Workshops


マクロ経済学ワークショップ
Macroeconomics Workshop 2016

※ 2016年12月9日

 

 

日時

December 15, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Heiwai Tang (Johns Hopkins University)

Global Sourcing and Domestic Production Networks (joint with Taiji Furusawa, Tomohiko Inui and Keiko Ito)

Abstract

This paper studies how firms' global sourcing reshapes their domestic production networks. To guide empirical analysis, we develop a variant of the global sourcing model by Antrs, Fort, and Tintelnot (2016) to consider multiple input sectors that differ in relationship specicity to buyers' production and costly domestic and foreign trade of inputs between buyers and suppliers. Buyers need to invest in face-to-face communication with suppliers to enhance input quality. The returns to such investment are higher for relationship specic inputs, making variable trade costs to increase more steeply with distance. As such, when a firm starts offshoring, lower marginal costs of production due to using the more efficient foreign suppliers induces the rm to replace existing generic input suppliers with the more distant domestic and foreign suppliers on the one hand, and add closer domestic suppliers that produce relationship-specic inputs on the other. Using data that cover 4.5 million buyer-seller links in Japan and a firm-level instrument for offshoring, we find that firms that started importing intermediates increase sales and the number of domestic source regions, sectors, and suppliers. The average distance between importing firms and their domestic suppliers declines after offshoring, suggesting that global sourcing can be a cause of industry agglomeration.

日時

※This seminar has been cancelled.

下記のセミナーは中止となりました。

December 22, 2016 (木 Thursday)16:50-18:35

報告

Pedro Pinto (Musashi University)

日時

January 5, 2017 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Yi Huang (The Graduate Institute, Geneva)

Public Debt and Private Firm Funding: Evidence from Chinese Cities (joint with Marco Pagano and Ugo Panizza) [paper]

Abstract

In China, local public debt issuance between 2006 and 2013 crowded out investment by private manufacturing firms by tightening their funding constraints, while it did not affect state-owned and foreign firms. Using novel data for local public debt issuance, we establish this result in three ways. First, local public debt is inversely correlated with the city-level investment ratio of domestic private manufacturing firms. Instrumental variable regressions indicate that this link is causal. Second, local public debt has a larger negative effect on investment by private firms in industries more dependent on external funding. Finally, in cities with high government debt, firmlevel investment is more sensitive to internal funding, also when this sensitivity is estimated jointly with the firm's likelihood of being credit-constrained. Altogether, these results suggest that the massive public debt issuance associated with the post-2008 fiscal stimulus curtailed private investment thus weakening China's long-term growth prospects.

本年度終了分:

日時

April 7, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

戸村 肇 (Hajime Tomura) (Waseda University)

Money Supply and Credit in a Cashless Economy

Abstract

This paper introduces limited participation into a neo-classical growth model to reflect the reality that the sellers of assets do not accept the buyers' IOUs, but the buyers can still arrange loans from some other creditors than the sellers. This friction generates the need for a bridge loan of money from the central bank. Optimal money supply resembles intraday money supply in the channel system. If money must be supplied through banks, then a negative shock to the limit on banks' leverage causes a negative correlation between bank credit and direct finance, as observed during the financial crisis for 2007-09.

日時

April 13, 2016 (水 Wednesday)16:50-18:35 ※曜日に注意

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Refet Gurukaynak (Bilkent University)

Inflation Experience and Inflation Expectations: Spatial Evidence

Abstract

Inflation expectation pathologies from surveys. We use inflation expectations of survey respondents around the world for Euro Area Inflation to see what shapes expectations.

日時

April 21, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Davin Chor (National University of Singapore)

Internalizing Global Value Chains: A Firm-Level Analysis [paper]

Abstract

In recent decades, technological progress in information and communication technology and falling trade barriers have led rms to retain within their boundaries and in their domestic economies only a subset of their production stages. A key decision facing rms worldwide is the extent of control to exert over the different segments of their production processes. Building on Antras and Chor (2013), we describe a property-rights model of rm boundary choices along the value chain. To assess the evidence, we construct rm-level measures of the upstreamness of integrated and non-integrated inputs by combining information on the production activities of firms operating in more than 100 countries with Input-Output tables. In line with the model's predictions, we find that whether a firm integrates upstream or downstream suppliers depends crucially on the elasticity of demand for its final product. Moreover, a firm's propensity to integrate a given stage of the value chain is shaped by the relative contractibility of the stages located upstream versus downstream from that stage. Our results suggest that contractual frictions play an important role in shaping the integration choices of firms around the world.

