Workshops


マクロ経済学ワークショップ
Macroeconomics Workshop 2018

 

※ 2018年11月13日

※ 特に表記のない限りセミナー発表は英語で行われます(Unless otherwise mentioned, presentations are in ENGLISH)。

※2018年度より授業時間が2限(10:25-12:10)へ変更いたします。
日時 November 22, 2018 (木 Thursday) 10:25-12:10

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 橋修平 (Shuhei Takahashi) (Kyoto University)

Does State-Dependent Wage Setting Generate Multiple Equilibria? [paper]

Abstract

Does wage setting exhibit strategic complementarity and produce multiple equilibria? This study constructs a discrete-time New Keynesian model in which the timing of individual wage adjustments is endogeneous. I explore steady-state equilibrium of the state-dependent wage-setting model both analytically and numerically. For reasonable parameter values, complementarity in wage setting is weak and multiple equilibria are unlikely to exist at the steady state. The uniqueness of equilibrium is robust to imperfect consumption insurance and deflation.

日時 November 29, 2018 (木 Thursday) 10:25-12:10

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)

On Separation between Payment and Saving Instruments

Abstract

This paper presents a three-period model to analyze why the central bank, which issues payment instruments, and commercial banks, which supply saving instruments, must be separated from each other as observed in the modern banking system. Credit creation by commercial banks improves risk sharing in the economy, as private banknotes can serve as payment instruments pooling idiosyncratic default risk in commercial bills issued by payers. This characteristic of private banknotes, however, can also create the possibility of a self-fulfilling bank run. Commercial banks can reduce the amount of bank reserves necessary to prevent a self-fulfilling bank run if they set up a conduit that issues only payment instruments through short-term re-discounting of commercial bills.

日時 December 6, 2018 (木 Thursday) 10:25-12:10
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 Erzo F.P.Luttmer (University of Minnesota)

TBA

Abstract

 

日時 December 13, 2018 (木 Thursday) 10:25-12:10
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

Alireza Tahbaz-Salehi (Northwestern University)

A Theory of Firm-Level Production Networks

Abstract

This paper develops a theory of firm-level production networks, with firm-specific relationships, endogenous bankruptcies, and market power. Firms in each industry have access to a production technology that uses relationship-specific intermediate inputs produced by their “customized” suppliers, with prices determined via pairwise bargaining between suppliers and customers. Operating the customized technology, however, requires fixed costs. Hence, negative shocks can result in a cascade of firm failures in the economy. We establish the existence of an equilibrium and provide comparative static results on how prices, firm failures, and macroeconomic aggregates respond to changes in parameters. We then study how the interplay between firm-level linkages and firm failures shape the propagation of shocks over the economy’s production network. Our theoretical results indicate that understanding network-originated aggregate fluctuations may require moving beyond models of sectoral linkages and focusing on how firm-level interactions can lead to chains of failures.

日時 December 20, 2018 (木 Thursday) 10:25-12:10
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

高橋悠太 (Yuta Takahashi) (Hitotsubashi University)

TBA

Abstract

 

日時 February 4, 2019 (月 Monday) 10:25-12:10 ※曜日・場所に注意
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)2階 第3セミナー室
in Seminar Room 3 on the 2nd floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Taisuke Nakata (Board of Governors of the Federal Reserve System)

TBA

Abstract

 

日時 February 19, 2019 (火 Tuesday) 10:25-12:10 ※曜日・場所に注意
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)2階 第3セミナー室
in Seminar Room 3 on the 2nd floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Ofer Setty (Tel Aviv University)

TBA

Abstract

 

本年度終了分:

