1016/j.jimonfin.2014.12.011 　

ISSN： 0261-5606

eISSN： 1873-0639
The forward premium puzzle and the Euro Peer-reviewed

Jun Nagayasu

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY　32　436-451　2014/09

DOI： 10.1016/j.intfin.2014.07.004 　

ISSN： 1042-4431
Asia-Pacific Stock Returns around the Lehman Shock and Beyond: Time-varying conditional correlations Peer-reviewed

Jun Nagayasu

Journal of Economic Integration　28　(3)　412-440　2013/09

DOI： 10.11130/jei.2013.28.3.412 　

ISSN： 1225-651X 1976-5525
A dynamic factor approach to domestic capital mobility Peer-reviewed

Jun Nagayasu

EMPIRICAL ECONOMICS　44　(2)　685-700　2013/04

DOI： 10.1007/s00181-012-0566-4 　

ISSN： 0377-7332
COMMON FACTORS OF THE EXCHANGE RISK PREMIUM IN EMERGING EUROPEAN MARKETS Peer-reviewed

Joseph P. Byrne, Jun Nagayasu

BULLETIN OF ECONOMIC RESEARCH　64　(S1)　s71-s85　2012/12

DOI： 10.1111/j.1467-8586.2012.00447.x 　

ISSN： 0307-3378
The threshold consumption correlation-based approach to international capital mobility: Evidence from advanced and developing countries Peer-reviewed

Jun Nagayasu

Structural Change and Economic Dynamics　23　(3)　256-263　2012/09

DOI： 10.1016/j.strueco.2012.03.005 　

ISSN： 0954-349X
Regional deposits and demographic changes Peer-reviewed

Jun Nagayasu

APPLIED ECONOMICS LETTERS　19　(10)　939-942　2012

DOI： 10.1080/13504851.2011.608634 　

ISSN： 1350-4851
Financial innovation and regional money Peer-reviewed

Jun Nagayasu

APPLIED ECONOMICS　44　(35)　4617-4629　2012

DOI： 10.1080/00036846.2011.593500 　

ISSN： 0003-6846
Heterogeneity and convergence of regional inflation (prices) Peer-reviewed

Jun Nagayasu

JOURNAL OF MACROECONOMICS　33　(4)　711-723　2011/12

DOI： 10.1016/j.jmacro.2011.07.002 　

ISSN： 0164-0704
The Common Component in Forward Premiums: Evidence from the Asia-Pacific Region Peer-reviewed

Jun Nagayasu

REVIEW OF INTERNATIONAL ECONOMICS　19　(4)　750-762　2011/09

DOI： 10.1111/j.1467-9396.2011.00979.x 　

ISSN： 0965-7576
Macroeconomic interdependence in East Asia Peer-reviewed

Jun Nagayasu

JAPAN AND THE WORLD ECONOMY　22　(4)　219-227　2010/12

DOI： 10.1016/j.japwor.2010.06.002 　

ISSN： 0922-1425
Regional inflation and monetary policy in China Peer-reviewed

J Nagayasu

Banks and Bank Systems　5　(4)　21-31　2010/12
Structural breaks in the real exchange rate and real interest rate relationship Peer-reviewed

Joseph P. Byrne, Jun Nagayasu

Global Finance Journal　21　(2)　138-151　2010

DOI： 10.1016/j.gfj.2010.06.002 　

ISSN： 1044-0283
Stocks, consumption, and wealth: evidence from the Tokyo Stock Exchange Invited

J Nagayasu

Stock Returns: Cyclicity, Prediction and Economic Consequences (Nova Science, Ed G I Ellison)　133-156　2009/10

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NY: Nova Science Publishers
Prediction of stock returns using the artificial neural network: evidence from developed and developing countries Invited

J Nagayasu, J, Alam

Stock Returns: Cyclicity, Prediction and Economic Consequences (Nova Science, Ed G I Ellison)　171-187　2009/10
Publisher: Nova Science Publishers

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Nova Science Publishers
PPP: Further evidence from Japanese regional data Peer-reviewed

Jun Nagayasu, Noriko Inakura

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE　18　(3)　419-427　2009/06

DOI： 10.1016/j.iref.2008.09.003 　

ISSN： 1059-0560
Relative prices and wages in China : evidence from a panel of provincial data Peer-reviewed

J Nagayasu, Y Liu

Journal of Economic Integration　23　(1)　183-203　2008/03
Japanese stock movements from 1991 to 2005: Evidence from high- and low-frequency data Peer-reviewed

Jun Nagayasu

Applied Financial Economics　18　(4)　295-307　2008/03

DOI： 10.1080/09603100600675490 　

ISSN： 0960-3107 1466-4305
Empirical analysis of the exchange rate channel in Japan Peer-reviewed

Jun Nagayasu

JOURNAL OF INTERNATIONAL MONEY AND FINANCE　26　(6)　887-904　2007/10

DOI： 10.1016/jimonfin.2007.05.002 　

ISSN： 0261-5606
Putting the dividend-price ratio under the microscope Peer-reviewed

Jun Nagayasu

Finance Research Letters　4　(3)　186-195　2007/09

DOI： 10.1016/j.frl.2007.02.002 　

ISSN： 1544-6123
Financial market integration: evidence from stock and bond markets in Japan and the US (Elsevier, Eds J J Chok, T Hiraki) Invited Peer-reviewed

