Updated on 2025/12/02

写真a

 
yamamoto yohei
 
Organization
Tokyo Tech Academy of Energy and Informatics Professor
Title
Professor
External link

Degree

  • 経済学博士（Ph.D. in Economics） ( ボストン大学 )

  • Ph.D. in Economics ( Boston University )

Research Interests

  • time series analysis

  • climate change

  • applied macroeconomics

  • International Finance

Research Areas

  • Humanities & Social Sciences / Economic statistics

Education

  • Boston University   Department of Economics

    2003.9 - 2009.5

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    Country： United States

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  • The University of Tokyo   Faculty of Economics

    - 1997.3

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    Country： Japan

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Research History

  • Education and Research Council, Hitotsubashi University   Member

    2025.4

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  • Institute of Science Tokyo   Academy of Energy and Informatics   Professor

    2021.4

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    Country：Japan

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  • Hitotsubashi University   Executive Assistant

    2020.9 - 2024.8

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  • Boston University   Department of Economics   Visiting Scholar

    2018.3 - 2019.3

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    Country：United States

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  • Hitotsubashi University   Graduate School of Economics   Professor

    2017.4

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  • Hitotsubashi University   Faculty of Economics   Professor

    2017.4

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  • Hitotsubashi University   Graduate School of Economics   Associate Professor

    2014.11 - 2017.3

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  • Hitotsubashi University   Graduate School of Economics   Assistant Professor

    2012.4 - 2014.10

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  • University of Alberta   School of Business   Assistant Professor

    2009.7 - 2012.3

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  • Development Bank of Japan

    1997.4 - 2006.7

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Professional Memberships

Papers

  • Synergies Between Observed Warming and ENSO Episodes on Extreme Events Reviewed

    Francisco Estrada, Pierre Perron, Yohei Yamamoto

    Annals of the New York Academy of Sciences   2025.11

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：Wiley  

    ABSTRACT

    El Niño/Southern Oscillation (ENSO) is the dominant interannual variability mode of the global climate system with significant effects on a variety of weather conditions, including extremes. Past events illustrate the severe societal consequences this phenomenon has through weather disasters, food security, health, economic growth, migration, and conflict. ENSO's interactions with global warming are not well understood, although they can lead to significant changes in the characteristics of extreme events. Climate conditions in 2024/2025 may favor widespread severe extreme events with global temperature anomalies nearing or surpassing 1.5°C and a transition from strong El Niño to La Niña conditions. Here, we show that current warming has amplified the effects of ENSO on temperature and precipitation extremes worldwide. Results show that warming has produced a considerable amplification of the effects of ENSO episodes over such extremes, as well as extensively modified spatial patterns. We show that considerable shares of the population, gross domestic product, agriculture, and ecosystems now face a higher risk from extreme events due to the interactions between increased anthropogenic forcing and ENSO.

    DOI： 10.1111/nyas.70122

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  • The Trend Effect of Foreign Exchange Intervention Reviewed

    Rasmus Fatum, Yohei Yamamoto, Binwei Chen

    Journal of International Money and Finance   156   103355 - 103355   2025.6

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：Elsevier BV  

    DOI： 10.1016/j.jimonfin.2025.103355

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  • The Efficiency of the Japanese Government’s Revenue Projections Reviewed

    Natsuki Arai, Nobuo Iizuka, Yohei Yamamoto

    Economics Letters   244   112035 - 112035   2024.11

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：Elsevier BV  

    DOI： 10.1016/j.econlet.2024.112035

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  • Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields Reviewed International coauthorship International journal

    Rasmus Fatum, Naoko Hara, Yohei Yamamoto

    Journal of Money, Credit and Banking   56 ( 5 )   1261 - 1285   2024.8

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    Language：English   Publishing type：Research paper (other academic)  

    DOI： 10.1111/jmcb.13006

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  • バブル発生に関する期待と経済成長 Invited Reviewed

    陣内了, 土田悟司, 山本庸平

    経済研究   75 ( 1 )   1 - 28   2024.4

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    Language：Japanese   Publishing type：Research paper (bulletin of university, research institution)  

    DOI： 10.60328/keizaikenkyu.er.ar.032724

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  • Identifying Common and Idiosyncratic Explosive Behaviors in the Large Dimensional Factor Model with an Application to U.S. State-Level House Prices Reviewed

    Tetsushi Horie, Yohei Yamamoto

    Journal of Econometric Methods   13 ( 1 )   1 - 27   2024

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    Authorship：Corresponding author   Language：English   Publishing type：Research paper (scientific journal)   Publisher：Walter de Gruyter GmbH  