日時 April 5, 2018 (木 Thursday) 10:25-12:10

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 和田賢治 (Kenji Wada) (Keio University)
Unconventional Monetary Policy and the Bond Market in Japan: A New-Keynesian Perspective (joint with Parantap Basu)
Abstract In this paper, we set up a medium scale new-Keynesian dynamic stochastic general equilibrium (DSGE) model to analyze the effects of various phases of unconventional monetary policy (UMP) on the Japanese bond market. Our model has two novel features: (i) a banking friction in the form of an aggregate bank run risk to motivate a commercial banks’ demand for excess reserve, and (ii) dynamic linkage between Central Bank resource constraint and the governmental budget constraint via a transfer payment by the Central Bank to the Treasury. We do three policy simulations to analyze the effects of various phases of UMP shocks on the bond market, namely: (i) effect of a quantitative easing (QE) shock; (ii) the effect of a negative shock to the overnight borrowing rate; and (iii) the effect of a negative shock to the interest rate on banks’ excess reserve (IOER). In light of these results, we do an evaluation of the recent yield curve control policy of the Bank of Japan.

日時 April 17, 2018 (火 Tuesday) 12:10-13:00

※日時・場所に注意

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)2階 第3セミナー室
in Seminar Room 3 on the 2nd floor of the Economics Research Annex (Kojima Hall) [Map]
報告 Cheng Chen (The University of Hong Kong)


Uncertainty, Imperfect Information, and Learning in the International Market [paper]

Abstract This paper uses a unique dataset of Japanese multinational affiliates, which contains information on sales forecasts, to detect information imperfection and learning in the international market. We document three stylized facts concerning affiliates' forecasts. First, forecast errors (FEs) of sales decline with the affiliate's age. Second, if the parent firm has previous export experience to the region where its affiliate is set up, the entering affiliate starts with a smaller absolute value of FEs. Third, FEs of sales are positively correlated over time and this positive correlation becomes stronger when the affiliates are located further away from Japan. In total, we view these facts as direct evidence for the existence of imperfect information and learning in the international market. We then build up and quantify a dynamic industry equilibrium model of trade and foreign direct investment (FDI), which features information rigidity and learning, in order to explain the documented facts. Counterfactual analysis shows that the variance of time-invariant demand draws and that of transitory shocks have qualitatively different and quantitatively important implications for dynamic patterns of trade/multinational production, dynamic selection, and aggregate productivity.

日時 April 19, 2018 (木 Thursday) 10:25-12:10

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 1on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]

報告 寺西勇生 (Yuki Teranishi)(Keio University)
Product Cycles and Prices: Search Foundation (joint with Mei Dong) [paper]
Abstract This paper develops a price model with a search foundation based on product cycles and prices. Observations conclude that firms match with a new product, then set a new price through negotiation and fix the price until the product exits from a market. This evident behavior results in a new model of price stickiness as a Search-based Phillips curve. The model includes a New Keynesian Phillips curve with Calvo's price adjustment as a special case and describes new phenomena. First, new parameters and variables of a frictional goods market determine price dynamics. As separation rate in a goods market decreases, price becomes more sticky, i.e., a atter slope in a Search-based Phillips curve, since the product turnover cycle is sluggish. Moreover, other goods market features, such as proba- bility of match, elasticity of match, and bargaining power for a price setting decide price dynamics. Second, goods market friction can make endogenously persistent inflation dynamics without an assumption of indexation to a lagged in flation rate. Third, when the number of a product persistently increases, deflation continues for a long period. It can explain a secular deflation.

日時 May 10, 2018 (木 Thursday) 10:25-12:10

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 Greg Kaplan (University of Chicago)
The Housing Boom and Bust: Model Meets Evidence(joint with Kurt Mitman, and Giovanni L. Violante) [paper]
Abstract We build a model of the U.S. economy with multiple aggregate shocks (income, housing finance conditions, and beliefs about future housing demand ) that generate fluctuations in equilibrium house prices. Through a series of counterfac tual experiments, we study the housing boom and bust around the Great Recession and obta in three main results. First, we find that the main driver of movements in house prices and rents was a shift in beliefs. Shifts in credit conditions do not move house prices but are important for the dynamics of home ownership, leverage, and foreclosures. The role of housing rental markets and long-term mortgages in alleviating credit cons traints is central to these findings. Second, our model suggests that the boom-bust in house prices explains half of the corresponding swings in non-durable expenditures and that the transmission mechanism is a wealth effect through household balance sheets. Third, we find that a large-scale debt forgiveness program would have done little to temper the collapse of house prices and expenditures, but would have dramatically reduced foreclosures and induced a small, but persistent, increase in consumption during the recovery.