J Nagayasu

Japanese Fixed Income Markets: Money, Bond, and Interest Rate Derivatives　413-433　2006/10

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Elsevier
Modeling and predicting Japanese stock returns using the ARFIMA-FIGARCH Peer-reviewed

J Nagayasu

Advances in Financial Market Analysis　2　211-222　2006
Determinants of Angola's real exchange rate, 1992-2002 Peer-reviewed

E Gelbard, J Nagayasu

DEVELOPING ECONOMIES　42　(3)　392-404　2004/09

ISSN： 0012-1533
The effectiveness of Japanese foreign exchange interventions during 1991-2001 Peer-reviewed

J Nagayasu

ECONOMICS LETTERS　84　(3)　377-381　2004/09

DOI： 10.1016/j.econlet.2004.03.007 　

ISSN： 0165-1765
The term structure of interest rates and monetary policy during a zero interest rate period Peer-reviewed

J Nagayasu

Monetary and Economic Studies　22　(2)　19-43　2004/05
The efficiency of the Japanese equity market Peer-reviewed

J Nagayasu

International Finance Review　4　155-171　2003/12

DOI： 10.1016/S1569-3767(03)04008-1 　
A re-examination of the Japanese money demand function and structural shifts Peer-reviewed

J Nagayasu

JOURNAL OF POLICY MODELING　25　(4)　359-375　2003/06

DOI： 10.1016/S0161-8938(03)00010-3 　

ISSN： 0161-8938
Asymmetric effects of monetary indicators on the Japanese yen Peer-reviewed

J Nagayasu

JAPAN AND THE WORLD ECONOMY　15　(2)　143-159　2003/04

DOI： 10.1016/S0922-1425(02)00013-0 　

ISSN： 0922-1425
On the term structure of interest rates and inflation in Japan Peer-reviewed

J Nagayasu

Journal of Economics and Business　54　(5)　505-523　2002/09
Does the long-run PPP hypothesis hold for Africa? Evidence from panel cointegration study Peer-reviewed

J Nagayasu

Bulletin of Economic Research　54　(2)　181-187　2002/04
Currency crisis and contagion: evidence from exchange rates and sectoral stock price indices in the Philippines and Thailand Peer-reviewed

J Nagayasu

Journal of Asian Economics　14　(4)　529-546　2001/12

DOI： 10.1016/S1049-0078(01)00101-4 　
Long-run real exchange rate movements in Africa: parallel market and official rates Peer-reviewed

J Nagayasu

African Finance Journal　2　(2)　1-14　2000/10
The long-run relationship between real exchange rates and real interest rate differentials: A panel study Peer-reviewed

R MacDonald, J Nagayasu

IMF STAFF PAPERS　47　(1)　116-128　2000

ISSN： 1020-7635
Japanese effective exchange rates and determinants: a long-run perspective

J Nagayasu

Equilibrium Exchange Rates (Kluwer, Eds R MacDonald, J L Stein)　323-347　1999/07

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Kluwer Academic Publisher
On the Japanese yen US Dollar exchange rate: A structural econometric model based on real interest differentials Peer-reviewed

R MacDonald, J Nagayasu

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES　12　(1)　75-102　1998/03

DOI： 10.1006/jjie.1997.0389 　

ISSN： 0889-1583

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Misc. 32

What Makes the Oil Pricing Center? The Impact of Futures Markets and Production

Gong, J., Nagayasu, J.

Tohoku University Research Center for Policy Design Discussion Paper　1-46　2025/06
Analyzing the Effect of the Unfriendly Countries List of Russia on Global Trade through the Staggered Difference-in-Differences Design in the Gravity Model

X. Wang, J. Nagayasu

2025-8　1-51　2025/04
Beyond Computation: How National Supercomputing Centers Facilitate New Business Entry

J. Tian, J. Nagayasu, Y. Zhao, S. Zhang

SSRN　2025/03
Costs of Fighting for Blue Sky: Evidence from Municipal Bond Markets in China

J. Tian, Y. Zhao, J. Nagayasu

SSRN　2025/03
Generative AI: The Transformative Impact of ChatGPT on Systemic Financial Risk in Chinese Banks

Y. Zhao, R. Dai, J. Nagayasu

DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University.　145　1-50　2025/03
Measuring Climate Policy Uncertainty with LLM: New Inslights into Corporate Bond Credit Spreads

Y Zhao, J Nagayasu, X. Geng

Tohoku University Center for Data Science and Service Research Discussion Paper　2024/11
AI and Financial Systemic Risk in the Global Market

Jingyi Tian, Jun Nagayasu

Tohoku University Research Center for Policy Design Discussion Paper　10　1-44　2024/10
Does supply chain transparency help indentify and prevent corporate greenwashing?

