Yamamoto Yohei

ヤマモトヨウヘイ | Yamamoto Yohei

Affiliation and department：
Job title： Professor
Other affiliations (4)：

Homepage URL (1)： https://sites.google.com/site/yoheiyama/

Research field (1)： Economic statistics

Research keywords (4)： time series analysis , applied macroeconomics , climate change , International Finance

Research theme for competitive and other funds (13)：

2012 - 現在 Theoretical and empirical investigation of dynamic factor models
2023 - 2028 The construction of new uncertainty indicators and theoretical and econometric analysis of their impact on financial markets and the macroeconomy
2020 - 2023 Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data
2019 - 2022 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)
2017 - 2020 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)

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Papers (29)：

Francisco Estrada, Pierre Perron, Yohei Yamamoto. On the persistence of near-surface temperature dynamics in a warming world. Annals of the New York Academy of Sciences. 2023
Tetsushi Horie, Yohei Yamamoto. Identifying Common and Idiosyncratic Explosive Behaviors in the Large Dimensional Factor Model with an Application to U.S. State-Level House Prices. Journal of Econometric Methods. 2023
Francisco Estrada, Pierre Perron, Yohei Yamamoto. Anthropogenic Influence on Extremes and Risk Hotspots. Scientific Reports. 2023. 13. 35
Rasmus Fatum, Naoko Hara, Yohei Yamamoto. Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields (jointly worked). forthcoming in Journal of Money, Credit and Banking. 2023
Yohei Yamamoto, Tetsushi Horie. A Cross-Sectional Method for Right-Tailed PANIC Tests under a Moderately Local to Unity Framework (jointly worked)). forthcoming in Econometric Theory. 2022. 39. 2. 1-23

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Books (2)：

統計学15講
新世社 2017 ISBN:9784883842674
「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)
有斐閣 2016 ISBN:9784641164857

Lectures and oral presentations (67)：

The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence
(Seminar (National Chengchi University) 2020)
Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets
(Nanyang Econometrics Workshop 2020)
Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model
(Applied Statistics and Econometrics Workshop and Data Science Workshop 2019)
The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence
(Macro Workshop 2019)
Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model
(Economics Seminar 2019)

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Education (2)：

Professional career (2)：

Work history (9)：

2021/04 - 現在 Tokyo Institute of Technology Tokyo Tech Academy of Energy and Informatics Professor
2020/09/01 - 現在 Hitotsubashi University Executive Assistant
2017/04/01 - 現在 Hitotsubashi University Faculty of Economics Professor
2017/04/01 - 現在 Hitotsubashi University Graduate School of Economics Professor
2018/03/19 - 2019/03/31 Boston University Visiting Scholar

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Association Membership(s) (4)：

International Association for Applied Econometrics , Japan Statistical Society , Japanese Economic Association , Econometric Society

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