日時 May 17, 2018 (木 Thursday) 10:25-12:10

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 Konstantin Kucheryavyy (The University of Tokyo)
A Unified Model of International Business Cycles and Trade" (joint with Saroj Bhattarai) [paper]

Abstract We present a general, competitive open economy business cycles model with capital accumulation, trade in intermediate goods, production externalities in the intermediate and final goods sectors, and iceberg trade costs. Our main theoretical result shows that under appropriate parameter restrictions this model is isomorphic in terms of aggregate equilibrium predictions to dynamic versions of workhorse quantitative models of international trade: Eaton-Kortum, Krugman, and Melitz. The parameter restrictions apply on the overall scale of externalities, the split of externalities between factors of production, and the identity of sectors with externalities. Our quantitative exercise assesses whether various restricted versions of the general model—in forms they are typically considered in the literature—are able to resolve well-known aggregate empirical puzzles in the international business cycles literature. Our theoretical result on isomorphism between models provides insights on why dynamic versions of international trade models fail to resolve these puzzles in so many instances. We then additionally explore in what directions they need to be amended to provide a better fit with the data. We show that an essential feature is negative capital externalities in intermediate goods production. We thus provide a unified theoretical and quantitative treatment of the international business cycles and trade literatures in a general dynamic framework.

日時 May 24, 2018 (木 Thursday) 10:25-12:10

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 久保田荘 (So Kubota) (The University of Tokyo)
Culture and Labor Supply: Decline in Female Market Work in Turkey" [paper]
Abstract Turkey has experienced the world largest decline in female labor force participation rate: it has fallen from 72% in 1955 to 29% in 2011. While there is a large decrease in female agriculture employment, there is only a small increase in service sector. This paper argues that, (i) the main industry has shifted from agriculture to non-agriculture, (ii) because of the social stigma against non-family market work for Turkish women, they have failed to move from agriculture to other sectors. I construct a simple general equilibrium model of sectoral reallocation with gender and calibrate its parameters to match the U.S. data. Quantitatively, the baseline model does a reasonable job to explain the female labor supply in the U.S. and also several European countries, while it misses dramatically in capturing Turkish data. I add the stigma effect for Turkish women, then the model does a good job of capturing the evolution of sectoral hours by gender in Turkey. This paper suggests a quantitative importance of cultural factors.

日時 May 29, 2018 (火 Tuesday) 10:25-12:10

※曜日・場所に注意

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)2階 第3セミナー室
in Seminar Room 3 on the 2nd floor of the Economics Research Annex (Kojima Hall) [Map]

報告 Alberto Martin (Centre de Recerca en Economia Internacional)
Monetary Policy for a Bubbly World (joint with Vladimir Asriyan, Luca Fornaro, and Jaume Ventura)
Abstract We propose a model of money, credit and bubbles, and use it to study the optimal response of monetary policy to asset bubbles. The main feature of the environment is that financial frictions limit the private sector ability's to issue high-quality assets. In this environment, there is room for bubbles to pop up and burst, generating fluctuations in the capital stock and output. We characterize the role of monetary policy in this context, and show that it may be optimal for the monetary authority to enter liquidity traps in which money is used as a store of value. When bubbles grow and expand the supply of assets, the monetary authority responds by reducing real balances: when bubbles crash and reduce the supply of assets, the monetary authority responds by expanding real balances. We explore how the feasibility and optimality of this policy depends on the credibility of the monetary authority, on its fiscal backing, and on its ability to distribute seigniorage. We also use the model to interpret the expansion of central bank balance sheets in the aftermath of the financial crisis.

