Macroeconomics Workshop 2001

---

※以下本年度終了分

日時：

4月12日（木） 4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Ramana Ramaswamy (IMF)

"Japan's Stagnant Nineties: A Vector Autoregression Retrospective"(co-authored with Christel Rendu)　

Abstract:

This paper uses a vector autoregression (VAR) approach to identify the driving forces of the growth slowdown in Japan during the 1990s. Negative shocks to both residential and nonresidential investment are shown to have been important determinants of the slowdown. Despite the collapse in asset prices, negative shocks to private consumption were relatively small. A surprising conclusion is that trends in public consumption had a dampening impact on activity in the nineties. The VAR estimations do not support the counterfactual conjecture that activity in Japan would have been significantly weaker in the absence of the expansionary shift in fiscal policy.

日時：

4月18日（水）4:50-6:30pm　※ 時間と場所にご注意下さい

場所：

東京大学経済学部7階　第一共同研究室

at the meeting room No.1 on the 7th floor of Econ. Building

報告：

Yuka Ohno (Rice University)

"Top Dogs, Puppy Dogs, and Tax Holidays"(co authered with Kaz Miyagiwa)　

Abstract:

Host-country governments often grant temporary tax incentives to lure foreign investment. This paper shows that such transitory preferential tax treatment has the effect of preventing the foreign firm from monopolizing the host-country market. The pro-competitive effect arises because a transitory tax break makes the foreign firm temporarily a "toougher" competitor and induces local firms to delay entry into the market. Removing the threat of immediate competition assures the foreign firm of greater profitability, prompting it to abandon the costly entry-deterring strategy. In contrast, a permanent and uniform tax reduction tends only to strengthen the foreign firm's incentive to monopolize the host-country market.

日時：

4月26日（木）4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Shin-ichi Fukuda (東京大学経済学部)

"A Model of Keynesian under Knightian Uncertainty"　

Abstract:

The purpose of this paper is to explore a source of nominal price rigidity and non-neutrality of money in a model of monopolistic competition under Knightian uncertainty. The decision-making theory in the analysis is that of expected utility under a nonadditive probability measure, that is, the Choquet expected utility model of preference. We apply this decision theory to a model of monopolistic competition without fixed cost of price adjustment. We show that when aversion to Knightian uncertainty exists, nominal price becomes rigid in a model of monopolistic competition. The model therefore has a Keynesian feature that nominal disturbances, particularly anticipated changes of money supply, have real effects on aggregate output fluctuations. The feature holds even if aversion to Knightian uncertainty is very small.

日時：

5月10日（木）4:50-6:30pm ***CANCELED***

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

大瀧 雅之　Masayuki Otaki (東京大学社会科学研究所)

"A Simple Unified Macroeconomic Theory: Keynesian Neoclassical Controversy as an Equilibrium Selection Problem" 　

Abstract:

Different types of equilibrium are obtained by the standard OG model with money and production decision. Using this multiplicity, this article has succeeded in representing the controversy between neoclassicals and Keynesians as an equilibrium selection problem in the same model. I have derived the textbook-like AD/AS and Hick-Samuelson 45^± line analyses as a rational expectation equilibrium without any exogenous price stickiness. Such multiplicity of equilibrium stems from the intertemporal structure, which means that there does not exist unique end-point condition in the OG model. Namely, the coordination failure possibly occurs even in the Walrasian equilibrium.

日時：

5月17日（木）4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Toni Braun (東京大学経済学部)

"Are Macroeconomic Risks Priced in Japanese Asset Markets?" : This is the revised version posted on May 17.

Abstract:

Monetary Policy and the Term Structure of Interest Rates in Japan

This paper considers the response of the term structure of interest rates to monetary policy in Japan. Following Uhlig (1999) we impose restrictions on the posterior distribution of parameters of a VAR and the range of identification schemes to produce impulse responses that accord well with economists a priori beliefs. This analysis indicates that the expected inflation effect is larger than the liquidity effect in Japan. We then use the identified monetary policy shock to estimate the response of the term structure in an affine model of the term structure.