Y Zhao, J Nagayasu

DSSR Discussion Paper, Graduate School of Economics and Management, Tohoku University　(140)　1-46　2024/04
Credit Constraints, Corporate Transparency, and Export

Y Zhao, R Sun, J Nagayasu

DSSR Discussion Paper, Graduate School of Economics and Management, Tohoku University　(139)　1-50　2024/02
Regional Policies’ Impacts on Urban Migration: Evidence from Special Economic Zones in China

Zhang Shutong, Jun Nagayasu

TUPD Discussion Paper 14, Graduate School of Economics and Management, Tohoku University　2023/11
Financial Systemic Risk behind Artificial Intelligence: Evidence from China

Jingyi Tian, Jun Nagayasu

TUPD Discussion Paper 13, Graduate School of Economics and Management, Tohoku University　2023/11
Agglomeration and Selection Effects in privatized-SOEs: The Role of SOE Reform

Yikai Zhao, Jun Nagayasu

DSSR Discussion Paper 137, Graduate School of Economics and Management, Tohoku University　2023/10
A Dynamic Analysis of Chinese Yuan (RMB) Internationalization with Bayesian-Based Time Series Model

Zihe Li, Jun Nagayasu

TUPD Discussion Papers 33, Graduate School of Economics and Management, Tohoku University.　2023/02
The Non-monotonic Relationship Between ESG Disclosure and Stock Price Crash Risk

Hui Zhou, Jun Nagayasu

DSSR Discussion Papers 134, Graduate School of Economics and Management, Tohoku University.　2022/12
Privatization's Influence on Agglomeration and Selection Effects: Evidence from China's Manufacturing Industry

Yikai Zhao, Jun Nagayasu

DSSR Discussion Papers 126, Graduate School of Economics and Management, Tohoku University.　2022/07
Is corporate environmental responsibility more valuable in the shaky period? the moderating effect of ownership type Peer-reviewed

Hui Zhou, Jun Nagayasu

Nippon Finance Association Proceeding　2021
A top-down method for rational bubbles: application of the threshold bounds testing approach Peer-reviewed

Jun Nagayasu

Nippon Finance Association Proceeding　2016
Regional wages in Japan II Invited

Jun Nagayasu

Annual report on the Multi Use Social and Economic Data Bank　92　75-87　2015/03
Regional wages in Japan Invited

Jun Nagayasu

Annual report on the Multi Use Social and Economic Data Bank　91　7-20　2014/03
Economic factors contributing to time-varying conditional correlations in stock returns Peer-reviewed

Jun Nagayasu

Nippon Finance Association Proceedings　2011
Macroeconomic integration in East Asia Peer-reviewed

Jun Nagayasu

All China International Conference, Collection of Conference Papers　2009
Determinants of PIN: evidence from the Japanese stock exchange market Peer-reviewed

Ian Marsh, Jun Nagayasu

Nippon Finance Association Proceedings　2009
Private information in the JASDAQ Invited

Jun Nagayasu, S. Obara, Makita

Annual report on the Multi Use Social and Economic Data Bank　85　23-33　2008/03
Some evidence on the effectiveness of a securities transaction from the US equity market Peer-reviewed

Ian Marsh, Jun Nagayasu

Asian Finance Association-Nippon Finance Association 2008 International Conference, Conference Proceedings　2008
Private information in the Nippon New Market Hercules Invited

Jun Nagayasu, Emi Tamai

Annual report on the Multi Use Social and Economic Data Bank　83　63-72　2007/03
Data Bnak: the present and future Invited

Jun Nagayasu, Noriko Inakura

Annual report on the Multi Use Social and Economic Data Bank　82　1-14　2006/03
The purchasing power parity and the Balassa-Samuelson effect: evidence from Chinese provincial data Peer-reviewed

Y. Liu, Jun Nagayasu

All China International Conference, Collection of Conference Papers　2006
Putting the dividend-price ration under the microscope: evidence from developed countries

Jun Nagayasu

30th Anniversary of the Journal of Banking and Finance Conference　2006
Determinants of the Tokyo Stock Price Index: searching for the explanations of the depression Peer-reviewed

Jun Nagayasu

Global Finance Conference, Conference Proceedings　2005
The Persistence and predictability of Japanese stock Returns

Jun Nagayasu

Proceedings of the Forecasting Financial Markets and Economic Decision-Making　2005
Predicting (high frequency) Japanese stock market data Peer-reviewed

Jun Nagayasu

Proceedings of 24th International Symposium on Forecasting　2004
Economic policy and data Invited

Jun Nagayasu

Economic Seminar　562　60-61　2001/11
Publisher: Nihon-Hyoron-Sha

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Books and Other Publications 2

Introduction to International Finance

Nagayasu, Esaka, Yoshida

Yuhikaku　2015/09
Macroprudential indicators of financial system soundness

J Nagayasu/etc

IMF　2000/04

Presentations 73

Beyond computation: how national supercomputing centers facilitate new business entry

J Tian

Chinese Economists Society, China Annual Conference　2025/07/05
Beyond computation: how national computing centers facilitate new business entry

Y. Zhao

Asian Finance Association Conference　2025/06/28
What Makes the Oil Pricing Center: the Impact of Financialization and Production

J. Gong

Nippon Finance Association　2025/06/15
Analyzing the Effect of the Unfriendly Countries List of Russia on Global Trade through the Staggered Diference-in-Diferences Design in the Gravity Model

X. Wang

Japan Economic Association　2025/05/24
Searching for Safe Haven Currencies: A Risk Premium Review

Z Li

The Ninth (2024) December Cross Country Perspective in Finance Conference　2024/12/13
AI and Financial Systemic Risk in the Global Market

J Tian

The Ninth (2024) December Cross Country Perspective in Finance Conference　2024/12/13
AI and Financial Systemic Risk in the Global Market

J Tian

Nippon Finance Association　2024/11/09
Searching for safe heaven currencies: a risk premium view

Z Li

International Conference on Empirical Economics　2024/08/03
Searching for safe haven currencies: a risk premium view