    Abstract

    This study applies the date-stamping methodologies for explosive behaviors proposed in the seminal work of Phillips, P. C. B., and J. Yu. (2011. “Dating the Timeline of Financial Bubbles during the Subprime Crisis.” Quantitative Economics 2 (3): 455–91), Phillips, P. C. B., S. Shi, and J. Yu. (2015a. “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500.” International Economic Review 56 (4): 1043–78), and Phillips, P. C. B., S. Shi, and J. Yu. (2015b. “Testing for Multiple Bubbles: Limit Theory of Real Time Detectors.” International Economic Review 56 (4): 1079–134) to a large dimensional factor model. To this end, we compare two methods of identifying common and idiosyncratic components: the Panel Analysis of Nonstationarity in Idiosyncratic and Common Components (PANIC) method by Bai, J., and S. Ng. (2004. “A Panic Attack on Unit Roots and Cointegration.” Econometrica 72 (4): 1127–77) and the Cross-Sectional regression (CS) method by Yamamoto, Y., and T. Horie. (2022. “A Cross-Sectional Method for Right-Tailed PANIC Tests under a Moderately Local to Unity Framework.” Econometric Theory (forthcoming)). We show that, when the explosive behavior lies only in the common component, the origination and termination dates are precisely estimated by either method. However, when the explosive behaviors exist in idiosyncratic components, only the CS method can detect them. We apply our method to the U.S. state-level real house price indices. We find that the 2000s boom was driven by not only the national bubble factors but also local components, while the 2010s onward expansion is dominated by the effect of national components.

    DOI： 10.1515/jem-2022-0017

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    Other Link： https://www.degruyter.com/document/doi/10.1515/jem-2022-0017/pdf

  • On the Persistence of Near‐surface Temperature Dynamics in a Warming World Invited Reviewed

    Francisco Estrada, Pierre Perron, Yohei Yamamoto

    Annals of the New York Academy of Sciences   1531 ( 1 )   69 - 83   2024

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    Authorship：Last author   Language：English   Publishing type：Research paper (scientific journal)   Publisher：Wiley  

    Abstract

    We consider issues related to the effect of climate change on the persistence of (trend‐corrected) temperatures using global gridded data for both land and oceans. We first discuss how the presence of trends and additive noise affects inference about persistence. Ignoring a trend induces an upward bias, while not accounting for noise induces a downward bias. We show that the increase in persistence in the commonly used Warm Spell Duration Index is simply an artifact of increasing temperatures. To purge the impact of both trends and noise, we adopt a simple state‐space model. Of separate interest, we document a much larger noise component for land than for oceans. The estimates of the persistence are much larger for oceans than for land. Inspection of the estimates across various subsamples and the application of tests for structural changes suggest the same pattern of persistence for both land and oceans across time, with few minor exceptions. Hence, our results show that surface temperature persistence has remained constant during the observed period.

    DOI： 10.1111/nyas.15088

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  • Anthropogenic Influence on Extremes and Risk Hotspots Reviewed International coauthorship

    Francisco Estrada, Pierre Perron, Yohei Yamamoto

    Scientific Reports   13 ( 35 )   2023.1

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1038/s41598-022-27220-9

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  • Reserves and Risk: Evidence from China Reviewed

    Rasmus Fatum, Takahiro Hattori, Yohei Yamamoto

    Journal of International Money and Finance   134 ( 102844 )   2023

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    Language：English   Publishing type：Research paper (other academic)  

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  • A Cross-Sectional Method for Right-Tailed PANIC Tests under a Moderately Local to Unity Framework Reviewed

    Yohei Yamamoto, Tetsushi Horie

    Econometric Theory   39 ( 2 )   1 - 23   2022

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    Authorship：Lead author,　Corresponding author   Language：English   Publishing type：Research paper (scientific journal)   Publisher：Cambridge University Press (CUP)  

    The left-tailed unit-root tests of the panel analysis of nonstationarity in idiosyncratic and common components (PANIC) proposed by Bai and Ng (2004, Econometrica 72, 1127–1177) have standard local asymptotic power. We assess the size and power properties of the right-tailed version of the PANIC tests when the common and/or the idiosyncratic components are moderately explosive. We find that, when an idiosyncratic component is moderately explosive, the tests for the common components may have considerable size distortions, and those for an idiosyncratic component may suffer from the nonmonotonic power problem. We provide an analytic explanation under the moderately local to unity framework developed by Phillips and Magdalinos (2007, Journal of Econometrics 136, 115–130). We then propose a new cross-sectional (CS) approach to disentangle the common and idiosyncratic components in a relatively short explosive window. Our Monte Carlo simulations show that the CS approach is robust to the nonmonotonic power problem.

