Tetsuya Yamada

Tetsuya Yamada
  • Bank of Japan

About

2
Publications
332
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3
Citations
Current institution
Bank of Japan
Bank of Japan
  • institute for monetary and economics
  • Tokyo, Japan

Publications

Publications (2)
Figure 3 Determination of Investment Time and Debt Financing  
Figure 7 Time-Consistent Investment Decision  
Figure 8 Time-Inconsistent Investment Decision  
Figure 9 Investment and Bankruptcy: Time-Consistent Firms  
Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A Real Options Approach
Article
Full-text available
  • Jan 2010
Empirical studies have found that a low interest rate environment ac-celerates firms' investment and debt financing, leading to subsequent balance-sheet problems in many countries in recent years. We examine the mechanism whereby firms' debt financing and investment become more accelerated and the credit risk rises under a low interest rate environ...
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Figure 1 Value of Equity and Loan in Monopoly Lending
Table 1 Benchmark Parameters
Figure 2 Value of the Leader's Loan
Figure 3 Value of the Follower's Loan  
Figure 4 The Equilibrium  
Dynamic Model of Credit Risk in Relationship Lending: A Game-Theoretic Real Options Approach
Article
Full-text available
  • Jan 2009
We develop a dynamic credit risk model for the case in which banks compete to collect their loans from a firm in danger of bankruptcy. We apply a game-theoretic real options approach to investigate banksf optimal strategies. Our model reveals that the bank with the larger loan amount, namely, the main bank, provides an additional loan to support th...
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