日時

April 28, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

宮尾龍蔵 (Ryuzo Miyao) (The University of Tokyo)

The Macroeconomic Effects of Unconventional Monetary Policies in Japan

Abstract

 

日時

May 12, 2016 (木 Thursday)16:50-18:35

※CARF 『バブル、金融危機と政策対応研究会』との共催

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Kristoffer P. Nimark (Cornel University)

Delegated Information Choice (joint with Stefan Pitschner) [paper]

Abstract

News media provide an editorial service for their audiences by monitoring a large number of events and by selecting the most newsworthy of these to report. Using a Latent Dirichlet Allocation topic model to classify news articles, we document the editorial function of US newspapers. We nd that, while di erent newspapers on average tend to emphasize di erent topics, news coverage becomes more homogenous across newspapers after major events. We propose a theoretical model that can match these facts. In the model, agents delegate the choice of what to get information about to information providers that monitor the world on their behalf. The degree to which information about a given event is common among agents is endogenous and depends both on agents' preferences and the distribution of possible events. When agents have a strategic motive, they respond more strongly to events that they can infer are closer to common knowledge. Delegating the choice of what to get information about to providers that condition on ex post events introduces correlation in agents' actions that is absent if agents choose ex ante what to get information about.

日時

※This seminar has been postponed to May 26.

  このセミナーは5月26日に延期されました。

May 19, 2016 (木 Thursday)16:50-18:35

報告

Thibault Fally (University of California at Berkeley)

Firm Heterogeneity in Consumption Baskets: Evidence from Home and Store Scanner Data [paper]

日時

May 26 2016 (木 Thursday)11:30-13:00 ※時間に注意

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Thibault Fally (University of California at Berkeley)

Firm Heterogeneity in Consumption Baskets: Evidence from Home and Store Scanner Data [paper]

Abstract

A growing literature has emphasized the role of Melitz-type firm heterogeneity within sectors in accounting for nominal income inequality. This paper explores the implications of firm heterogeneity for household price indices across the income distribution. Using detailed matched US home and store scanner microdata that allow us to trace the firm size distribution into the consumption baskets of individual households, we present evidence that richer US households source their consumption from on average significantly larger producers of brands within disaggregated product groups compared to poorer US households. We use the microdata to explore alternative explanations, write down a quantitative framework that rationalizes the observed moments, and estimate its parameters to quantify model-based counterfactuals. Our central findings are that larger, more productive firms endogenously sort into catering to the taste of wealthier households, and that this gives rise to asymmetric effects on household price indices. We find that these price index effects significantly amplify observed changes in nominal income inequality over time, and that they lead to a significantly more regressive distribution of the gains from international trade.

日時

May 26, 2016 (木 Thursday)16:50-18:35

※CARF 『バブル、金融危機と政策対応研究会』、ミクロ経済学ワークショップとの共催

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Heng Chen (University of Hong Kong)

The Great Famine and Household Saving in China [paper]

Abstract

The Great Famine in China (1959-1961) is one of the most dramatic tragedies in history, which may have long term consequences for economic behaviors of Chinese population. In particular, we explore whether it continues to have impacts on household saving choices. Employing a dataset across 122 Chinese counties, we find that the saving rate of rural households in 2002 tend to be higher in counties where the famine was severer; and the impact of the famine is even larger, once its severity is instrumented. Evidence from individual preference data shows that people are more willing to cultivate thrift in children in counties more severely affected. These findings are consistent with the hypothesis that the Great Famine altered the thrifty attitude of survivors and subsequent generations.

日時

June 2, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Mikhail Golosov (Princeton University)

Fiscal Policy and Debt Management with Incomplete Markets [paper]

Abstract

A Ramsey planner chooses a distorting tax on labor and manages a portfolio of securities in an environment with incomplete markets. We develop a method that uses second order approximations of the policy functions to the planner’s Bellman equation to obtain expressions for the unconditional and conditional moments of debt and taxes in closed form such as the mean and variance of the invariant distribution as well as the speed of mean reversion. Using this, we establish that asymptotically the planner’s portfolio minimizes an appropriately defined measure of fiscal risk. Our analytic expressions that approximate moments of the invariant distribution can be readily applied to data recording the primary government deficit, aggregate consumption, and returns on traded securities. Applying our theory to U.S. data, we find that an optimal target debt level is negative but close to zero, that the invariant distribution of debt is very dispersed, and that mean reversion is slow.

