Yabu Tomoyoshi 藪友良

… Alternative Names

YABU Tomoyoshi 藪友良

薮友良ヤブトモヨシ

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Researcher Number	90463819
Other IDs
Affiliation (Current)	2023: 慶應義塾大学, 商学部(三田), 教授
Affiliation (based on the past Project Information) *help	2017 – 2020: 慶應義塾大学, 商学部(三田), 教授 2016: 慶應義塾大学, 商学部(三田), 准教授 2016: 慶応義塾大学, 商学部, 准教授 2010 – 2015: University of Tsukuba, 商学部, 准教授 2012: 筑波大学, システム情報工学研究科, 講師終了時点、慶応大学商学部准教授 2009: Keio University, 商学部, 講師 2008: University of Tsukuba, 大学院・システム情報工学研究科, 講師
Review Section/Research Field	Principal Investigator Economic statistics / Public finance/Monetary economics / Basic Section 07030:Economic statistics-related Except Principal Investigator Economic theory / Economic statistics
Keywords	Principal Investigator 為替介入 / 為替レート / 単位根 / 内生性 / MCMC / 介入 / 非線形トレンド / 定常 / 貨幣需要関数 / 共和分 … More / 低金利 / 高頻度データ / data augmentation / auxiliary variable / data aumentation / 大震災 / ボラティリティ / アーカイブデータ / 巨大地震 / 非不胎化 / ベイズ推定 / 口先介入 / 後光効果 / 政府高官 / 成功率 / 代理変数 / 利益 / 円ドルレート / 運用利益 / 外貨準備 / 非定常 / 共和分検定 / 貨幣需要 / ゼロ金利 / インフレの厚生コスト / log-log / semi-log / 構造変化 / インフレのコスト / 共和分関係 / 三角関数 / 連続 / 緊急事態宣言 / コロナ … More Except Principal Investigator 為替レート / 高頻度データ / 介入 / オーダーフロー / ボラティリティー / 変動性（ボラティリティー） / ランダム・ウォーク / マクロ統計 / マイクロ・ストラクチャー / 変動性(ボラティリティー) / 変動性 / マクロ経済モデル / 景気循環 / 確率トレンド / モデル選択 / DSGEモデル / インパルス応答関数 / 非線形トレンド / 購買力平価 / マクロ計量モデル Less

非線形時系列手法を用いたマクロ経済分析Principal Investigator
- Principal Investigator
  
  藪友良
- Project Period (FY)
  2020 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Keio University
Analysis of Exchange Rates Using Nonlinear Time Series MethodPrincipal Investigator
- Principal Investigator
  
  Yabu Tomoyoshi
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Keio University
Time Series Analysis of Financial DataPrincipal Investigator
- Principal Investigator
  
  Yabu Tomoyoshi
- Project Period (FY)
  2014 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Keio University
Theoretical and applied analyses on closed and open economy short-run macroeconometric model selection
- Principal Investigator
  
  Shintani Mototsugu
- Project Period (FY)
  2014 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
the effectiveness of foreign exchange intervention in JapanPrincipal Investigator
- Principal Investigator
  
  YABU Tomoyoshi
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Keio University
Theoretical Analysis of Exchange Rate Fluctuations and Applied Analysis of High Frequency Data
- Principal Investigator
  
  ITO Takatoshi
- Project Period (FY)
  2008 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic theory
- Research Institution
  The University of Tokyo
Estimating the effects of foreign exchange interventionsPrincipal Investigator
- Principal Investigator
  
  YABU Tomoyoshi
- Project Period (FY)
  2008 – 2010
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  University of Tsukuba

All 2021 2020 2019 2018 2017 2016 2015 2013 2012 2011 2010 2009

All Journal Article Presentation

[Journal Article] Japan's Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data2021
- Author(s)
  Tsutomu Watanabe; Tomoyoshi Yabu
- Journal Title
  
  CARF Working Paper Series
  
  Volume: -
- NAID
  210000178471
- Open Access
- Data Source
  KAKENHI-PROJECT-20K01594
[Journal Article] Japan’s Volantary Lockdown2020
- Author(s)
  Tsutomu Watanabe; Tomoyoshi Yabu
- Journal Title
  