日時 June 7, 2018 (木 Thursday) 10:25-12:10

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 Levent Altinoglu (Federal Reserve Board of Governors)


The Origins of Aggregate Fluctuations in a Credit Network Economy" [paper]

Abstract I build a network model of the economy in which intermediate goods are financed partly by supplier credit. The credit linkages between firms propagate financial shocks and amplify their aggregate effects. Combining firm- and industry-level data, I estimate aggregate and idiosyncratic shocks to industries in the US and find that financial shocks are a prominent driver of cyclical fluctuations, accounting for two-thirds of the drop in industrial production during the Great Recession. Furthermore, idiosyncratic financial shocks to a few key industries can explain a considerable portion of these effects. In contrast, productivity shocks had a negligible impact during the recession.

日時 June 8, 2018 (金 Friday) 10:25-12:10 ※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 Marco Bassetto (Federal Reserve Bank of Chicago)
Organizational Equilibrium with Capital (joint with Zhen Huo and José-Víctor Ríos-Rull)

Abstract This paper proposes a new equilibrium concept  organizational equilibrium  for models with state variables that have a time inconsistency problem. The key elements of this equilibrium concept are: (1) agents are allowed to ignore the history and restart the equilibrium; (2) agents can wait for future agents to start the equilibrium. We apply this equilibrium concept to a quasi-geometric discounting growth model and to a problem of optimal dynamic scal policy. We nd that the allocation gradually (and only partially) transits from that implied by its Markov perfect equilibrium towards that implied by the solution under commitment, with welfare signicantly improved relative to that in the Markov equilibrium. The feature that the time inconsistency problem is resolved slowly over time rationalizes the notion that goodwill is very valuable but has to be built gradually.

日時 June 14, 2018 (木 Thursday) 10:25-12:10

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 Toshihiko Mukoyama (Georgetown University)


Firm Growth through New Establishments

Abstract

 

日時 June 15, 2018 (金 Friday) 10:25-12:10 ※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 Ned Prescott (Federal Reserve Bank of Cleveland )
Liquidity Requirements and the Interbank Loan Market: An Experimental Investigation (joint with Douglas Davis, Oleg Korenok, and John Lightle)
Abstract We develop a stylized, prototype experiment for examining interbank markets and use it to evaluate the effects of liquidity requirements. Baseline and liquidity-regulated regimes are analyzed in a simple shock environment, that features a single idiosyncratic shock, and in a compound shock environment, in which the idiosyncratic shock is followed by a randomly occurring aggregate shock. All shocks are followed by interbank trading of the illiquid asset. In the simple shock environment we find that liquidity regulations reduce the incidence of bankruptcies, but at a large loss of investment efficiency. In the compound shock environment, liquidity regulations not only impose an investment efficiency loss but fail to reduce bankruptcies. Qualitatively, we find heterogeneous investment behavior on the part of players that impacts the frequency of bankruptcies.

日時 June 21, 2018 (木 Thursday) 10:25-12:10

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 Michal Fabinger (The University of Tokyo)


International Trade and Market Entry Decisions by Heterogeneous Firms Facing Increasing Marginal Production Cost and Economies of Scale in Shipping

Abstract This work studies a computationally demanding model of firm exports that provides a new perspective on the gravity equation of trade. We estimate the magnitude of two effects: (1) the quantity dependence of the marginal cost of trade and (2) the quantity dependence of the marginal cost of production. This is achieved by solving a general equilibrium model of world trade with heterogeneous firms and comparing the resulting statistics to those of Chinese firm-level export data. The fitted model reproduces the gravity equation of trade without assuming that trade costs between distant countries are excessively large, which provides a resolution to the trade cost puzzle in the international trade literature.

日時 June 28, 2018 (木 Thursday) 10:25-12:10
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 Yongs Shin (Washington University)
Computerizing Industries and Routinizing Jobs: Explaining Trends in Aggregate Productivity (joint with Sangmin Aum and Sang Yoon (Tim) Lee)
Abstract Aggregate productivity growth in the U.S. has slowed down since the 2000s. We quantify the importance of differential productivity growth across occupations and across industries, and the rise of computers since the 1980s, for the productivity slow- down. Complementarity across occupations and industries in production shrinks the relative size of those with high productivity growth, reducing their contributions to- ward aggregate productivity growth, resulting in its slowdown. We find that such a force, especially the shrinkage of occupations with above-average productivity growth through “routinization,” was present since the 1980s. Through the end of the 1990s, this force was countervailed by the extraordinarily high productivity growth in the computer industry, of which output became an increasingly more important input in all industries (“computerization”). It was only when the computer industry’s produc- tivity growth slowed down in the 2000s that the negative effect of routinization on aggregate productivity became apparent. We also show that the decline in the labor income share can be attributed to computerization, which substitutes labor across all industries.