日時：

5月24日（木）4:50-6:30pm ※TCERと共催

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Hideki Takayasu　高安秀樹 (SONY)

「ハイパーインフレーションにおける２重指数関数型成長の発生メカニズム」

The Mechanism of Double Exponential Growth in Hyper-Inflation(joint with Takayuki Mizuno and Misako Takayasu)

Abstract：

Analyzing historical data of price indices we find an extraordinary growth phenomenon in several examples of hyper-inflation in which price changes are approximated nicely by double-exponential functions of time. In order to explain such behavior we introduce the general coarse-graining technique in physics, the Monte Carlo renormalization group method, to the price dynamics. Starting from a microscopic stochastic equation describing dealers' actions in open markets we obtain a macroscopic noiseless equation of price consistent with the observation. The effect of auto-catalytic shortening of characteristic time caused by mob psychology is shown to be responsible for the double-exponential behavior.

Abstract only: The paper in English is to be distributed only at the seminar.

日時：

5月31日（木）4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Makoto Saito (Hitotsubashi University)

"Liquidity Demand and Asset Pricing: Evidence from Periodical Settlement in Japan"

(joint with Tsutomu Watanabe and Noriyuki Yanagawa)

Abstract：

While standard finance theory demonstrates that asset pricing is based on discounted future cash flows with risk premium adjustment, it is quite often argued among practitioners and even academicians that asset pricing is influenced heavily by current demands for assets. One of the most important issues here is when asset pricing is determined primarily by the current liquidity condition without proper reflection of future cash flows. According to a recent theoretical paper by Holmstrom and Tirole [1998], when firms expect that they may not finance liquidity events on their future revenues, they boost demands for short-term assets, which will mature coincidently with liquidity events. Such asset demands in preparation for liquidity events lower substantially short-term rates relative to long-term rates. Our paper examines this implication empirically, regarding as liquidity events the periodical settlement in March or December, which prevails as practice among Japanese firms. We find that, under control for the factor of expectations, assets with maturity just at the settlement period are indeed priced highly than ones with maturity beyond the period.

日時：

6月7日（木）4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Keiichiro Kobayashi (RIETI)

"Debt Disorganization" (joint with Masaru Inaba) Revised: June 6

Abstract：

This paper proposes a simple general-equilibrium model of persistent stagnation due to the forbearance of restructuring corporate-debt overhang. The purpose of this model is to explain the disappointing performance of the Japanese economy in the 1990s, and to point out a theoretical possibility of the macroeconomic inefficiency caused by the forbearance of corporate-debt restructuring in business cycles.

The story goes as follows. If the defaults are due to a macroeconomic nancial shock, creditors may hesitate to invoke bankruptcy on debtors since a creditor cannot gain from restructuring or selling off the defaulter when the macroeconomic environment surrounding the defaulter is too severe. Forbearance becomes the optimal strategy for creditors. However, once a creditor rationally decides to forbear restructuring a defaulter, the trading partners may distrust the defaulter's commitment to the "relation-specific" investments since the creditor may invoke bankruptcy on the debtor at any time. If suspicion prevails, chains of production by specialized suppliers are broken down,and output and productivity fall. Thus the forbearance,the rational choice by creditors in the stagnation, causes the persistence of the stagnation.

Additionally, we examined this "disorganization" using the Input-Output Tables of Japan. The empirical evidence suggests that disorganization occurred only after the asset-price bubble burst and the forbearance was chosen at the beginning of the 1990s.

日時：

6月14日（木）4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Shigenori Shiratsuka (BOJ)

"Policy Duration Effect under the Zero Interest Rate Policy in 1999-2000: Evidence from Japan's Money Market Data" (joint with Hiroshi Fujiki)

 :Revised on May 24

Abstract：

This paper quantifies the policy duration effect of the zero interest rate policy implemented in Japan from February 1999 to August 2000. Our empirical analysis shows that the policy duration effect observed in Japanese financial markets emerged via the expectations channel on the future course of monetary policy actions, supplemented significantly by liquidity effects in the severe financial conditions. This finding leads to the policy implication that the effectiveness of the zero interest rate policy depends crucially on the financial and economic conditions.