Z Li

Cross Country Perspective in Finance Conference　2024/06/28
Navigating risk: how AI shapes financial systemic risk--insights from 27 countries

J Tian

Cross Country Perspective in Finance Conference　2024/06/27
Financial Systemic Risk behind Artificial Intelligence: Evidence from China

Tian Jingyi

Nippon Finance Association 5th Fall Conference　2023/11/11
Credit Constraints, Corporate Transparency and Export: Evidence from China’s A-Listed Firms

Yikai Zhao

DSSR Workshop　2023/10/04
Democratic transitions, breakdowns and economic growth Invited

Jun Nagayasu

French-Japanese Webinar　2023/03/03
Democracy, Governance and Productivity

Lamia Bazzaoui

Japan Society of Monetary Economics　2022/11/26
A Dynamic Analysis of RMB Internationalization

Zihe Li

Japan Society of Monetary Economics　2022/11/26
Is corporate environmental responsibility more valuable in the shaky period? The moderating effect of ownership type

Hui Zhou

The CCPF-JIFMIM Symposium　2021/12/10
Environmental, Social and Governance (ESG) and Stock Price Crash Risk

Hui Zhou

Nippon Finance Association 3rd Fall Conference　2021/11/20
Environmental, Social and Governance (ESG) and Stock Price Crash Risk

Hui Zhou

4th Conference on CSR, the Economy and Financial Markets　2021/11/11
Is corporate environmental responsibility more valuable in the shaky period? The moderating effect of ownership type

Hui Zhou

Western Economic Association International 96th Annual Conference　2021/06/27
Is corporate environmental responsibility more valuable in the shaky period? The moderating effect of ownership type

Hui Zhou

6th Cross-Country Perspectives in Finance Conference　2021/06/24
Is corporate environmental responsibility more valuable in the shaky period? The moderating effect of ownership type

Hui Zhou

Nippon Finance Association, online　2021/06/06
Is corporate environmental responsibility more valuable in the shaky period? The moderating effect of ownership type

Hui Zhou

Young Researchers Meeting on Environmental Risks　2020/12/06
Household characteristics and homeownership during the Lost Decades

Jun Nagayasu

Japanese Economic Association　2018/10
Household characteristics and homeownership during the Lost Decades

Jun Nagayasu

Japanese Economic Association　2018/06
Global interest rates and financial flows

Jun Nagayasu

Japan Society of Monetary Economics　2018/05
Intra-temporal substitution between tradable and non-tradable goods: evidence from the Japanese survey data

Jun Nagayasu

Household Finance Conference　2018/01
Global interest rates and financial flows

Jun Nagayasu

Cross Country Perspectives in Finance (CCPF) Conference　2017/12
Intra-temporal substitutions between tradable and non-tradable goods: evidence from the Japanese survey data Invited

Jun Nagayasu

Kansai Macroeconomics Workshop　2017/11
Inflation and bubbles in the Japanese Condominium market

Jun Nagayasu

Japan Society of Monetary Economics　2017/09
Intra-temporal substitution between tradable and non-tradable goods: evidence from the Japanese household survey data

Jun Nagayasu

Japanese Economic Association　2017/09
Global interest rates and financial flows

Jun Nagayasu

Cross Country Perspectives in Finance (CCPF) Conference　2017/06
Intra-temporal substitution between tradable and non-tradable goods: evidence from the Japanese household survey data

Jun Nagayasu

Japan Society of Monetary Economics　2017/05
Inflation and bubbles in the Japanese condominium market Invited

Jun Nagayasu

Housing Research and Advance Foundation of Japan　2017/03
Inflation and bubbles in the Japanese condominium market

Jun Nagayasu

Japanese Economic Association　2016/09
A top-down method for rational bubbles: application of the threshold bounds testing

Jun Nagayasu

Nippon Finance Association　2016/05
Regional inflation and consumption behaviors

Jun Nagayasu

Japan Society of Monetary Economics　2016/05
Regional inflation, spatial locations and the Balassa-Samuelson effect

Jun Nagayasu

Japan Society of Monetary Economics　2014/10
Currency forecast errors at times of low interest rates: evidence from survey data on the yen/dollar exchange rate

Jun Nagayasu

Nippon Finance Association　2014/05
Co-movements in real effective exchange rates: evidence from the dynamic hierarchical factor model

Jun Nagayasu

Japan Economic Association, Keio University　2014/05
Interdependence in real effective exchange rates: evidence from the dynamic hierarchical factor model

Jun Nagayasu

Japan Economic Association, Kanagawa University　2013/09
An investigation of housing affordability in the UK

Jun Nagayasu

Japan Society for Monetary Economics, Nagoya University　2013/09
Regional inflation and industry structure

Jun Nagayasu

Japan Economic Association, Hokkaido University　2012/06
Regional inflation and industry structure

Jun Nagayasu

Japan Economic Association, Risho University　2012/05
Regional inflation and industry structure

Jun Nagayasu

3rd Osaka Workshop on International Economics　2012/02
The threshold consumption correlation-based approach to international capital mobility: evidence from advanced and developing countries

Jun Nagayasu

Japan Economic Association, University of Tsukuba　2011/10
Heterogeneity and convergence of regional inflation (prices)

Jun Nagayasu

Japan Economic Association, Kumamoto Gakuin University　2011/05
A dynamic factor approach to domestic capital mobility