日時 July 5, 2018 (木 Thursday) 10:25-12:10

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 Jinhui Bai (Washington State University and Tsinghua University)


The Welfare and Distributional E ects of Fiscal Volatility: a Quantitative Evaluation (join with Rudiger Bachmann, Minjoon Lee, and Fudong Zhang) [paper]

Abstract This study explores the welfare and distributional effects of scal volatility using a neoclassical stochastic growth model with incomplete markets. In our model, households face uninsurable idiosyncratic risks in their labor income and discount factor processes, and we allow aggregate uncertainty to arise from both productivity and government purchases shocks. We calibrate our model to key features of the U.S. economy, before eliminating government purchases shocks. We then evaluate the distributional consequences of the elimination of scal volatility and nd that, in our baseline case, welfare gains increase with private wealth holdings.

※Master's Thesis Presentations ※

We can print your thesis paper to be 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 floor of Economics Research Annex (Kojima Hall). 

The submission deadline is (please be punctual): by 4:30pm, July 11 (Wednesday)
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 along with your thesis file, so that CIRJE can 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 on the presentation day:  make sure they should be back into place after use.

 

日時

July 12, 2018 (木 Thursday) 10:25-12:10

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 HUANG Yuanfan
The Comparative Analysis of factors affecting the House
Prices of first-tier and second-tier cities in China (Reader:福田)

YU Fei


The geography of syndication investment networks of venture capital
in China (Reader:楡井)

日時 July 19, 2018 (木 Thursday) 10:25-12:10

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 笹原彰 (Akira Sasahara) (University of Idaho)
Costs of Sovereign Defaults: Restructuring Strategies, Bank Distress and the Credit-Investment Channel (joint with Tamon Asonuma, Marcos Chamon, and Aitor Erce)

Abstract Sovereign debt restructurings are associated with a decline in GDP, investment, and private sector credit. The transmission channels and associated output and banking sector costs depend on whether the restructuring takes place preemptively, without missing payments to creditors, or whether it takes place after a default has occurred. Post-default restructurings are associated with a more severe decline in bank credit, an increase in bank lending interest rates, and a higher likelihood of triggering a banking crisis than pre-emptive restructurings. Our local projection estimates show a large decline in GDP and investment amplified by credit crunches and transmitted through a “credit-investment channel”.

日時

August 2, 2018 (木 Thursday) 10:25-12:10

※会場に注意

※主催:政策評価教育研究センター(CREPE)

場所 東京大学国際学術総合研究棟2階・第6教室
Lecture Hall No. 6 on the 2nd Floor, International Academic Research Building, The University of Tokyo [Map]
報告 清滝信宏 (Nobuhiro Kiyotaki) (Princeton University and CREPE)
A Macroeconomic Model with Financial Panics

Abstract This paper incorporates banks and banking panics within a conventional macroeconomic framework to analyze the dynamic of a financial crisis of the kind recently experienced. We are particularly interested in characterizing the sudden and discrete nature of the banking panics as well as the circumstances that makes an economy vulnerable to such panics in some instances but not in others. Having a conventional macroeconomic model allows us to study the channels by which the crisis affects real activity and the effects of policies in containing crises.

日時 September 18, 2018 (火 Tuesday) 10:25-12:10

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 Francis E. Warnock (University of Virginia)

Benchmarking Portfolio Flows (joint with John D. Burger and Veronica Cacdac Warnock) [paper]

Abstract

To gauge the amount of portfolio inflows a country can expect to receive, we create a benchmark, a longer-term baseline path around which actual flows fluctuate, for 45 countries for the 2000 to 2017 period. For EMEs, there is a significant long-run relationship between actual portfolio flows and our benchmark, flows adjust strongly toward the benchmark, and our benchmark helps predict one-year-ahead changes in inflows. For AEs, the benchmark performs well in directional forecasting exercises. In practical terms, when assessing large movements in portfolio flows it is informative to distinguish between movements toward the benchmark and movements away from the benchmark.