    DOI： 10.1017/s0266466622000044

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  • Identifying Factor‐Augmented Vector Autoregression Models via Changes in Shock Variances Reviewed

    Yohei Yamamoto, Naoko Hara

    Journal of Applied Econometrics   37 ( 4 )   722 - 745   2022

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    Authorship：Lead author,　Corresponding author   Language：English   Publishing type：Research paper (scientific journal)   Publisher：Wiley  

    DOI： 10.1002/jae.2894

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  • The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence Reviewed

    Pierre Perron, Yohei Yamamoto

    Empirical Economics   62 ( 3 )   1193 - 1218   2021.4

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    Authorship：Corresponding author   Language：English   Publishing type：Research paper (scientific journal)   Publisher：Springer Science and Business Media {LLC}  

    DOI： 10.1007/s00181-021-02047-x

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  • Testing for Changes in Forecasting Performance Reviewed

    Pierre Perron, Yohei Yamamoto

    Journal of Business and Economic Statistics   39 ( 1 )   148 - 165   2021.1

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    Authorship：Corresponding author   Language：English   Publishing type：Research paper (scientific journal)   Publisher：Informa UK Limited  

    DOI： 10.1080/07350015.2019.1641410

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  • Structural Change Tests under Heteroskedasticity: Joint Estimation versus Two‐Steps Methods Reviewed

    Pierre Perron, Yohei Yamamoto

    Journal of Time Series Analysis   43 ( 3 )   389 - 411   2021

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    Authorship：Corresponding author   Language：English   Publishing type：Research paper (scientific journal)   Publisher：Wiley  

    DOI： 10.1111/jtsa.12619

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    Other Link： https://onlinelibrary.wiley.com/doi/full-xml/10.1111/jtsa.12619

  • Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model Reviewed

    Pierre Perron, Yohei Yamamoto, Jing Zhou

    Quantitative Economics   11   1019 - 1057   2020.7

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    Authorship：Corresponding author   Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.3982/QE1332

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  • Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model Reviewed

    Pierre Perron, Yohei Yamamoto

    Econometrics   7 ( 2 )   1 - 22   2019.5

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    Authorship：Corresponding author   Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.3390/econometrics7020022

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  • Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions Reviewed

    Yohei Yamamoto

    Journal of Applied Econometrics   34 ( 2 )   247 - 267   2019.3

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    Authorship：Lead author,　Corresponding author   Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1002/jae.2659

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  • A Modified Confidence Set for the Structural Break Date in Linear Regression Models Reviewed

    Yohei Yamamoto

    Econometric Reviews   37 ( 9 )   974 - 999   2018.10

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    Authorship：Lead author,　Corresponding author   Language：English   Publishing type：Research paper (scientific journal)   Publisher：Taylor and Francis Inc.  

    DOI： 10.1080/00927872.2016.1178892

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  • The Exchange Rate Effects of Macro News after the Global Financial Crisis Reviewed

    Yin-Wong Cheung, Rasmus Fatum, Yohei Yamamoto

    Journal of International Money and Finance   95   424 - 443   2018

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    Language：English   Publishing type：Research paper (scientific journal)   Publisher：Elsevier Ltd  

    DOI： 10.1016/j.jimonfin.2018.03.009

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  • Is the Renminbi a Safe Haven? Reviewed

    Rasmus Fatum, Yohei Yamamoto, Guozhong Zhu

    Journal of International Money and Finance   79   189 - 202   2017.12

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1016/j.jimonfin.2017.09.010

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  • Intra-safe haven currency behavior during the global financial crisis Reviewed

    Rasmus Fatum, Yohei Yamamoto

    Journal of International Money and Finance   66   49 - 64   2016.9

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1016/j.jimonfin.2015.12.007

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  • On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests Reviewed

    Pierre Perron, Yohei Yamamoto

    Econometric Reviews   35 ( 5 )   782 - 844   2016.5

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1080/07474938.2014.977621

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  • Forecasting With Nonspurious Factors in US Macroeconomic Time Series Reviewed

    Yohei Yamamoto

    Journal of Business and Economic Statistics   34 ( 1 )   81 - 106   2016.1

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    Authorship：Lead author,　Corresponding author   Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1080/07350015.2015.1004071

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  • Testing for factor loading structural change under common breaks Reviewed

    Yohei Yamamoto, Shinya Tanaka

    Journal of Econometrics   189 ( 1 )   187 - 206   2015.11

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    Authorship：Lead author,　Corresponding author   Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1016/j.jeconom.2015.06.018

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  • Confidence sets for the break date based on optimal tests Reviewed