Jun Nagayasu

Japan Economic Association, Meiji University　2011/05
Economic factors contributing to time-varying conditional correlations in stock returns

Jun Nagayasu

Nippon Finance Association, Waseda University　2011/05
A dynamic factor approach to domestic capital mobility

Jun Nagayasu

2nd Osaka Workshop on International Economics　2011/02
Macroeconomic interdependence in East Asia

Jun Nagayasu

Japan Economic Association, Chiba University　2010/06
Regional inflation (price) behaviors: heterogeneity and convergence

Jun Nagayasu

Japan Society for Monetary Economics, Chuo University　2010/05
Financial innovation/sophistication and (very narrow) money-output relationship: Panel cointegration and structural shifts

Jun Nagayasu

1st Osaka Workshop on International Economics, Japan　2010/02
Financial innovation/sophistication and (very narrow) money-output relationship: Panel cointegration and structural shifts

Jun Nagayasu

Bank of Japan　2010/02
Macroeconomic Integration in East Asia

Jun Nagayasu

1st Meeting, Research Center for International Economics, University of International Business and Economics, China　2009/12
Macroeconomic integration in East Asia

Jun Nagayasu

All China Economic International Conference, China　2009/12
Regional (very narrow) money-output relationship

Jun Nagayasu

Japan Economic Association, Kagawa University　2009/11
Regional (very narrow) money-output relationship

Jun Nagayasu

Japan Economic Association, Senshu University　2009/10
Empirical Analysis of the forward premiums

Jun Nagayasu

Japan Society for Monetary Economics, University of Tokyo　2009/05
日本ファイナンス学会青山Determinants of PIN: evidence from the Japanese Stock Exchange Market

Jun Nagayasu

Nippon Finance Association, Aoyama University　2009/05
Determinants of PIN: evidence from the Japanese Stock Exchange Market

Jun Nagayasu

Western Economic Association International Pacific Rim Conference, Japan　2009/04
Inflation in China from 1991 to 2005

Jun Nagayasu

Japan Society for Monetary Economics, Hiroshima University　2008/10
Some evidence on the effectiveness of a securities transaction from the US equity market

Jun Nagayasu

Asian Finance Association-Nippon Finance Association Joint International Conference　2008/07
Inflation in China from 1991 to 2005

Jun Nagayasu

83rd Annual Meeting of the Western Economic Association International, USA　2008/07
The purchasing power parity and the Balassa-Samuelson effect: evidence from Chinese provincial data

Jun Nagayasu

5th INFINITI Conference on International Finance, Ireland　2007/06
The purchasing power parity and the Balassa-Samuelson effect: evidence from Chinese provincial data

Jun Nagayasu

Japan Economic Association, Osaka Gakuin University　2007/06
The purchasing power parity: further evidence from Japanese municipal data

Jun Nagayasu

Western Economic Association International Pacific Rim conference, China　2007/01
The purchasing power parity and the Balassa-Samuelson effect: evidence from Chinese provincial data, 2006.12

Jun Nagayasu

All China Economic International Conference, China　2006/12
Putting the dividend-price ration under the microscope: evidence from developed countries

Jun Nagayasu

30th Anniversary of the Journal of Banking and Finance Conference, China　2006/06
Purchasing power parity: further evidence from price differentials among Japanese municiparities, 2006.06

Jun Nagayasu

Japan Economic Association, Fukushima University　2006/06
Determinants of the Tokyo Stock Price Index: searching for explanations of the depression

Jun Nagayasu

12th Global Finance Conference, Ireland　2005/06
Changes in the nature of financial spillover after the Asian crisis

Jun Nagayasu

9th International Conference on Macroeconomic Analysis and International Finance, Greece　2005/05
The Persistence and predictability of Japanese stock Returns

Jun Nagayasu

Forecasting Financial Markets and Economic Decision-Making, Poland　2005/05
Empirical analysis of the exchange rate channel in Japan

Jun Nagayasu

Bank of Japan　2004/04

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Research Projects 18

国際金融市場におけるAIの普及とシステミック・リスク

永易淳

Offer Organization: 日本学術振興会

System: 科学研究費助成事業

Category: 基盤研究(B)

Institution: 東北大学

2024/04/01 - 2029/03/31
The Current Account Surplus and the Budget Deficit in the Global Market: Cyclical and Categorical analysis

Offer Organization: Japan Society for the Promotion of Science

System: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)

Category: Grant-in-Aid for Scientific Research (C)

Institution: Tohoku University

2020/04 - 2023/03
Offer Organization: Tohoku University

System: Tohoku Forum for Creativity

Category: Environmental and financial risks

2020/04 - 2022/03
Consumption behaviors and real exchange rates (relative prices)

Nagayasu Jun

Offer Organization: Japan Society for the Promotion of Science

System: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)

Category: Grant-in-Aid for Scientific Research (C)

Institution: Tohoku University

2017/04 - 2020/03

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We have studied consumption patterns and relative prices using Japan’s household data. First, we find the very low elasticity of intra-temporal substitution (EIS) between tradable and nontradable goods, in line with Backus-Smith puzzle (1993) that states the nontradable sector and low substitution between these goods are the reasons for non-conformance to the purchasing power parity theory. Instead of relative prices, social factors such as age and family size are found to be more directly associated with consumers’ allocation of goods and services. Similarly, residential choice and the timing of relocation are found to be influenced by socioeconomic backgrounds of households. The probability of homeownership is higher in rural areas and increases with age of household heads, financial wealth, and family size. Based on these findings, we conclude that prices are less decisive factors in determining consumption behaviors than what the standard economic theories predict.
Exchange rate movements and spillovers: evidence from the dynamic hierarchical factor model