日時

June 9, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

北尾早霧 (Sagiri Kitao) (Keio University)

Policy Uncertainty and the Cost of Delaying Reform: A Case of Aging Japan [paper]

Abstract

In an economy with aging demographics and a generous pay-as-you-go social secu- rity system established decades ago, reform to reduce benefits is inevitable without a major increase in taxes. Often times, however, there is uncertainty about the timing and structure of reform. This paper explicitly models policy uncertainty associated with a social security system in an aging economy and quantifies eco- nomic and welfare effects of uncertainty as well as costs of delaying reform. Using the case of Japan, that faces the severest demographic and fiscal challenges, we show that uncertainty can significantly affect economic activities and welfare. De- laying reform or reducing the scope of it involves a sizeable welfare tradeoff across generations, in which middle to old-aged individuals gain the most at the cost of young and future generations.

日時

June 16, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

辻山仁志 (Hitoshi Tsujiyama) (Goethe University Frankfurt)

A General Equilibrium Approach to Decomposing the Wage Inequality (joint with Manuel Macera)

Abstract

 

日時

June 23, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Alexander Monge-Naranjo (Federal Reserve Bank of St. Louis)

TBA

Abstract

 

日時

June 24, 2016 (金 Friday)16:50-18:35

応用統計ワークショップと共催、※曜日に注意

※Presentation in Japanese

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

長谷川秀司 (内閣府)

国民経済計算の新基準「2008SNA」への移行について

※2008SNA移行に関する説明会

Abstract 今年末、我が国の国民経済計算(JSNA)は、16年ぶりに準拠する国際基準を変更 し、「1993年SNA」から「2008SNA」に移行する予定である。  「2008SNA」では、「ニューエコノミー」の展開、グローバリゼーション、金融市 場の発展等近年の経済・金融環境の変化を織り込んだ各種の概念・範囲の変更を行っ ている。例えば、企業の研究・開発(R&D)は、従来、生産活動にて中間消費される 扱いだったが、「2008SNA」では知識ストックの蓄積(固定資産の「知的財産生産 物」)と捉え、最終需要の総固定資本形成に計上することになる。また、これまで捕 捉・計上していなかった雇用者ストックオプションが、新たに雇用者報酬や金融資産 に記録される。  ワークショップにおいては、このような「2008SNA」の特徴や基本的な考え方、ま たGDP等マクロ経済の各集計値への影響のイメージについて説明し、統計ユーザーの 利便性の向上に資することを目指したい。

日時

June 30, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Damiano Sandri (International Monetary Fund)

Dealing with Systemic Sovereign Debt Crises: Fiscal Consolidation, Bail-ins or Official Transfers? [PDF]

Abstract

The paper presents a tractable model to understand how international financial institutions (IFIs) should deal with the sovereign debt crisis of a systemic country, in which case private creditors' bail-ins entail international spillovers. In particular, we solve for the optimal combination between fiscal consolidation, bail-ins, and official transfers to restore debt sustainability. For non-systemic countries, only fiscal consolidation and bail-ins should be used, based on an ex-post assessment of their relative costs. Systemic crises raise significant new challenges. First, to limit bail-ins without requiring excessive fiscal consolidation, IFIs should provide highly systemic countries with official transfers. Second, to contain the moral hazard consequences of systemic bail-ins and official transfers, IFIs should operate under commitment by following a predetermined crisis-resolution framework that considers also the ex-ante costs of each nancing tool.

日時

July 7, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

北野重人 (Shigeto Kitano) (Kobe University)

Capital Controls and Financial Frictions in a Small Open Economy

Abstract

We develop a small open economy model with financial frictions between domestic banks and foreign investors, and examine the welfare-improving effect of capital controls under different degrees of financial frictions. We show that as the degree of financial frictions is higher, the welfare-improving effect of capital controls is larger. The monotonic relationship between the degree of financial frictions and the welfare-improving effect of capital controls is robust for varying degrees of country premium, home bias in goods, and trade elasticity. Comparing a "liability dollarization" economy to one without "liability dollarization," we also find that the welfare-improving effect of capital controls is larger in the presence of "liability dollarization."