日時 September 20, 2018 (木 Thursday) 10:25-12:10

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 Simon Fuchs (Federal Reserve Bank of Atlanta)

The Spoils of War: Trade Shocks during WWI and Spain’s Regional Development [paper]

Abstract

This paper analyzes to what extent labor market frictions limit the gains from market integration. I use an external demand shock to the Spanish economy as a natural experiment to identify and quantify the effect of labor mobility costs on Spain’s development. Using newly digitized trade and labor market data, I show that during WWI (1914-1918) a large, temporary and sectorally heterogeneous demand shock emanated from belligerent countries, as a result of which Spain expanded its manufacturing employment and exports, while income growth between the north and south in Spain diverged. To quantify and analyse the role of mobility costs I build and estimate a multi-sector economic geography model that allows for sectoral and spatial mobility costs. Spatial mobility costs dominated with an estimated 80% of reallocation of labor taking place within rather than between provinces. I use the estimated model to calculate counterfactuals to examine the effects of and interaction between output and input market integration: Comparing to the non-shock counterfactual I find that the WWI-shock increased manufacturing employment by 10%, and induced highly uneven spatial development with the north growing 27% faster. The shock constituted a 6% increase in market size and increased aggregate real incomes by 20%. Lowering mobility costs by 10% increases real income gains from the WWI-shock by an additional 3%, and exceeds gains in the non-shock scenario, suggesting that labor market integration and output market integration are complements.

日時 September 27, 2018 (木 Thursday) 10:25-12:10

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 平口良司 (Ryoji Hiraguchi) (Meiji University)

Consumption and labor supply decisions in a neoclassical growth model with quasi-hyperbolic discounting [slides]

Abstract

Recent experimental study finds that choices over work are more present biased than the ones over monetary rewards. Motivated by the results, we construct a neoclassical growth model with quasi-hyperbolic discounting in which labor supply is endogenous, and the degree of time inconsistency in labor supply is different from the one in consumption. We show that if the difference is sufficiently large, the planning economy results in higher welfare than the recursive competitive equilibrium economy, and that the time-consistent fiscal policy which includes non-zero capital tax improves welfare. Our results differ from those in the quasi-hyperbolic discounting models with inelastic labor supply.

日時 October 4, 2018 (木 Thursday) 10:25-12:10
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 Richard Anton Braun (Federal Reserve Bank of Atlanta)

Old, frail, and uninsured: Accounting for features of the U.S. long-term care insurance market (joint with Karen A. Kopecky and Tatyana Koreshkova) [paper]

Abstract

Half of U.S. 50-year-olds will experience a nursing home stay before they die, and one in ten will incur out-of-pocket long-term care expenses in excess of $200,000. Surprisingly, only about 10% of individuals over age 62 have private long-term care insurance (LTCI). This paper proposes a quantitative equilibrium optimal contracting model of the LTCI market that features screening along the extensive margin. Frail and/or poor risk groups are o ered a single contract of no insurance that we refer to as a rejection. According to our model, rejections are the main reason that LTCI take-up rates are low. Both supply-side frictions due to private information and administrative costs and demand-side frictions due to Medicaid play important and distinct roles in generating rejections and the pattern of low take-up rates in the data.

日時 October 11, 2018 (木 Thursday) 10:25-12:10

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 P. Kaboski (University of Notre Dame)

Skill-Biased Structural Change (joint with Francisco J. Buera, Richard Rogerson and Juan I. Vizcaino) [paper]

Abstract

We document for a broad panel of advanced economies that increases in GDP per capita are associated with a systematic shift in the composition of value added to sectors that are intensive in high-skill labor, a process we label as skill biased structural change. It follows that further development in these economies leads to an increase in the relative demand for skilled labor. We develop a two-sector model of this process and use it to assess the contribution of this process of skill-biased structural change to the rise of the skill premium in both the US, and a broad panel of advanced economies, over the period 1977 to 2005. We find that these compositional changes in demand account for between 20 and 27% of the overall increase of the skill premium due to technical change.

