Alternative Data Analysis

日本語

In recent years, on the back of innovation and advances in digital technologies, there has been greater utilization of "alternative data" -- that is, data on economic activity obtained from non-traditional sources and via new channels. Examples include high-frequency data such as mobility trends based on location data from mobile phones, text data such as words used in public documents or reports, and granular data related to financial markets or financial institutions. There has been rapid growth around the world in new businesses, as well as market and academic research, employing such data; the information value and use of alternative data are thus increasingly a focus of attention.

This page introduces analyses of alternative data conducted in the Bank of Japan, including various pieces of research using alternative data and data management.

Real Economy
Fiancial Market and Settlement
Financial System

Use of Alternative Data in the Bank of Japan's Research Activities (BOJ Review)

Real Economy

Research and Studies

Table : Research and Studies
Date	Title
Apr. 25, 2023	Labor Market of Regular Workers in Japan: A Perspective from Job Advertisement Data
Apr. 21, 2023	Price Markups and Wage Setting Behavior of Japanese Firms
Dec. 23, 2022	A Nowcasting Model of Exports Using Maritime Big Data
Nov. 25, 2022	A Nowcasting Model of Industrial Production using Alternative Data and Machine Learning Approaches
Jul. 28, 2022	An Assessment of Online Consumption Trends in Japan during the COVID-19 Pandemic
Jul. 28, 2022	Constructing GDP Nowcasting Models Using Alternative Data
Jul. 28, 2022	Development of "Alternative Data Consumption Index":Nowcasting Private Consumption Using Alternative Data
Dec. 20, 2021	Using Text Analysis to Gauge the Reasons for Respondents' Assessment in the Economy Watchers Survey
Oct. 15, 2021	Extracting Firms' Short-Term Inflation Expectations from the Economy Watchers Survey Using Text Analysis
Mar. 12, 2021	Nowcasting Economic Activity with Mobility Data
Nov. 27, 2020	R&D and Innovation: Evidence from Patent Data
Oct. 8, 2020	The Impact of COVID-19 on US Consumer Spending: Quantitative Analysis Using High-Frequency State-Level Data
Aug. 7, 2020	Disagreement between Human and Machine Predictions (Link to the IMES website)
Aug. 20, 2018	Compilation of Experimental Price Indices Using Big Data and Machine Learning: A Comparative Analysis and Validity Verification of Quality Adjustments
Apr. 18, 2013	Potential of Search Data in Assessment of Current Economic Conditions

Boxes in the Outlook for Economic Activity and Prices (Outlook Report)

Table : Outlook for Economic Activity and Prices (Outlook Report) and Boxes
Date	Title
Jan. 19, 2023	(Box 3) Dual Structure in the Labor Market and the Outlook for Wages [PDF 591KB]
Jul. 19, 2021	(Box 1) Varied Developments in Overseas Economies and Uncertainties Regarding the Outlook [PDF 576KB]
Jan. 22, 2021	(Box 4) Developments in Private Consumption since a Resurgence of COVID-19 [PDF 584KB]
Oct. 30, 2020	(Box 4) Developments in Face-to-Face Services Consumption [PDF 612KB]
Jul. 16, 2020	(Box 1) Developments in Overseas Economies under the COVID-19 Pandemic [PDF 679KB]
Jul. 16, 2020	(Box 3) Impact of COVID-19 on Private Consumption [PDF 689KB]
Apr. 28, 2020	(Box 1) Developments in Overseas Economies since the Outbreak of COVID-19 [PDF 700KB]
Apr. 28, 2020	(Box 2) Developments in Japan's Economy since the Outbreak of COVID-19 [PDF 701KB]

Financial Market and Settlement

Research and Studies

Table : Research and Studies
Date	Title
Sept. 30, 2024	Pricing Implications of Centrality in an OTC Derivative Market: An Empirical Analysis Using Transaction-Level CDS Data
Aug. 22, 2022	Quantitative Analysis of Haircuts: Evidence from the Japanese Repo and Securities Lending Markets
Aug. 17, 2022	Impact of COVID-19 Turmoil on the Foreign Exchange Option Market: Evidence from the Japanese OTC Derivative Transaction Data
Dec. 27, 2021	Foreign Exchange Option Market through the Lens of OTC Derivative Transaction Data: Recent Market Developments
Dec. 21, 2021	A Network Analysis of the JGB Repo Market
Sep. 2, 2021	The Japanese Yen Interest Rate Swap Market Observed from OTC Derivative Transaction Data: the Impact of COVID-19
May 26, 2021	Cross-Currency Swap Market through the Lens of OTC Derivative Transaction Data: Impact of COVID-19 and Subsequent Recovery
Aug. 3, 2020	An Overview of Algorithmic Trading in Foreign Exchange Markets and Its Impacts on Market Liquidity
Feb. 28, 2020	New Initiatives to Improve the Transparency of Securities Financing Markets in Japan: Publication of Statistics on Securities Financing Transactions in Japan
Nov. 20, 2019	Monetary Policy Announcements and Algorithmic News Trading in the Foreign Exchange Market (Link to the IMES website)
Nov. 20, 2018	Investment Patterns of Japanese Retail Investors in Foreign Exchange Margin Trading
Mar. 29, 2018	Liquidity in the JGB Cash Market: An Evaluation from Detailed Transaction Data
May 8, 2015	Liquidity in JGB Markets: An Evaluation from Transaction Data
Apr. 28, 2015	Toward Further Development of the Repo Market
Nov. 1, 2010	The Microstructure of Japan's Interbank Money Market: Simulating Contagion of Intraday Flow of Funds Using BOJ-NET Payment Data (Link to the IMES website)

Financial System

Research and Studies

Table : Research and Studies
Date	Title
Sept. 5, 2022	Flows of Overseas Funds in the Real Estate Market
Apr. 21, 2022	Financial System Report (April 2022)
Oct. 21, 2021	Financial System Report (October 2021)
July 20, 2021	Quantitative Analysis of the Impact of Floods on Firms' Financial Conditions
Apr. 20, 2021	Financial System Report (April 2021)
Oct. 22, 2020	Financial System Report (October 2020)
Oct. 24, 2019	Financial System Report (October 2019)
May 31, 2019	A Forecast Model for the Probability of Default Based on Granular Firm-Level Data and Its Application to Stress Testing
Oct. 22, 2018	Financial System Report (October 2018)