日時：

6月21日（木）4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Iichiro Uesugi (METI)

"Measuring the Liquidity Effect: The Case of Japan"

Abstract：

We measure the liquidity effect in Japan, complementing Hayashi's (2001) approach, and compare it with that in the US. Since the institutional features are similar across these two countries, we apply Hamilton's (1997,1998) methodology to obtain the liquidity effect for the entire day. In addition, the detailed daily data supplied by the Bank of Japan enables us to obtain more accurate estimates for Japan.

Our key findings, which are not found in Hayashi (2001), are; (1) On the final day of a reserve maintenance period, both countries show the strongest evidence for the liquidity effect, (2) In both countries the liquidity effect tends to be larger and more statistically significant toward the end of the period.

日時：

6月28日（木）4:50-6:30pm　※TCERと共催

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

上東 貴志 Takashi Kamihigashi (Kobe University)

"A deterministic economy generates a stochastic process"

Abstract：

This paper shows that extremely complicated dynamics arise in a simple deterministic model that consists of many agents whose behaviors are periodic with different periodicities. We consider a simple model in which each agent produces one unit of output periodically with a different periodicity. We call this model the net output model. We show that under an extremely general condition, given a realization of an arbitrary stochastic process, there is a net output model that generates the given realization. A general equilibrium model with an indivisible durable good is shown to reduce to a special case of the net output model. Numerical examples are provided.

日時：

7月5日（木）4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Hiroshi Fujiki (BOJ)

"Money Demand Near Zero Interest Rate: Evidence from Regional Data"

Abstract：

Using Japanese regional data, we find between estimates of the income elasticity of demand deposit which are positive and statistically significantly different from zero, not only during the period of low interest rate policy after 1995 but also during the period of "the zero interest rate policy." The stable relationship obtained from regional data could provide useful information to judge the stability of money demand function.

日時：

7月12日（木）4:50-6:30pm ※ Presentation in Japanese

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

宇南山　卓　Takashi Unayama (Graduate School of Economics, University of Tokyo)

"Risk Sharing, Menu Cost and Nominal Wage Contracts" (joint with Masayuki Otaki and Yoshihiro Tamai)

Abstract：

This paper deals with whether the risk-sharing hypothesis proposed by Gottfries (1992) really supports nominal contracts. Contrary to his discussion, we shall show the following propo-sitions; First, when we rigorously format Gottfries’s model as a game, the state-independent wage contracts never become a Nash equilibrium. Second, although Gottfries insists that the gain obtained by the deviation from nominal wage contracts is small, the validity of his ap-proximation procedure crucially depends on the form of the distribution function, and hence we can give a counterexample in which the gain is considerably large.

日時：

7月19日（木）　3:20-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

3:20-4:40pm Richard Blundell (UCL) "Semiparametric Estimation and Consumer Behavior"

Abstract:

This paper combines nonaparametric revealed preference theory with semiparametric econometric methods to test consumer theory and to derive tight bounds on consumer welfare, cost of living indeces and consumer demands. The use of semiparametric Engel curves estimated from micro data on consumers is shown to improve the power of nonparametric tests of revealed preference. The aim is to provide an approach to modelling consumer behaviour using micro data that is able to identify and estimate all aspects of standard empirical analyses of consumer behaviour without recourse to parametric models. An application is made to a long time series of repeated cross-sections from the Family Expenditure Survey for Britain. Tight bounds on true cost of living indices and on consumer demands are estimated and are shown to improve on classical revealed preference bounds.

4:50-6:30pm Avinash Dixit (Princeton University) "Fiscal Discretion Destroys Monetary Commitment" (co-authored with Luisa Lambertini, UCLA)

Abstract:

We consider the interaction between monetary and fiscal policy with a time-consistency problem, when the central bank is more conservative than the fiscal authority, in the sense of lower ideal output and in ation levels and lower tradeoff among them. A race develops between fiscal expansion and monetary restriction, and in Nash equilibrium output is lower and in ation higher than the ideal points of both policy authorities. We also find the fully optimal monetary policy rule as a nonlinear function of very general stochastic shocks to the parameters. We show that thevalue of monetary commitment is completely negated by fiscal discretion, yielding the same outcome as discretionary monetary leadership in every realization of the shocks. The best feasible allocation can be achieved either by commitment of both monetary and fiscal policy, or by giving the same socially optimal output target but conservative in ation target to both authorities.

