OHASHI Kazuhiko

OHASHI Kazuhiko

OHASHI Kazuhiko

Faculty Fellow (until March 31, 2018)

Professor, Graduate School of International Corporate Strategy, Hitotsubashi University

Activities at RIETI

Expertise

Commodity Markets, Financial Innovation and Intermediation, J-REIT

Research Projects

Education

1993 Ph.D. in Finance, Sloan School of Management, MIT
1988 M.A. Graduate School of Economics, Hitotsubashi University
1986 B.A. Department of Economics, Hitotsubashi University

Experience

2010 - 2012 Visiting Scholar, Institute for Monetary and Economic Studies, Bank of Japan
2007 Professor, Graduate School of International Corporate Strategy (ICS), Hitotsubashi University
1999 Associate Professor, ICS, Hitotsubashi University
1999 - 2000 Visiting Scholar, Graduate School of Business, University of Chicago
1996 Assistant Professor, Department of Commerce, Hitotsubashi University
1994 Assistant Professor, Institute of Socio-Econ Planning, University of Tsukuba

Selected Publications and Papers

Working Papers

  • "Multiple Lenders, Temporary Debt Restructuring, and Firm Performance: Evidence from contract-level data," 2016, RIETI Discussion Paper Series 16-E-030 (co-authored with Daisuke Miyakawa)
  • "Detrimental Effects of Retention Regulation: Incentives for Loan Screening in Securitization under Asymmetric Information," 2011, IMES Discussion Paper Series 2011-E-17, Institute for Monetary and Economic Studies, Bank of Japan (co-authored with Masazumi Hattori)

Papers Published in Refereed Journals

  • "Increasing Trends in the Excess Comovement of Commodity Prices," Journal of Commodity Markets Vol. 1, 2016, pp.48-64, DOI: 10.1016/j.jcomm.2016.02.001 (Co-authored with Tatsuyoshi Okimoto)
  • "Commodity Spread Option with Cointegration," Asian-Pacific Financial Markets Vol. 23, March 2016, pp.1-44, DOI: 10.1007/s10690-015-9207-1 (Co-authored with Katsushi Nakajima)
  • "The Relative Asset Pricing Model: Toward a Unified Theory of Asset Pricing," (2014) Journal of Investment Consulting Vol. 15 (1), pp.51-66 (Co-authored with Arun Muralidhar and Sunghwan Shin) (Awarded IMCA(Investment Management Consultants Association)2015 Edward D. Baker III Journal Award Honorable Distinction)
  • "Emission Allowance as a Derivative on Commodity-Spread," 2013, Asia-Pacific Financial Markets Vol.20, pp.183-217 (Co-authored with Katsushi Nakajima)
  • "A Cointegrated Commodity Pricing Model," 2012, Journal of Futures Markets 32, pp.995-1033 (Co-authored with Katsushi Nakajima)
  • "Pricing Summer Days Options by Good-Deal Bounds," 2009, Energy Economics 31, pp.289-297 (Co-authored with Takashi Kanamura)
  • "On Transition Probabilities of Regime Switching in Electricity Prices," 2008, Energy Economics 30, pp.1158-1172 (Co-authored with Takashi Kanamura)
  • "A structural model for electricity prices with spikes: Measurement of spike risk and optimal policies for hydropower plant operation," 2007, Energy Economics 29, pp.1010-1032 (Co-authored with Takashi Kanamura)
  • "Security-Innovation on Several Assets under Asymmetric Information," 1999, Japanese Economic Review, Vol.50, pp.76‐96
  • "Optimal Futures Innovation in a Dynamic Economy - The Discrete Time Case -," 1997, Journal of Economic Theory, Vol.74, pp.448‐465
  • "Endogenous Determination of the Degree of Market-Incompleteness in Futures Innovation," 1995, Journal of Economic Theory, Vol.65, pp.198-217
  • "A Note on the Terminal Date Security Prices in a Continuous Time trading Model with Dividends," 1991, Journal of Mathematical Economics, Vol.20, pp.219-323

Others

2015- Outside Board Member, Japan Securities Clearing Corporation
2011- Fellow, Association for Real Estate Securitization
2008-10 and 2014-16 President, Nippon Finance Association