    Eiji Kurozumi, Yohei Yamamoto

    ECONOMETRICS JOURNAL   18 ( 3 )   412 - 435   2015.10

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1111/ectj.12055

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  • Asymptotic Inference for Common Factor Models in the Presence of Jumps

    Yohei Yamamoto

    Graduate School of Economics Hitotsubashi University Discussion Paper No.2015-05   2015.7

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    Language：English   Publishing type：Research paper (bulletin of university, research institution)  

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  • Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors Reviewed

    Pierre Perron, Yohei Yamamoto

    Journal of Applied Econometrics   30 ( 1 )   119 - 144   2015.1

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1002/jae.2320

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  • On Structural Change and Forecasting Performance Stability of Japanese Phillips Curve Models (in Japanese) Reviewed

    Yohei Yamamoto

    Journal of the Japan Statistical Society   44 ( 1 )   75 - 95   2014.9

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    Language：Japanese   Publishing type：Research paper (scientific journal)  

    This paper statistically investigates structural change in the Japanese Phillips curve models and their forecasting performance stability. I find that there are three significant mean shifts in Japanese inflation data from 1970 to 2013. By considering them as exogenous effects, I did not find significant structural change in the Phillips curve slope coefficients in most cases of various real economic activity measures. However, if the model includes inflation expectation in the manner of rational expectation, the coefficients are found to be less stable. I also find evidence of so-called forecast beakdown in inflation forecasts if I use the Phillips curve model estimated by the data after 1982 in which the coefficients are deemed to be stable, together with inflation data with the mean shifts to account for possible exogenous mean shifts in the future.

    DOI： 10.11329/jjssj.44.75

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    Other Link： http://dl.ndl.go.jp/info:ndljp/pid/10823347

  • Large versus small foreign exchange interventions Reviewed

    Rasmus Fatum, Yohei Yamamoto

    Journal of Banking and Finance   43   114 - 123   2014.6

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1016/j.jbankfin.2014.03.015

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  • A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS Reviewed

    Pierre Perron, Yohei Yamamoto

    Econometric Theory   30 ( 2 )   491 - 507   2014.4

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1017/S0266466613000388

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  • Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions Reviewed

    Yohei Yamamoto, Pierre Perron

    Econometrics Journal   16 ( 3 )   400 - 429   2013.10

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    Language：English   Publishing type：Research paper (scientific journal)  

    DOI： 10.1111/ectj.12010

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Books

  • 統計学15講

    山本 庸平（ Role： Sole author）

    新世社  2017.12  （ ISBN:9784883842674 ）

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    Language：Japanese   Book type：Scholarly book

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  • 「グローバル・ショックに対する地域経済の反応」（小川光編『グローバル化とショック波及の経済学』所収） （共著）

    山本 庸平（ Role： Joint author）

    有斐閣  2016.10  （ ISBN:9784641164857 ）

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    Language：Japanese   Book type：Scholarly book

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MISC

  • 為替介入の計量経済学－日本における近年の為替介入の効果を巡って－ Invited

    山本庸平

    三菱経済研究所経済研究書   162   1 - 79   2025.9

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    Language：Japanese   Publishing type：Internal/External technical report, pre-print, etc.  

    DOI： 10.60246/merierb.162

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  • バブルはどう実証されてきたか？ Invited

    山本庸平

    経済セミナー2023年10・11月号   44 - 49   2023.9

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    Language：Japanese   Publishing type：Article, review, commentary, editorial, etc. (trade magazine, newspaper, online media)  

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Presentations

  • Testing and Quantifying Economic Resilience

    Yohei Yamamoto

    18th CFE-CMStatistics  2024.12 

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    Event date： 2024.12

    Language：English   Presentation type：Oral presentation (general)  

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  • Synergies Between Current and Future Warming Levels and ENSO Episodes on Extreme Events

    Yohei Yamamoto

    Workshop "Energy Transition and Climate Change"  2024.9 

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    Event date： 2024.9

    Language：English   Presentation type：Oral presentation (general)  

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  • Testing and Quantifying Economic Resilience

    Yohei Yamamoto

    Kansai Econometrics Study Group Meeting  2024.1 

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    Event date： 2024.1

    Language：Japanese   Presentation type：Oral presentation (general)  

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  • Reserves and Risk: Evidence from China Invited International coauthorship

    Yohei Yamamoto

    Summer Workshop on Economic Theory  2020.8 

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    Event date： 2020.8

    Language：Japanese   Presentation type：Oral presentation (invited, special)  

    Venue：Otaru University of Commerce  

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  • Testing for Factor Loading Structural Change under Common Breaks International conference