日時

July 21, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Jan J. J. Groen (Federal Reserve Bank of New York )

Oil Market Shocks and Economic Activity: Redux

Abstract

If oil price changes reflect demand shocks, then an oil price decline, say, would suggest a slowdown in global economic activity. Alternatively, if the oil prices are driven by supply shocks, then the drop in prices might indicate a forthcoming boost in spending as firms and households benefit from lower energy costs. In this paper, I use correlations of weekly oil price changes with a broad array of financial variables to decompose oil price changes in components due to global demand and those due to global oil supply. Quarterly aggregates of these two weekly oil price shocks are then used as proxy variables to identify the impact of latent oil market shocks in a quarterly macro-economic VAR model of the U.S. economy. This analysis shows that supply-driven oil market shocks can potentially impact U.S. economic activity in a more significant manner than demand-driven oil market shocks.

 

日時

August 4, 2016 (木 Thursday) 14:55-16:40

※時間・場所に注意 みずほフィナンシャルグループ寄付講座と共催

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)2階 小島コンファレンスルーム
in Kojima Conference Room on the 2nd floor of the Economics Research Annex (Kojima Hall) [Map]

報告

清滝信宏 (Nobuhiro Kiyotaki) (Princeton University)

Monetary and Financial Policies in Emerging Markets

Abstract

 

 

Master's Thesis Presentations on July 14 and 28

Please note that the schedule might be changed. Presentations in English.

Guideline

 

Your thesis paper is distributed at the seminar venue.  Please send an electronic file of it to CIRJE at cirje [at mark] e.u-tokyo.ac.jp, so that CIRJE can duplicate it.  You can also bring its hardcopy directly to the CIRJE office on the 6th (top) floor of Economics Research Annex (Kojima Hall). 

 

The submission deadline is (please be punctual):

July 14 (Thursday)… by 9:00am, July 14 (Thursday)
July 28 (Thursday)…by 9:00am, July 28 (Thursday)

 

Make sure that

  • Submission behind the deadline is not accepted for any reason.
  • The file/hardcopy submitted to CIRJE should be the final version.
  • You need to send your emergency contact information such as cell phone number together with your thesis file, so that CIRJE can immediately reach you in case the file cannot be opened/is broken
  • Please put a file of your presentation slides only in your USB memory when you come to the seminar venue since it is sometimes not recognized when other files are inculded in the USB memory.

Those who missed the deadline or those who would like to revise the thesis paper after the submission, are required to make 15 hardcopies of it and bring them to the seminar venue on the presentation day.

You MUST attend an official oral examination in addition to this master thesis presentation:  for details, please see the schedule to be distributed by the Graduate Office when you submit your thesis.

Presenters can use equipment such as a computer and a pointer in a locker in the seminar venue during their presentations:  make sure they should be back into place after use.


日時

July 14, 2016 (木 Thursday)16:50-18:50

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Master Thesis Presentations

Schedule

 

16:50-17:30 JI Jin (Readers: Hirano, Fabinger, Kucheryavyy)

 

17:30-18:10 REN Zihang (Readers: Nakabayashi, Fabinger, Sasaki)

 

18:10-18:50 WANG Huan (Readers: Fabinger, Kucheryavyy, Wakamori, Aoki)

 

日時

July 28, 2016 (木 Thursday)16:50-18:50

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Master Thesis Presentations

Schedule

 

16:50-17:30 Zhu Jun (Readers: Kazuo Ueda, Hirano, Kucheryavyy)

 

17:30-18:10 Liu Pengdi (Readers: Kazuo Ueda, Hirano, Kucheryavyy)

 

18:10-18:50 Yi Fangyuan (Readers: Aoki, Hiraho, Watanabe)

 

 

日時

September 8, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Julian di Giovanni (Universitat Pompeu Fabra)

International Spillovers and Local Credit Cycles

Abstract

We show that capital inflows lead to a decrease in the cost of borrowing and an associated domestic credit expansion in an emerging economy, Turkey, during 2003--2013. Instrumenting capital inflows by changes in global volatility implied by VIX and using a firm-bank-loan level dataset, we isolate a capital-inflow-driven expansion in credit supply. During episodes of low global risk, the cost of bank intermediated credit for corporates declines and such credit expands as a result. Our estimates explain roughly 30% of the observed change in aggregate credit growth. Although foreign currency loans are cheaper on average, during the periods of capital inflows, domestic currency loans become relatively cheaper. Furthermore, we identify the impact of heterogeneous financial constraints on the borrowing costs and credit expansion at the firm level. Small firms with higher financial constraints take greater advantage of cheap finance during episodes of low global risk.