  Covid Economics
  
  Volume: 46 Pages: 1-31
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20K01594
[Journal Article] 日本の自発的ロックダウンに関する考察2020
- Author(s)
  渡辺努；藪友良
- Journal Title
  
  Central Bank Communication Design Working Paper
  
  Volume: -
- Open Access
- Data Source
  KAKENHI-PROJECT-20K01594
[Journal Article] Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy2020
- Author(s)
  Takatoshi Ito; Tomoyoshi Yabu
- Journal Title
  
  NBER Working Paper
  
  Volume: -
- NAID
  210000164425
- Data Source
  KAKENHI-PROJECT-17K03663
[Journal Article] How large is the demand for Money at the ZLB? Evidence from Japan2019
- Author(s)
  Tsutomu Watanabe; Tomoyoshi Yabu
- Journal Title
  
  CARF Working Paper
  
  Volume: -
- Data Source
  KAKENHI-PROJECT-17K03663
[Journal Article] The Demand for Money at the Zero Interest Rate Bound2018
- Author(s)
  Tsutomu Watanabe and Tomoyoshi Yabu
- Journal Title
  
  Central Bank Communication Design, Working Paper Series No. 002
  
  Volume: - Pages: 1-31
- Open Access
- Data Source
  KAKENHI-PROJECT-17K03663
[Journal Article] 為替介入と外貨準備-運用損益の長期推定2017
- Author(s)
  伊藤隆敏、藪友良
- Journal Title
  
  日本経済研究
  
  Volume: 74号 Pages: 98-127
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-26380274
[Journal Article] 為替介入と外貨準備: 運用損益の長期推計2017
- Author(s)
  伊藤隆敏，藪友良
- Journal Title
  
  日本経済研究
  
  Volume: 74 Pages: 98-127
- NAID
  40021160862
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-26380274
[Journal Article] 為替介入と外貨準備―運用損益の長期推計2017
- Author(s)
  伊藤隆敏、藪友良
- Journal Title
  
  日本経済研究
  
  Volume: 3 Pages: 98-127
- NAID
  40021160862
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-17K03663
[Journal Article] Testing for flexible nonlinear trends with an integrated or stationary noise component2017
- Author(s)
  Perron, Pierre, Mototsugu Shintani and Tomoyoshi Yabu
- Journal Title
  
  Oxford Bulletin of Economics and Statistics
  
  Volume: 印刷中 Pages: 822-850
- DOI
  10.1111/obes.12169
- Peer Reviewed / Acknowledgement Compliant / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26285049, KAKENHI-PROJECT-17H00985, KAKENHI-PROJECT-17H02510, KAKENHI-PROJECT-26380274, KAKENHI-PROJECT-17K03663
[Journal Article] 為替介入と外貨準備：運用差益の長期推計2016
- Author(s)
  伊藤隆敏、藪友良
- Journal Title
  
  日本経済研究
  
  Volume: 印刷中
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-26380274
[Journal Article] Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component2015
- Author(s)
  Pierre Perron, Mototsugu Shintani, Tomoyoshi Yabu
- Journal Title
  
  Vanderbilt University Department of Economics Working Papers
  
  Volume: 15-00001
- Open Access
- Data Source
  KAKENHI-PROJECT-26380274
[Journal Article] Exchange rate pass-through and inflation : A nonlinear time series analysis2013
- Author(s)
  藪友良、新谷元嗣、萩原景子
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: Vol.32 Pages: 512-527
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] The Great Intervention and Massive Money Injection : The Japanese Experience 2003-20042013
- Author(s)
  藪友良、渡辺努
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: Vol.32 Pages: 428-443
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] The great intervention and massive money injection: The Japanese experience 2003-20042013
- Author(s)
  Tsutomu Watanabe, Tomoyoshi Yabu
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 32巻 Pages: 428-443
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] Exchange rate pass-through and inflation: A nonlinear time series analysis2013
- Author(s)
  Shintani, Mototsugu, Akiko Terada-Hagiwara, Tomoyoshi Yabu
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 32巻 Pages: 512-527
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] Great earthquakes, exchange rate volatility and government interventions2013
- Author(s)
  藪友良、畑瀬真理子、新谷元嗣
- Journal Title
  