    Yohei Yamamoto

    The 10th International Symposium on Econometric Theory and Applications  2014.5 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：台湾中央研究院  

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  • Testing for Factor Loading Structural Change under Common Breaks International conference

    Yohei Yamamoto

    Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium  2014.4 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ニューヨーク市立大学バルーク校  

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  • Testing for Factor Loading Structural Change under Common Breaks International conference

    Yohei Yamamoto

    The Applied Statistics Workshop (University of Tokyo)  2014.5 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：The University of Tokyo  

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  • Testing for Factor Loading Structural Change Under Common Breaks International conference

    Yohei Yamamoto

    Applied Economics Workshop (Development Bank of Japan)  2014.1 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：日本政策投資銀行  

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  • *On Structural Change and Forecast Performance Stability in Japanese Phillips Curve International conference

    Yohei Yamamoto

    Finance Time Series Workshop (Hiroshima University of Economics)  2014.3 

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    Language：Japanese   Presentation type：Oral presentation (invited, special)  

    Venue：Hiroshima University of Economics, Japan  

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  • *時系列分析とパネルデータ分析の基礎と実践

    山本 庸平

    社会制度と幸福感に関する研究会  2013.12 

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    Language：Japanese   Presentation type：Oral presentation (invited, special)  

    Venue：同志社大学  

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  • Large Versus Small Foreign Exchange Interventions International conference

    Yohei Yamamoto

    Economics Seminar (GRIPS)  2014.1 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：政策研究大学院大学  

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  • Testing for Factor Loading Structural Change under Common Breaks International conference

    Yohei Yamamoto

    Canadian Econometric Study Group Annual Meeting  2014.10 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：サイモンフレーザー大学，カナダ  

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  • *A Modified Confidence Set for the Structural Break Date in Linear Regression Models International conference

    Yohei Yamamoto

    Sogan-Hitotsubashi Conference on Econometrics  2014.12 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：西江大学，韓国  

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  • On Structural Change and Forecast Performance Stability in Japanese Phillips Curve Models International conference

    Yohei Yamamoto

    Macroeconomics Workshop  2014.6 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：The University of Tokyo  

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  • A Modified Confidence Set for the Structural Break Date in Linear Regression Models International conference

    Yohei Yamamoto

    Summer Workshop on Economic Theory  2014.8 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：小樽商科大学  

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  • *Asymptotic Inference for Common Factor Models in the Presence of Jumps International conference

    Yohei Yamamoto

    Hitotsubashi Summer Institute  2015.8 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：一橋大学  

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  • Asymptotic Inference for Common Factor Models in the Presence of Jumps

    Yohei Yamamoto

    Japanese Joint Statistical Meeting  2015.9 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：Okayama University, Japan  

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  • *Intra-Safe Haven Currency Behavior During the Global Financial Crisis International conference

    Yohei Yamamoto

    International Conference on the New Normal in the Post-Crisis Era  2015.5 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：香港城市大学，香港  

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  • A Modified Confidence Set for the Structural Break Date in Linear Regression Models International conference

    Yohei Yamamoto

    The 2nd Conference of International Association for Applied Econometrics  2015.6 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：マケドニア大学，ギリシア  

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  • On Structural Change and Forecast Performance Stability in Japanese Phillips Curve Models

    Yohei Yamamoto

    Special Lecture on Advanced Science  2015.1 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：Research Center for Advanced Science and Technology, The University of Tokyo, Japan  

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  • A Modified Confidence Set for the Structural Break Date in Linear Regression Models International conference

    Yohei Yamamoto

    Kansai Econometrics Study Group  2015.1 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：大阪大学  

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  • Asymptotic Inference for Common Factor Models in the Presence of Jumps International conference

    Yohei Yamamoto

    Society for Nonlinear Dynamics and Econometrics 24th Annual Symposium  2016.3 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：アラバマ大学，米国アラバマ州タスカルーサ市  

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  • *Asymptotic Inference for Common Factor Models in the Presence of Jumps International conference

    Yohei Yamamoto

    AJRC and HIAS Joint Conference on Recent Issues in Finance and Macroeconomics  2016.3 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：オーストラリア国立大学，豪州キャンベラ市  

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  • Asymptotic Inference for Common Factor Models in the Presence of Jumps International conference

    Yohei Yamamoto

    9th International Conference on Computational and Financial Econometrics  2015.12 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ロンドン大学，英国ロンドン市  

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  • Asymptotic Inference for Common Factor Models in the Presence of Jumps International conference

    Yohei Yamamoto

    12th International Symposium on Econometric Theory and Applications  2016.2 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ワイカト大学，ニュージーランド・ハミルトン市  