日時

September 15, 2016 (木 Thursday)14:55-16:40

※ Time Changed/ 時間変更いたしましたのでご注意ください。

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Chris Edmond (University of Melbourne)

Industry dynamics with variable markups

Abstract

Do larger barriers-to-entry significantly reduce aggregate productivity? We study the losses from reduced competition in an industry dynamics model with endogenously variable markups. In the model, increased barriers to entry reduce produce turnover and put incumbent producers under less competitive pressure leading to larger markups and larger profits for incumbents, larger cross-sectional markup dispersion, and a reduction in aggregate productivity. For our benchmark parameters, we find that a 1% increase in barriers-to-entry is associated with a 0.3% fall in the number of producers, 0.4% fall in aggregate productivity, and 0.3% increase in the aggregate profit share. This decrease in aggregate productivity and increase in profits is driven by a reallocation of production towards large dominant producers who face relatively inelastic demand.

日時

September 21, 2016 (水 Wednesday)16:50-18:35

曜日に注意。  

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Hashmat Khan (Carleton University)

Monetary News Shocks (joint with Nadav Ben Zeev and Christopher Gunn) [paper]

Abstract

We pursue a novel empirical strategy to identify a monetary news shock in the U.S. economy. We use a monetary policy residual, along with other variables in a VAR, and identify a monetary news shock as the linear combination of reduced form innovations that is orthogonal to the current residual and that maximizes the sum of contributions to its forecast error variance over a finite horizon. Real GDP declines in a hump-shaped manner after a positive monetary news shock. This contraction in economic activity is accompanied by a fall in inflation and a rapid increase in the nominal interest rate.

日時

September 27, 2016 (火 Tuesday)16:50-18:35

曜日に注意。主催:ミクロ経済学ワークショップ  

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Joseph Zeira (The Hebrew University of Jerusalem)

A New Measure of Divergence (joint with Michele Battisti, Gianfranco di Vaio) [paper]

Abstract

This paper introduces a new measure of divergence or convergence of output across countries. It measures divergence for each country separately, by measuring how technology, or productivity, or output per worker in each country follows the global frontier. We use the US as the global frontier. We find that during the years 1970-2008 most countries did not follow the global frontier fully. This implies that these countries diverged from the countries at the frontier. We then examine how following the global frontier is related to various explanatory variables, in order to better understand long-run growth.

日時

September 29, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Sebastian Zelzner (University of Regensburg)

The Allocation of Talent to Financial Trading versus Production: Welfare and Employment Effects in General Equilibrium [paper]

Abstract

We incorporate occupational choice between finance and entrepreneurship into the Grossman-Stiglitz (1980) noisy rational expectations equilibrium model. Sophisticated agents produce output and create jobs as entrepreneurs or contribute to informational efficiency in financial markets as informed traders. Finance possibly attracts too much talent, for instance if the amount of noise in the economy is small, so that the asset price at a rational expectations equilibrium is highly informative anyway. The main beneficiaries of the allocation of talent to entrepreneurial activity are workers, whose wage and employment prospects improve when more sophisticated agents choose to become entrepreneurs.

日時

October 6, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

齊藤誠 (Makoto Saito) (Hitotsubashi University)

On large-scale money finance in statistics and practice: A case of the Japanese economy during and after World War II1

Abstract

This paper explores how the Bank-of-Japan’s direct underwriting of public debts funded a huge financial need for not only war expenditure, but also industrial finance during and after World War II, and examines how such large-scale money finance was recorded in not only monetary statistics, but also national accounts. Here, a central bank’s direct underwriting of public bonds is considered as not any monetary instrument backed by private saving as in standard monetary models, but a fiscal tool to cover a financial shortage in excess of a macroeconomic financial surplus. This paper demonstrates that the direct underwriting worked to compensate for a severe financial shortage resulting from income evasion to black markets under strict price control during and after the War.