Nagayasu Jun

Offer Organization: Japan Society for the Promotion of Science

System: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)

Category: Grant-in-Aid for Scientific Research (C)

2013/04 - 2016/03

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Using the Bayesian factor model, we decompose movements in real effective exchange rates, which can be considered a measure of external competitiveness, into global and country-specific factors. In data from a number of developed and developing countries, we find a particular global trend in these rates, but a substantial proportion of the variation in these rates is found to be country-specific. In addition, consistent with economic theory, this global factor is closely related to a trend in the global interest rate, while country-specific factors to idiosyncratic movements in countries’ own interest rates.
Domestic factor model approach to domestic capital market integration Competitive

Offer Organization: Zengin Foundation for Studies on Economics and Finance

2012/03 - 2013/03
The Global Crisis and the Asian Economies

TAKAGI Shinji, OGAWA Eiji, NAGAYASU Jun, IWATSUBO Kentaro, ESAKA Taro, HIROSE Kenichi

Offer Organization: Japan Society for the Promotion of Science

System: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B)

Category: Grant-in-Aid for Scientific Research (B)

Institution: Osaka University

2009 - 2011

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The global economic crisis heightened our interest in economic linkages, especially among the Asian economies, as well as in identifying policies and institutions that minimize the probability of crisis. At the same time, following the crisis, use of capital controls became widely accepted as a legitimate tool of maintaining domestic financial stability. While this research project has yielded many fruits, its main results include :(1) development of quantitative tools of measuring economic linkages,(2) empirical investigation of the nature of economic integration ;(3) testing the effectiveness of capital controls ; and(4) identification of policies and institutions that reduce the probability of crisis.
Contagion effects : evidence from the foreign exchange market risk

NAGAYASU Jun, BYRNE Joseph

Offer Organization: Japan Society for the Promotion of Science

System: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)

Category: Grant-in-Aid for Scientific Research (C)

Institution: University of Tsukuba

2009 - 2011

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This project attempts to clarity the relative importance of common risks factors in foreign exchange markets. We provide evidence of the relative importance of common factors in all counties. Their importance is underlined particularly in small countries, unveiling the vulnerability of these countries in response to exogenous shocks. Furthermore, regardless of their geographical location, these common factors are found to be influenced largely by economic developments in the USA. And finally, during recent crisis periods non-stationary elements in the risks are reported to be more significant.
情報と投資家行動の実証分析

永易淳

Offer Organization: 日本学術振興会

System: 科学研究費助成事業萌芽研究

Category: 萌芽研究

Institution: 筑波大学

2006 - 2008

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本研究の目的は日本の証券取引所におけるプライベート・インフォメーションを推定することである。具体的には、一般にPINと称されているプライベート・インフォメーションに基づく株式売買の割合を統計的手法により求め、このPINの決定要因を吟味することによりPINの妥当性も検証している。多くの投資家が共有するパブリック・インフォメーションと異なり、プライベート・インフォメーションは株価変動を説明する上で重要であると理論的に認識されているが、観測できるデータがないためこの分野における実証研究は遅れている。平成20年度が本研究の最終年であったため、前年度に推定していない東京証券取引所(1部と2部)におけるPINの推定、及びPINの決定要因をパネル・データ手法で分析した。本研究プロジェクトとして前年度に推定した他の証券所(大阪、JASDAQ)でのPIN値及び先行研究が報告したPINと比較し、東京証券取引所のPIN値が常識的な範囲であることを確認した。また、PINは、会社の規模、出来高、総資産利益率などの変数と理論通りの関係にあることから、推定されたPINをプライベート・インフォメーションに基づく取引の度合い(頻度)と考えても良いという結論を導いた。しかし、アメリカにおける同様の研究と比較すると、これらの変数の有意性が低いため、今後更に別の説明変数を考慮する必要があると考える。また、本研究0'Hara教授と彼女の共著者の一連の研究が生み出した統計手法に基づきPINを推定したが、今後異なる方法でPINを求める努力も必要である。
Purchasing power parity: further evidence from Japanese municipal data Competitive

Offer Organization: Zengin Foundation for Studies on Economics and Finance

2006/12 - 2007/08
The real exchange rate-interest rate relationship while accounting for structural shifts Competitive

Offer Organization: Murata Research Foundation

2006/08 - 2007/08
Investors and information Competitive

Offer Organization: Nomura Research Foundation

System: International Joint Research Projects

2007/06 - 2007/06
Purchasing power parity: evidence from Japanese municipal data Competitive

Offer Organization: JSPS Travel expenses

2007/01 - 2007/01
Purchasing power parity: further evidence from Chinese provincial data Competitive

Offer Organization: FASID

2006/12 - 2006/12
The effects of private information on stock price volatility Competitive

Offer Organization: JSSF

2005/12 - 2006/11
Modeling and predicting daily Japanese stock returns based on the ARFIMA-FIGARCH Competitive