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  • Asymptotic Inference for Common Factor Models in the Presence of Jumps

    Yohei Yamamoto

    Econometrics Seminar  2015.9 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：Keio University, Japan  

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  • Time Instability of the US monetary system: Multiple Break Tests and Reduced Rank TVP VAR International conference

    Yohei Yamamoto

    The 11th World Meeting of the International Society for Bayesian Analysis  2012.6 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：京都  

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  • Estimating and Testing Multiple Structural Changes in Linear Models by Band Spectral Regressions International conference

    Yohei Yamamoto

    Canadian Econometric Study Group Meeting  2011.10 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ライアソン大学，カナダ・トロント市  

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  • *Bootstrap inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions

    Yohei Yamamoto

    Japan Association for Applied Economics Spring Meeting  2012.6 

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    Language：Japanese   Presentation type：Oral presentation (invited, special)  

    Venue：Fukuoka University, Japan  

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  • Bootstrap inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions International conference

    Yohei Yamamoto

    The 5th CIREQ Time Series Conference  2011.5 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：モントリオール大学，カナダ・モントリオール市  

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  • Bootstrap inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions International conference

    Yohei Yamamoto

    2011 North American Summer Meeting of Econometric Society  2011.6 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：セントルイス・ワシントン大学，セントルイス，アメリカ合衆国  

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  • Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors

    Yohei Yamamoto

    Nagoya Conference on Public Economics and Macroeconomics  2010.12 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：Nagoya University, Japan  

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  • Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors

    Yohei Yamamoto

    Hitotsubashi Macro-Econometrics Conference  2011.2 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：Hitotsubashi University, Japan  

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  • Bootstrap inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions International conference

    Yohei Yamamoto

    Canadian Econometric Study Group Meeting  2010.10 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ブリティッシュコロンビア大学，カナダ・バンクーバー市  

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  • On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests International conference

    Yohei Yamamoto

    2012 Hitotsubashi-Sogan Conference on Econometrics  2012.11 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：韓国  

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  • Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series

    Yohei Yamamoto

    Kansai Econometrics Workshop  2013.1 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：Hitotsubashi University, Japan  

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  • Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series International conference

    Yohei Yamamoto

    Econometric Society Asian Meeting  2013.8 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：シンガポール国立大学  

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  • Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series International conference

    Yohei Yamamoto

    Econometric Society European Meeting  2013.8 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：イエーテボリ大学，スウェーデン  

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  • Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series International conference

    Yohei Yamamoto

    Econometric Society Australasian Meeting  2013.7 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：シドニー大学，オーストラリア  

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  • Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series International conference

    Yohei Yamamoto

    The 9th International Symposium on Econometric Theory and Applications  2013.7 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：成均館大学，韓国  

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  • On Power Properties of Factor Loading Structural Change Tests under Common Breaks International conference

    Yohei Yamamoto

    Econometrics Seminar (Kyoto University)  2013.5 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：京都大学  

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  • Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series

    Yohei Yamamoto

    2013 Japanese Economic Association Spring Meeting  2013.6 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：University of Toyama  

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  • *Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series International conference

    Yohei Yamamoto

    International Conference "Frontiers in Macroeconometrics"  2013.3 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：一橋大学  

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  • *Estimating and Testing Multiple Structural Changes in Linear Models by Band Spectral Regressions International conference

    Yohei Yamamoto

    Western Economic Association 10th Biennial Pacific Rim Conference  2013.3 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：慶應大学  

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  • On Power Properties of Factor Loading Structural Change Tests under Common Breaks International conference

    Yohei Yamamoto

    Econometrics Seminar (Boston University)  2013.9 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ボストン大学  

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  • On Power Properties of Factor Loading Structural Change Tests under Common Breaks

    Yohei Yamamoto

    Economics Seminar (Hiroshima University)  2013.10 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：Hiroshima University, Japan  

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  • On Power Properties of Factor Loading Structural Change Tests under Common Breaks

    Yohei Yamamoto

    Japanese Joint Statistical Meeting  2013.9 

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    Language：Japanese   Presentation type：Oral presentation (general)  

    Venue：Osaka University, Japan  

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  • Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets International conference

    Yohei Yamamoto

    Nanyang Econometrics Workshop  2020.1 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：南洋理工大学，シンガポール  

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  • The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence International coauthorship International conference

    Yohei Yamamoto

    Seminar (National Chengchi University)  2020.5 

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    Language：English   Presentation type：Public lecture, seminar, tutorial, course, or other speech  

    Venue：National Chengchi University (online)   Country：Taiwan, Province of China  

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  • The Trend Effect of Foreign Exchange Intervention Invited