  Vanderbilt university working paper series
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] Spurious regressions in technical trading2012
- Author(s)
  Mototsugu Shintani, Tomoyoshi Yabu, Daisuke Nagakura
- Journal Title
  
  Journal of Econometrics
  
  Volume: 151巻 Pages: 301-309
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] A New Method for Identifying the Effects of Foreign Exchange Interventions2012
- Author(s)
  Chih-nan Chen, Tsutomu Watanabe, Tomoyoshi Yabu
- Journal Title
  
  Journal of Money, Credit and Banking
  
  Volume: 44巻 Pages: 1507-1533
- DOI
  10.1111/j.1538-4616.2012.00542.x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] A new method for identifying the effects of foreign exchange interventions2012
- Author(s)
  藪友良、Chih-nan Chen、渡辺努
- Journal Title
  
  Journal of Money, Credit and Banking
  
  Volume: Vol.44 Pages: 1507-1533
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] Spurious regressions in technical trading2012
- Author(s)
  藪友良、新谷元嗣、長倉大輔
- Journal Title
  
  Journal of Econometrics
  
  Volume: Vol.169 Pages: 301-309
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] Testing for Trend in the Presence of Autoregressive Error: A Comment2012
- Author(s)
  Pierre Perron, Tomoyoshi Yabu
- Journal Title
  
  Journal of the American Statistical Association
  
  Volume: 107巻 Pages: 844-844
- DOI
  10.1080/01621459.2012.668638
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] Fiscal policy switching : Evidence from Japan, the U.S., and the U.K.2011
- Author(s)
  藪友良、伊藤新、渡辺努
- Journal Title
  
  Journal of the Japanese and International Economies
  
  Volume: Vol.25 Pages: 380-413
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] Spurious regressions in technical trading2011
- Author(s)
  藪友良、新谷元嗣、長倉大輔
- Journal Title
  
  Journal of Econometrics 掲載予定
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20730203
[Journal Article] Fiscal policy switching: Evidence from Japan, the U.S., and the U.K.2011
- Author(s)
  Arata Ito, Tsutomu Watanabe, Tomoyoshi Yabu
- Journal Title
  
  Journal of the Japanese and International Economies
  
  Volume: 25 Pages: 380-413
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730216
[Journal Article] Spurious regressions in technical trading2011
- Author(s)
  新谷元嗣、藪友良、長倉大輔
- Journal Title
  
  Journal of Econometrics
  
  Volume: (未定印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20730203
[Journal Article] 量的緩和期の外為介入2010
- Author(s)
  藪友良、渡辺努
- Journal Title
  
  フィナンシャル・レビュー通算99号
  
  Pages: 97-114
- Data Source
  KAKENHI-PROJECT-20730203
[Journal Article] Exchange rate pass-through and inflation : A nonlinear time series analysis2009
- Author(s)
  藪友良、新谷元嗣、萩原景子
- Journal Title
  
  Vanderbilt University Working Paper Series 09-W20
  
  Pages: 1-35
- Data Source
  KAKENHI-PROJECT-20730203
[Journal Article] Exchange rate pass-through and inflation : Anonlinear time series analysis2009
- Author(s)
  藪友良、新谷元嗣、萩原景子
- Journal Title
  
  Working papers 0920, Department of Economics, Vanderbilt University
- Data Source
  KAKENHI-PROJECT-20730203
[Journal Article] A New Method for Identifying the Effects of Foreign Exchange Interventions2009
- Author(s)
  藪友良、渡辺努、Chih-nan Chen
- Journal Title
  
  IMES Discussion Paper
  
  Pages: 1-30
- Data Source
  KAKENHI-PROJECT-20730203
[Journal Article] A New Method for Identifying the Effects of Foreign Exchange Interventions2009
- Author(s)
  Chih-nan Chen, Tsutomu Watanabe, Tomovoshi Yabu
- Journal Title
  