日時

October 13, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

高橋耕史 (Koji Takahashi) (University of California, San Diego)

Unconventional Monetary Policy and Bank Lending (joint with Kiyotaka Nakashima and Masahiko Shibamoto)

Abstract

We investigate the effects of unconventional monetary policy on bank lending using bank-firm matched dataset in Japan from 1999 to 2015 by disentangling different type of monetary policy measure shocks, which the Bank of Japan (BOJ) has employed over the past 15 years. We find that a rise in the share of the unconventional assets held by the BOJ boosts lending to firms with a lower distant-to-default ratio from banks with lower capital and a lower ratio of government bond holdings, which implies that the unconventional asset purchases by the central bank stimulate lending through the bank risk-taking channel. This is contrast with the finding of the effect of the conventional monetary policy; interest rate cuts stimulate lending to risky firms from bank with higher capital and larger holdings of government bonds, which implies that it mainly works through the bank balance sheet channel. On the other hand, the quantitative easing of increasing the monetary base has less significant heterogeneous effects on bank lending across banks with different risk profile.

日時

October 20, 2016 (木 Thursday)15:00-16:30*Seminar Added

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Miguel Leon-Ledesma (University of Kent)

The rise of the service economy and the real return on capital [paper]

Abstract

We use a two-sector model of structural transformation and balanced growth to show that the real interest rate, measured as the return on capital in units of GDP or in units of aggregate consumption, declines as income grows. This is due to the di erential TFP growth in the goods producing sector relative to the services sector. This di erential drives a relative price change that triggers a steady decline in the rate of return on capital along the growth path. We calibrate the model to U.S. data to reproduce the behavior of GDP, the share of services in consumption, the relative price goods/services and the investment/output ratio in the period 1950-2015. We nd that the calibrated model displays a decline of the real interest rate of 36% in terms of units of GDP and of 43% in terms of units of aggregate consumption during the period considered.

日時

October 20, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Toan Phan (The University of North Carolina at Chapel Hill)

Asset Pledgeability and Endogenously Leveraged Bubbles

Abstract

 

日時

October 21, 2016 (金 Friday) 14:55-16:40 *日時・場所に注意。

主催 (Organizer):金融センター特別セミナー(Carf Special Seminar)

事前登録が必要となります。 詳細は上記ウェブサイトをご参照ください。

(Registration is required. For details, please see the website above.)

場所

東京大学情報学環・ダイワユビキタス学術研究館 3階 「ダイワハウス石橋信夫記念ホール」

Daiwa Ubiquitous Ishibashi Nobuo Memorial Hall, University of Tokyo [Map] (No. 123 on the map)

報告

Andrew Levin (Dartmouth College)

Robust Design Principles for Monetary Policy Committees 

Abstract

While a huge literature has examined the formulation of monetary policy strategies, there has been relatively little research on the design of monetary policy committees (MPCs). In this paper, we identify a number of key pitfalls in central bank governance and then proceed to formulate basic design principles for mitigating those risks. To protect against short-term political interference, monetary policy decisions should be made by a committee whose members have staggered terms of office that exceed the length of the political cycle. To help ensure the robustness of those decisions in the face of pervasive uncertainty about the economy and the monetary transmission mechanism, the MPC should have sufficient size, its members should be selected through a transparent process aimed at providing diverse perspectives and forms of expertise, and all members should be individually accountable for their views. To mitigate the risk of excessive insularity and group-think, the MPC should be subject to regular external reviews of all aspects of the policymaking process. Of course, the specific implementation of these principles will necessarily and appropriately depend on the institutional context of any particular central bank.

日時

October 27, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Hélène Rey (London Business School)

Financial Cycles with heterogeneous intermediaries (joint with Nuno Coimbra from Paris School of Economics)

Abstract

 

日時

November 8, 2016 (火 Tuesday)16:50-18:35

※曜日に注意。

主催:ミクロ経済学ワークショップ  ※CARF 『バブル、金融危機と政策対応研究会』と共催

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Gadi Barlevy (Federal Reserve Bank of Chicago)

On Interest Rate Policy and Asset Bubbles (joint with Franklin Allen and Douglas Gale)

Abstract

 

日時

November 10, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

木村遥介 (Yosuke Kimura) (The University of Tokyo)

Heterogeneous Investors, Trading Volume and Bull-Bear Markets

Abstract

We empirically investigate the relationship between bull-bear market cycles of stock price and trading volume by using the data of Japanese stock market. The result shows that bull markets are associated with high volumes while bear markets with low volumes. Because bull and bear markets are characterized by investors' optimistic and pessimistic expectations, we construct the differences of opinion model where investors disagree about the interpretation of public information and we investigate the effect of disagreement and precision of interpretation on asset price and trading volume. The model shows that large disagreement among investors generates large trading volume and high precision of investors also generates large trading volume for a given disagreement level. The environment with lower precision makes belief revisions smaller and it leads lower volumes. The interaction between investors' differential interpretations and their precision can generate the relation of volumes with bull-bear markets.