Offer Organization: Nomura Foundation

2004/11 - 2005/09
The determinants of the TOPIX Competitive

Offer Organization: Ishii Memorial Foundation for Equity Research

2004/10 - 2005/09
Empirical Analysis of Japanese Exchange Rates and Determinants Competitive

Offer Organization: Yamada Research Scholarship

2004/04 - 2005/03

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Academic Activities 9

Japanese Journal of Monetary and Financial Economics, Co-editor

2022/11 - Present
Japan Society for Monetary Economics (2023 Fall, Program committee, Kyushu University）

2023/03 - 2023/10

Activity type: Academic society, research group, etc.
Environmental and financial risks

2020 - 2022

Activity type: Competition, symposium, etc.
Japan society for Monetary Economics, Director

2016 - 2020

Activity type: Other
Japan Society for Monetary Economics (2021 Fall, Program committee, Osaka Keizai University）

2021 -

Activity type: Academic society, research group, etc.
Japan Society for Monetary Economics (2016 Spring, Program committee, Musashi University）

2016 -

Activity type: Academic society, research group, etc.
Japan Society for Monetary Economics (2015 Fall, Program committee, Tohoku University）

2015 -

Activity type: Academic society, research group, etc.
Japan Society for Monetary Economics (2015 Spring, Program committee, Tokyo Keizai University）

2015 -

Activity type: Academic society, research group, etc.
Japan Economic Association (2011 Fall, Organizing committee, University of Tsukuba)

2011 -

Activity type: Academic society, research group, etc.