日時：

7月23日（月 / Monday）4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Edward C. Prescott(University of Minnesota/Federal Reserve Bank of Minneapolis)

"International Income Differences: Past, Present and Future" (joint with Stephen L. Parente)

Abstract：

For all but the most recent history, living standards were constant over time and roughly equal across countries. There is a well-tested theory of this phenomenon, the key element of which is a production function with land being an important fixed factor of production. In recent times, beginning first in England about 1850, there has been sustained rapid increases in living. There is a well-tested theory of this phenomenon, the key elements of which are a production function with only labor and capital as inputs and growth in the stock of knowledge useful in production. If both calibrated production functions are available in all periods, the resulting model predicts a period of constant income, then a 100-year transition period, and finally sustained rapid growth in per capital income.

A question is why the transition to modern economic growth began at different times in different countries. Our finding is that there are differences in the efficiency with which resources are used in production across countries at a point in time and low efficiency is due to barriers to efficient production. Under some policies, industry insiders have the incentive to block more efficient production methods and under other policies to adopt more efficient production methods. Policy differences are what lead to efficiency differences.

From 1820 to 1950 international income differences increased because some countries began modern economic growth later than others. Since 1970, on average the poor countries have been catching up to the industrial leaders. Our forecast is that this catch up will continue and by the end of the twenty-first century all countries will be eight times richer than the richest countries are today.

＜CIRJE-TCER Conference on Economic Theory＞

日時：

7月24日（火 / Tuesday） ※すべてTCER, Macroworkshopと共催

場所：

午前の部：東京大学経済学部5階　視聴覚教室

午後の部：同学部2階 第5室となります

Morning Session: at the audiovisual room on the 5th floor of Econ. Building

Afternoon Session: at the classroom No.5 on the 2nd floor of the same building

報告：

10:30-12:00am Dilip Abreu (Princeton University) "Bubbles and Crashes" (with Markus Brunnermeier)

Abstract:

We present a model in which an asset bubble can persist despite the presence of rational arbitrageurs. The resilience of the bubble stems from the inability of arbitrageurs to temporarily coordinate their selling strategies. This synchronization problem together with the individual incentive to time the market results in the persistence of bubbles over a substantial period of time. The model provides a natural setting in which public events, by enabling synchronization, can have a disproportionate impact relative to their intrinsic informational content.

Keywords:

Bubbles, Crashes, Temporal Coordination, Synchronization, Market Timing, 'Overreaction', Limits of Arbitrage, Behavioral Finance

1:20-2:50pm Rafael Rob (University of Penn.) "Vintage Capital, Distortions and Development" (joint with Samuel de Abreu Pessoa)

3:00-4:30pm Nobuhiro Kiyotaki (LSE) "Liquidity, Asset Price, and Monetary Policy" (joint with John Moore) : The paper will be distributed at the seminar only.

4:50-6:30pm Michael Woodford (Princeton Univ.) "A Neo-Wicksellian Framework for the Analysis of Monetary Policy"

日時：

8月6日（月 / Monday）4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

René Belderbos (Maastricht University)

The Location of Japanese Investments in China: Agglomeration Effects, Keiretsu, and Firm Heterogeneity

Abstract：

Conditional logit analysis of the locational choice by Japanese electronics firms in China's regions and provinces during 1990-1995 confirms a major impact of general industry, Japanese, and keiretsu-specific agglomeration benefits. Further analysis reveals a substantial aggregation bias due to the presence of firm heterogeneites in terms of investor size and market orientation of manufacturing investments. Small and medium sized enterprises are more sensitive to distance from Japan and Japanese agglomeration, but less sensitive to the presence of incentive zones. Export oriented plants are more responsive than local market oriented plants to keiretsu agglomeration and seaports but less responsive to regional demand.