日時

※This seminar has been cancelled.

下記のセミナーは中止となりました。

November 17, 2016 (木 Thursday)16:50-18:35

報告

Luis Serven (World Bank)

Assessing the degree of international consumption risk sharing (joint with Constantino Hevia) [paper]

日時

November 21, 2016 (月 Monday)16:50-18:35 ※曜日に注意

ミクロ実証分析ワークショップと共催

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Rasmus Lentz(University of Wisconsin-Madison)

On Worker and Firm Heterogeneity in Wages and Employment Mobility: Evidence from Danish Register Data (joint with Suphanit Piyapromdee and Jean-Marc Robin)

Abstract

In this paper, we propose an estimation method that allows for unrestricted interactions between worker and firm unobserved characteristics in both wages and the mobility patterns. Related to Bonhomme, Lamadon and Manresa (2014) (BLM), our method identifies double sided unobserved heterogeneity through an application of the EM-algorithm where the firm classification is repeatedly updated so as to improve on the likelihood function. In Monte Carlo simulations we demonstrate that the cyclic updating of the firm classification provides a significant performance improvement. Firm classification is a result of both wage and mobility patterns in the data. We estimate the model on Danish matched employer-employee data for the period 1985-2011. The estimation includes gender, education, age and time controls. We find an increased sorting pattern over time, although overall sorting is modest. The wage gap between genders is decreasing over time. The contribution to the wage gap from mobility differences between the genders is also decreasing over time.

日時

November 30, 2016 (水 Wednesday)16:50-18:35 ※曜日に注意

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Tamim Bayoumi (International Monetary Fund)

Aftershocks of Monetary Unification: Hysteresis with a Financial Twist (joint with Barry Eichengreen) [paper]

Abstract

We investigate how far European Monetary Unification created a better currency union for its participants by updating our results 25 years ago on the correlation of underlying aggregate demand and supply shocks. We find the unintuitive result that since 1994 the periphery—Ireland, Italy, Spain, Portugal, and (arguably) Greece—appear to experience more correlated shocks than German’s more immediate neighbors. We conclude that the results reflect “hysteresis with a financial twist” in that these correlations appear to reflect a mixing of aggregate demand and supply shocks coming from an exceptionally pro-cyclical banking system. We conclude that banking integration is a more important factor in defining optimum currency areas than has been acknowledged in the past.

日時

December 1, 2016 (木 Thursday)16:50-18:35

場所

東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 第1セミナー室
in Seminar Room 1 on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告

Ponpoje Porapakkarm (National Graduate Institute for Policy Studies (GRIPS))

The Lifetime Costs of Bad Health

Abstract

How costly is it to be unhealthy? And what makes good health valuable? In this paper, we investigate the pathways through which health a ects lifecycle outcomes. We focus on the high school males group to remove the educational e ect. Our studies distinguish between instantaneous and accumulated e ects of bad health: the latter e ect depends on the length of sickness which can be substantial when unhealthy status is highly persistent. To capture the long duration-dependence of unhealthy status we start by estimating a health shock process that allows for state-dependence and xed heterogeneity. Our estimated process can well capture various dynamic moments of health status as in the data (PSID/HRS). Next, we feed this health shock process into a rich structural life-cycle model. The estimated model is consistent with two important sets of empirical facts: i) the quantitative impact of bad health on earnings, medical spending, labor supply and life expectancy; ii) the large disparity in accumulated wealth over lifecycle between the healthy and the unhealthy. We show that the monetary cost of bad health steeply increases with the number of years individuals spend being unhealthy over their working life. The largest component of these costs is due to the productivity loss while the contribution of out-of-pocket medical spending is relatively small. To account for non-monetary e ects of health, we evaluate the willingness to pay for one percentage point increase in probability to be healthy. Our decomposition exercise shows that the most valuable aspect of being healthy is the longer life expectancy.