日時

October 18, 2018 (木 Thursday) 10:25-12:10

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 the possibility of deflationary equilibria with monetary expansion: A reconciliation between the fiscal theory of the price level and the quantity theory of money [paper]

Abstract

In this paper, a deflationary economy with monetary expansion and growing public debts under near-zero interest rates is characterized as a continuum of equilibria, where the non-Ricardian regime with the fiscal theory of the price level probabilistically switches back to the Ricardian regime with the quantity theory of money. Given a possibility of a large, one-off rise in the price level at switching, mild deflations continue to balance such an expected price jump, when the economy remains non-Ricardian, and the public bonds are gradually appreciated in a real term before they are heavily devaluated at switching. In the non-Ricardian regime, the real valuation of the public bonds exceeds the present value of future fiscal surpluses, but such unbacked components in public bond pricing burst at switching. One important feature concerning the non-Ricardian regime is that the terminal condition associated with the public bonds is not satisfied in the government’s intertemporal budget constraint, but it still holds in the household’s constraint. Assuming that a small deflationary shock hit the Japanese economy in 1990, the price level would jump by more than 200%, and the real valuation of the public bonds would decline by 40% if the economy switched back to the Ricardian regime.

日時 October 25, 2018 (木 Thursday) 10:25-12:10

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 堀 敬一 (Keiichi Hori) (Kwansei Gakuin University)

Corporate Default and Investment Policies under Rollover Risk and Solvency Concern (joint with Hiroshi Osano) [paper]

Abstract

We consider the role of a market learning process in identifying the firm’s solvency risk in its financing and investment decisions under endogenous interaction between rollover risk and solvency concern. We show that an increase in liquidity (solvency) uncertainty raises (reduces) the firm’s incentives to default, but reduces (raises) the firm’s incentives to invest, although unlike the standard real options model, an increase in liquidity (solvency) uncertainty reduces (raises) the volatility of the state variable defined as the posterior expectation of the drift of cash flows. We also find that the firm’s incentive to default (invest) decreases (increases) as debt maturity increases. In addition, our model predicts that an increase in liquidity (solvency) uncertainty raises (reduces) the leverage ratio of the firm, while reducing (raising) credit spreads if debt maturity is sufficiently long.

日時 November 8, 2018 (木 Thursday) 10:25-12:10

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 松前龍宜 (Tatsuyoshi Matsumae) (Tohoku University)

Sources of the Great Recession: A Bayesian Approach of a Data-Rich DSGE model with Time-Varying Volatility Shocks (joint with Hirokuni Iiboshi and Shin-Ichi Nishiyama) [paper]

Abstract

In order to investigate sources of the Great Recession (Dec. 2007 to Jun. 2009) of the US economy in the latter portion of the first decade of the 2000s, we modified the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model by embedding financial frictions in both the banking and the corporate sectors. Further- more, the structural shocks in the model are assumed to possess stochastic volatility (SV) with a leverage effect. Then, we estimated the model using a data-rich estimation method and utilized up to 40 macroeconomic time series in the estimation. In light of a DSGE model, we suggest the following three empirical evidences in the Great Re- cession: (1) the negative bank net-worth shock gradually spread before the corporate net worth shock burst ; (2) the data-rich approach and the structural shocks with SV found the contribution of the corporate net worth shock to a substantial portion of the macroeconomic fluctuations after the Great Recession, which is unlike the standard DSGE model; and (3) the Troubled Asset Relief Program (TARP) would work to bail out financial institutions, whereas balance sheets in the corporate sector would still not have stopped deteriorating. Incorporating time-varying volatilities of shocks into the DSGE model makes their credible bands narrower than half of the constant volatili- ties, which result implies that it is a realistic assumption based on the dynamics of the structural shocks. It is plausible that tiny volatilities (or uncertainty) in ordinary times change to an extraordinary magnitude at the turning points of business cycles.