    Yohei Yamamoto

    Econometrics Workshop, National Taipei University  2024.8 

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    Language：English   Presentation type：Public lecture, seminar, tutorial, course, or other speech  

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  • The Trend Effect of Foreign Exchange Intervention Invited International coauthorship

    Yohei Yamamoto

    Econometrics Seminar (Keio University)  2023.10 

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    Language：Japanese   Presentation type：Public lecture, seminar, tutorial, course, or other speech  

    Venue：Keio University   Country：Japan  

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  • Anthropogenic Influence on Extremes and Risk Hotspots Invited International coauthorship International conference

    Yohei Yamamoto

    Transdisciplinary Econometrics and Data Science Seminar / Economics Seminar at Nanyang Technological University  2022.11 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：Nanyang Technological University (online)   Country：Singapore  

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  • The Trend Effect of Foreign Exchange Intervention Invited International coauthorship International conference

    Yohei Yamamoto

    The 4th TWID International Finance Conference  2023.8 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：The University of Tokyo   Country：Japan  

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  • Identifying Common and Idiosyncratic Explosive Behaviors in the Large Dimensional Factor Model with an Application to U.S. State-Level House Prices International conference

    Yohei Yamamoto

    The 16th International Symposium on Econometric Theory and Applications  2022.7 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：Yonsei University   Country：Korea, Republic of  

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  • Anthropogenic Influence on Extremes and Risk Hotspots International coauthorship International conference

    Yohei Yamamoto

    NBER-NSF Time Series Conference  2022.9 

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    Language：English   Presentation type：Poster presentation  

    Venue：Boston University   Country：United States  

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  • Testing for Speculative Bubbles in Large Dimensional Financial Panel Data Sets International conference

    Yohei Yamamoto

    Japan-Korea Allied Conference in Econometrics  2016.11 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：一橋大学  

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  • *Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions International conference

    Yohei Yamamoto

    Hitotsubashi Summer Institute Workshop  2016.8 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：一橋大学  

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  • Asymptotic Inference for Common Factor Models in the Presence of Jumps International conference

    Yohei Yamamoto

    12th International Symposium on Econometric Theory and Applications  2016.10 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ウエスタンオンタリオ大学、カナダ  

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  • *Asymptotic Inference for Common Factor Models in the Presence of Jumps International conference

    Yohei Yamamoto

    The 25th South Taiwan Statistics Conference  2016.6 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：国立中山大学, 台湾高雄市  

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  • Is the Renminbi a Safe Haven? International conference

    Yohei Yamamoto

    Twelfth Annual Conference of Asia-Pacific Economic Association  2016.7 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：International Management Institute Kolkata, インド・カルカッタ市  

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  • Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets International conference

    Yohei Yamamoto

    Economic Seminar (Academia Sinica)  2017.8 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：中央研究院，台湾台北市  

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  • Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances International conference

    Yohei Yamamoto

    5th Conference of International Association for Applied Econometrics  2018.6 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ケベック大学モントリオール校，カナダ  

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  • Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions International conference

    Yohei Yamamoto

    4th Conference of International Association for Applied Econometrics  2017.6 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：札幌市  

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  • *Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions International conference

    Yohei Yamamoto

    Workshop on Advances in Econometrics 2017  2017.6 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：函館市  

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  • Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions International conference

    Yohei Yamamoto

    10th International Conference on Computational and Financial Econometrics  2016.12 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：セビリア大学，スペイン  

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  • *Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets International conference

    Yohei Yamamoto

    Workshop on Macroeconomic and Financial Time Series Analysis  2017.6 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：ランカスター大学，英国ランカスター市  

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  • Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances International conference

    Yohei Yamamoto

    Midwest Econometric Conference  2018.10 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ウィスコンシン大学，アメリカ合衆国  

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  • *Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances International conference

    Yohei Yamamoto

    12th International Conference on Computational and Financial Econometrics  2018.12 

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    Language：English   Presentation type：Oral presentation (invited, special)  

    Venue：ピサ大学，イタリア  

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  • Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances International conference

    Yohei Yamamoto

    CIREQ Seminar  2018.10 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：マギル大学，カナダ  

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  • Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances International conference

    Yohei Yamamoto

    Econometrics Seminar  2018.10 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ボストン大学，アメリカ合衆国  

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  • The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence

    Yohei Yamamoto

    Macro Workshop  2019.11 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：早稲田大学  

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  • Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model International conference

    Yohei Yamamoto

    Applied Statistics and Econometrics Workshop and Data Science Workshop  2019.11 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：東北大学  

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  • Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances International conference