  IMES Discussion Paper No.2009-E-6
  
  Pages: 1-30
- Data Source
  KAKENHI-PROJECT-20730203
[Presentation] How large is the demand for Money at the ZLB? Evidence from Japan2019
- Author(s)
  渡辺努、藪友良
- Organizer
  日本銀行金融研究所　金融・ファイナンスセミナー
- Data Source
  KAKENHI-PROJECT-17K03663
[Presentation] On Trigonometric Trend Regressions of Unknown Frequencies in the Presence of Autoregressive Errors2017
- Author(s)
  藪友良
- Organizer
  近畿大学経済研究会
- Place of Presentation
  近畿大学（大阪府、東大阪市）
- Invited
- Data Source
  KAKENHI-PROJECT-26380274
[Presentation] On Trigonometric Trend Regressions of Unknown Frequencies in the Presence of Autoregressive Error2017
- Author(s)
  新谷元嗣（Pierre Perron、藪友良）
- Organizer
  計量経済学セミナー
- Place of Presentation
  京都大学経済研究所（京都府京都市）
- Year and Date
  2017-02-08
- Data Source
  KAKENHI-PROJECT-26285049
[Presentation] Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component2016
- Author(s)
  新谷元嗣（Pierre Perron、藪友良）
- Organizer
  The 26th Annual Meeting of the Midwest Econometrics Group
- Place of Presentation
  University of Illinois at Urbana-Champaign (Urbana-Champaign, USA)
- Year and Date
  2016-10-21
- Data Source
  KAKENHI-PROJECT-26285049
[Presentation] Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component2015
- Author(s)
  藪友良
- Organizer
  Boston University Econometric Seminar
- Place of Presentation
  Boston
- Year and Date
  2015-04-17
- Data Source
  KAKENHI-PROJECT-26380274
[Presentation] A new method for identifying the effects of foreign exchange interventions2012
- Author(s)
  藪友良
- Organizer
  神戸大学六甲セミナー
- Place of Presentation
  神戸大学
- Data Source
  KAKENHI-PROJECT-23730216
[Presentation] A new method for identifying the effects of foreign exchange interventions2009
- Author(s)
  藪友良
- Organizer
  NBER Japan Project
- Place of Presentation
  政策研究大学院大学
- Year and Date
  2009-07-01
- Data Source
  KAKENHI-PROJECT-20730203

1. Shintani Mototsugu (00252718)

# of Collaborated Projects: 2 results

# of Collaborated Products: 4 results
2. ITO Takatoshi (30203144)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
3. HASHIMOTO Yuko (80333037)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
4. TSURUGA Takayuki (40511720)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. INOUE Atsushi

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. CRUCINI Mario

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Yabu Tomoyoshi 藪 友良

YABU Tomoyoshi 藪 友良

薮 友良 ヤブ トモヨシ

Research Projects

Research Products

Co-Researchers

非線形時系列手法を用いたマクロ経済分析Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Analysis of Exchange Rates Using Nonlinear Time Series MethodPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Time Series Analysis of Financial DataPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Theoretical and applied analyses on closed and open economy short-run macroeconometric model selection

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

the effectiveness of foreign exchange intervention in JapanPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Theoretical Analysis of Exchange Rate Fluctuations and Applied Analysis of High Frequency Data

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Estimating the effects of foreign exchange interventionsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Japan's Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data2021

Author(s)

Journal Title

NAID

Data Source

[Journal Article] Japan’s Volantary Lockdown2020

Author(s)

Journal Title

Data Source

[Journal Article] 日本の自発的ロックダウンに関する考察2020

Author(s)

Journal Title

Data Source

[Journal Article] Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy2020

Author(s)

Journal Title

NAID

Data Source

[Journal Article] How large is the demand for Money at the ZLB? Evidence from Japan2019

Author(s)

Journal Title

Data Source

[Journal Article] The Demand for Money at the Zero Interest Rate Bound2018

Author(s)

Journal Title

Data Source

[Journal Article] 為替介入と外貨準備-運用損益の長期推定2017

Author(s)

Journal Title

Data Source

[Journal Article] 為替介入と外貨準備: 運用損益の長期推計2017

Author(s)

Yabu Tomoyoshi 藪友良

YABU Tomoyoshi 藪友良

薮友良ヤブトモヨシ