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Other 51

A Dynamic Analysis of Chinese Yuan (RMB) Internationalization with Bayesian-Based Time Series Model, Tohoku University Research Center for Policy Design Discussion Paper, 2023-002
Zhou Hui & Jun Nagayasu, 2022, The Non-monotonic Relationship Between ESG Disclosure and Stock Price Crash Risk, DSSR Discussion Paper 134, Graduate School of Economics & Management, Tohoku University
Yikai Zhao & Jun Nagayasu, 2022. "Privatization's Influence on Agglomeration and Selection Effects: Evidence from China's Manufacturing Industry," DSSR Discussion Papers 126, Graduate School of Economics and Management, Tohoku University.
Jun Nagayasu, 2021. "Causal and Frequency Analyses of Purchasing Power Parity," DSSR Discussion Papers 119, Graduate School of Economics and Management, Tohoku University.
Zhou Hui & Jun Nagayasu, 2021. "Is Corporate Environmental Responsibility More Valuable in the Shaky Period? The Moderating Effect of Ownership Type," DSSR Discussion Papers 121, Graduate School of Economics and Management, Tohoku University.
Lamia Bazzaoui & Jun Nagayasu & Ronald MacDonald, 2021. "Cyclical Reaction of Fiscal Policy and its Relationship with the Current Account Balance," DSSR Discussion Papers 118, Graduate School of Economics and Management, Tohoku University.
Koji Murayama & Jun Nagayasu, 2020. "International and Interprefectural Migration in Japan : Implications for the Spatial Assimilation Theory," DSSR Discussion Papers 116, Graduate School of Economics and Management, Tohoku University.
Jun Nagayasu, 2020. "Economic Activities and Regional Correlation During Economic and Natural Disasters," DSSR Discussion Papers 117, Graduate School of Economics and Management, Tohoku University.
Bazzaoui, Lamia & Nagayasu, Jun, 2019. "Is Inflation Fiscally Determined?," MPRA Paper 95753, University Library of Munich, Germany.
Murayama, Koji & Nagayasu, Jun, 2019. "Spatial Dependence, Social Networks, and Economic Structures in Regional Labor Migration," MPRA Paper 95691, University Library of Munich, Germany.
Nazmus Sadat Khan & Jun Nagayasu, 2018. "Productivity Spillovers in the Global Market," DSSR Discussion Papers 87, Graduate School of Economics and Management, Tohoku University.
Jun Nagayasu, 2018. "Condominium Prices and Inflation: The Role of Financial Inflows and Transaction Volumes in Japan," DSSR Discussion Papers 76, Graduate School of Economics and Management, Tohoku University.
Jun Nagayasu, 2018. "Intra-temporal Substitution between Tradable and Nontradable Goods: Evidence from the Japanese Cross-sectional Survey Data," DSSR Discussion Papers 77, Graduate School of Economics and Management, Tohoku University.
Jun Nagayasu, 2018. "Financial Flows, Global Interest Rates, and Political Integration," DSSR Discussion Papers 75, Graduate School of Economics and Management, Tohoku University.
Koji Murayama & Jun Nagayasu, 2018. "Spatial Dependence and Social Networks in Regional Labor Migration," DSSR Discussion Papers 88, Graduate School of Economics and Management, Tohoku University.
Jun Nagayasu, 2018. "Homeownership and Residential Mobility during the "Lost Decades"," DSSR Discussion Papers 89, Graduate School of Economics and Management, Tohoku University.
Nagayasu, Jun, 2016. "Inflation and Bubbles in the Japanese Condominium Market," MPRA Paper 71192, University Library of Munich, Germany.
Nagayasu, Jun, 2016. "Commonality and Heterogeneity in Real Effective Exchange Rates: Evidence from Advanced and Developing Countries," MPRA Paper 70078, University Library of Munich, Germany.
Nagayasu, Jun, 2015. "Regional Inflation and Consumption Behaviors," MPRA Paper 68566, University Library of Munich, Germany.
Nagayasu, Jun, 2015. "Global and country-specific factors in real effective exchange rates," MPRA Paper 64217, University Library of Munich, Germany.
Nagayasu, Jun, 2014. "Regional inflation, spatial location and the Balassa-Samuelson effect," MPRA Paper 59220, University Library of Munich, Germany.
MacDonald, Ronald & Nagayasu, Jun, 2013. "Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate," SIRE Discussion Papers 2013-100, Scottish Institute for Research in Economics (SIRE).
Alberto, Montagnoli & Jun, Nagayasu, 2013. "An Investigation of Housing Affordability in the UK Regions," SIRE Discussion Papers 2013-64, Scottish Institute for Research in Economics (SIRE).
Alberto Montagnoli & Jun Nagayasu, 2013. "UK house prices: convergence clubs and spillovers," Working Papers 1322, University of Strathclyde Business School, Department of Economics.
Nagayasu, Jun, 2013. "Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model," SIRE Discussion Papers 2013-66, Scottish Institute for Research in Economics (SIRE).
Jun, Nagayasu, 2013. "The Forward Premium Puzzle and The Euro," SIRE Discussion Papers 2013-65, Scottish Institute for Research in Economics (SIRE).
Nagayasu, Jun, 2013. "Interdependence in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model," MPRA Paper 45955, University Library of Munich, Germany.
Nagayasu, Jun, 2012. "The threshold consumption correlation-based approach to international capital mobility: evidence from advanced and developing countries," MPRA Paper 36215, University Library of Munich, Germany.
Nagayasu, Jun, 2012. "The Forward Premium Puzzle And Risk Premiums," MPRA Paper 42472, University Library of Munich, Germany.
Nagayasu, Jun, 2012. "Long-Run Implications of the Covered Interest Rate Parity Condition: Evidence during the Recent Crisis and Non-Crisis Periods," MPRA Paper 41566, University Library of Munich, Germany.
Nagayasu, Jun, 2012. "Regional inflation and industrial structure in monetary union," MPRA Paper 37310, University Library of Munich, Germany.
Nagayasu, Jun, 2011. "The threshold nonstationary panel data approach to forward premiums," MPRA Paper 34265, University Library of Munich, Germany.
Byrne, Joseph P & Nagayasu, Jun, 2011. "Common factors of the exchange risk premium in emerging European markets," MPRA Paper 31393, University Library of Munich, Germany.
Nagayasu, Jun, 2011. "Financial Innovation and Regional Money," MPRA Paper 29194, University Library of Munich, Germany.
Nagayasu, Jun, 2011. "Regional deposits and demographic changes," MPRA Paper 31363, University Library of Munich, Germany.
Nagayasu, Jun, 2010. "The Common Component in the Forward Premium: Evidence from the Asia-Pacific Region," MPRA Paper 24549, University Library of Munich, Germany.
Nagayasu, Jun, 2010. "Macroeconomic Interdependence in East Asia," MPRA Paper 27129, University Library of Munich, Germany.
Nagayasu, Jun, 2010. "Domestic Capital Mobility: A Panel Data Approach," MPRA Paper 27720, University Library of Munich, Germany.
Nagayasu, Jun, 2010. "Regional Inflation (Price) Behaviors: Heterogeneity and Convergence," MPRA Paper 25430, University Library of Munich, Germany.
Nagayasu, Jun, 2010. "Economic Factors Contributing to Time-Varying Conditional Correlations in Stock Returns," MPRA Paper 28391, University Library of Munich, Germany.
Nagayasu, Jun, 2009. "Regional Inflation in China," MPRA Paper 24722, University Library of Munich, Germany.
Joseph P. Byrne & Jun Nagayasu, 2008. "Common and idiosyncratic factors of the exchange risk premium in emerging European markets," Working Papers 2008_28, Business School - Economics, University of Glasgow.
Joseph P. Byrne & Jun Nagayasu, 2008. "Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship," Working Papers 2008_29, Business School - Economics, University of Glasgow.
Jun Nagayasu, 2003. "The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period," IMF Working Papers 2003/208, International Monetary Fund.
Jun Nagayasu, 2003. "The Efficiency of the Japanese Equity Market," IMF Working Papers 2003/142, International Monetary Fund.
Jun Nagayasu, 2000. "Currency Crisis and Contagion; Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand," IMF Working Papers 2000/039, International Monetary Fund.
Jun Nagayasu & Ronald MacDonald, 1999. "The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials; A Panel Study," IMF Working Papers 1999/037, International Monetary Fund.
Jun Nagayasu & Enrique A Gelbard, 1999. "Determinants of Angola’s Parallel Market Real Exchange Rate," IMF Working Papers 1999/090, International Monetary Fund.
Jun Nagayasu, 1998. "Does the Long-Run Ppp Hypothesis Hold for Africa? Evidence From Panel Co-Integration Study," IMF Working Papers 1998/123, International Monetary Fund.
Jun Nagayasu, 1998. "Japanese Effective Exchange Rates and Determinants; Prices, Real Interest Rates, and Actual and Optimal Current Accounts," IMF Working Papers 1998/086, International Monetary Fund.
Ronald MacDonald and Jun Nagayasu "On the Japanese Yen-US Dollar Exchange Rate: A Structural Econometric Model Based on Real Interest Differentials," CEPR Discussion Papers 1639, C.E.P.R. Discussion Papers.

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