    Yohei Yamamoto

    Helsinki Graduate School of Economics Seminar  2019.9 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ヘルシンキ大学，フィンランド・ヘルシンキ市  

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  • Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model International conference

    Yohei Yamamoto

    Economics Seminar (National Taipei University)  2019.10 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：国立台北大学，台湾新北市  

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  • Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets International conference

    Yohei Yamamoto

    15th International Symposium on Econometric Theory and Applications  2019.6 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：大阪大学  

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  • Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model International conference

    Yohei Yamamoto

    NBER-NSF Time Series Conference  2019.8 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：香港中文大学，香港  

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  • Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets International conference

    Yohei Yamamoto

    Pi-Day Econometrics Conference at Boston University  2019.3 

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    Language：English   Presentation type：Oral presentation (general)  

    Venue：ボストン大学，アメリカ合衆国  

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Research Projects

  • Technology assessment and model analysis by integrating energy science, data science and economics

    Grant number：24H00441  2024.4 - 2029.3

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (A)

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    Grant amount：\39000000 （ Direct Cost: \30000000 、 Indirect Cost：\9000000 ）

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  • Global Patterns of Climate Change and the Impact of Extreme Weather Events on Economic Activities and Financial Markets

    Grant number：24K00242  2024.4 - 2029.3

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (B)

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    Grant amount：\18460000 （ Direct Cost: \14200000 、 Indirect Cost：\4260000 ）

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  • 資産価格バブルの発生と崩壊を予測する早期警戒指標の開発

    Grant number：24K00269  2024.4 - 2028.3

    日本学術振興会  科学研究費助成事業  基盤研究(B)

    陣内 了, 山本 庸平

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    Grant amount：\18590000 （ Direct Cost: \14300000 、 Indirect Cost：\4290000 ）

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  • Understanding the Dynamics of Foreign Exchange Interventions and Monetary Policy: Four Empirical Studies

    2024 - 2028

    Government of Canada  Social Science and Humanities Research Council (SSHRC) 

    Rasmus Fatum

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    Authorship：Collaborating Investigator(s) (not designated on Grant-in-Aid) 

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  • The construction of new uncertainty indicators and theoretical and econometric analysis of their impact on financial markets and the macroeconomy

    Grant number：23H00048  2023.4 - 2028.3

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (A)

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    Grant amount：\45890000 （ Direct Cost: \35300000 、 Indirect Cost：\10590000 ）

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  • Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data

    Grant number：20H00073  2020.4 - 2023.3

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (A)

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    Grant amount：\43940000 （ Direct Cost: \33800000 、 Indirect Cost：\10140000 ）

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  • 動学的因子モデルにおける構造変化分析手法の開発と応用（研究代表者）

    2019.4 - 2024.3

    日本学術振興会  科学研究費助成事業  基盤研究(C)

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    Grant type：Competitive

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  • 新たなマクロ計量モデルの構築と大規模データを用いた経済予測への応用（研究分担者）

    2017.4 - 2020.3

    日本学術振興会  科学研究費助成事業  基盤研究(A)

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    Grant type：Competitive

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  • 構造変化分析の実用的発展に向けた研究（研究代表者）

    2017.2 - 2019.3

    科学研究費助成事業  国際共同研究加速基金(国際共同研究強化)

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    Grant type：Competitive

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  • 動学的因子モデルを用いた経済政策の効果・リスク分析に対するアプローチ（研究代表者）

    2016.4 - 2019.3

    日本学術振興会  科学研究費助成事業  基盤研究(C)

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    Grant type：Competitive

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  • 市場のグローバル化と地域の政策対応に関する理論・実証研究（研究分担者）

    2013.4 - 2017.3

    日本学術振興会  科学研究費助成事業  基盤研究(A)

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    Grant type：Competitive

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  • 大規模パネル・データ・モデルの統計的分析手法の開発とその実証研究（研究分担者）

    2013.4 - 2016.3

    日本学術振興会  科学研究費助成事業  基盤研究(B)

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    Grant type：Competitive

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  • 構造変化分析の実用的発展に向けた研究（研究代表者）

    2013.4 - 2016.3

    日本学術振興会  科学研究費助成事業  若手研究(B)

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    Grant type：Competitive

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  • 将来性予測の安定性検定の脆弱性について（研究代表者）財団法人清明会による助成研究

    2012.12 - 2013.12

    共同研究（国内共同研究） 

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    Grant type：Competitive

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  • 金融工学からERMへ：基礎理論と実証に関する研究（研究分担者）

    2012.4 - 2016.3

    日本学術振興会  科学研究費助成事業  基盤研究(A)

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    Grant type：Competitive

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