日時：

8月16日（木 / Thursday） 4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Kiminori Matsuyama (Northwestern University)

Good and Bad Investment: An Inquiry into the Causes of Credit Cycles

Abstract：

This paper presents dynamic general equilibrium models of imperfect credit markets, in which the economy fluctuates endogenously along its unique equilibrium path. During the recessions, the net worth of the agents is too low and they cannot finance their trading activities. Much of the saving thus goes to business investment, which creates jobs, thereby making the next generation of the agents richer. As the economy booms and the net worth of the agents improves, they can eventually finance their trading activities, which do not create any job. As more credit is extended to the traders at the expense of the entrepreneurs, the economy plunges into a recession. The whole process repeated itself. Endogenous fluctuations occur because, as in ecological cycles driven by predator-prey interaction, good investment breeds bad investment, which destroys good investment.

日時：

8月20日（月 / Monday） 4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Ayako Yasuda (Wharton School)

Institutions, Relationships and Bank Competition in Bond Underwriting Markets: An International Comparative Study    PAPER 1   PAPER 2

Abstract:

This paper addresses the question of whether existing institutional differences in banking systems affect bank competition in capital markets. Post-deregulation competition between entrant commercial banks and incumbent investment banks in the Japanese corporate bond underwriting market is empirically analyzed and compared with the results of the U.S. study in (Yasuda 2001b). I find that the certification effect alone cannot explain both the differences and similarities in the results. Drawing from the comparative banking literature, I interpret these findings as coming from the presence of "betrayal cost" in Japan and its absence in the U.S. These differences in the economic roles of relationships, as shaped by differences in the history of banking and corporate financing institutions, appear to persist in bank competition in the deregulated market.

日時：

10月18日（木 / Thursday） 4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Yasushi Iwamoto (Kyoto University / CIRJE)

An Estimation of the Price Elasticity of Medical Care Demand: Evidence from Japanese Policy Reforms During 40 Years (joint with Kensaku Kishida, GS of Economics, Kyoto University)

Abstract：

The Japanese universal health insurance consists of plural systems, which are operated separately. Thus policy reforms sometimes affect only a subset of the population. Among the reforms of out-of-pocket payment rules in the past forty years, we find 22 cases of natural experiments that provided us a control group. Using a difference-in-difference method, this paper estimates the price elasticity of outpatient medical care demand in Japan. Most of our estimates range from ‐0.1 to ‐0.3 for the non-elderly. The Japanese behavioral response is roughly comparable with other countries.

日時：

10月25日（木 / Thursday） (two seminars)

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Kotaro Tsuru(Research Institute of Economy, Trade and Industry)

Bank Relationships and Firm Performance: Evidence from Selected Japanese Firms in the Electrical Machinery Industry

Abstract：

By using a sample of selected Japanese companies in the electrical machinery industry, we examine bank relationships and firm performance. We find weak evidence that firms with stronger ties with banks might have had higher profitability in the late 1970s. This relationship was more significant among firms that had no access to the public bond market. These firms with strong bank relationships, however, clearly did worse in the late 1990s, although they still paid marginally lower interest costs than firms with weaker bank relationships in the same period. We also find that "monitoring benefits" seem to have disappeared by the late 1990s, since firms with higher growth potential, presumably those necessary for close bank monitoring, tended to have higher bank dependence in the late 1970, but lower one in recent years. These various changes in the influence of banking relationships may be associated with the maturity of these relationships, the financial liberalisation of the 1980s and the bust of the bubble economy in the early 1990s. We also find that firms whose main bank was weakly capitalised did worse in the late 1990s.

CANCELED: Hal Cole (UCLA)

CANCELED: Narayana Kocherlakota (University of Minnesota)

日時：

11月1日（木 / Thursday） 4:50-6:30pm　※TCERと共催

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Been-Lon Chen (Academia Sinica, Taiwan and Tsukuba University)

Agricultural Productivity, Government Expenditure and Economic Growth (joint with Jingjun Chang, Council of Economic Planning and Development)

Abstract：

To encourage economic growth in a developing economy, higher agricultural productivity gas been believed to enhance the manufacturing sector's development, which provides the transition into industrialization. Although Matsuyama (1992) has judged this as an incorrect argument by using a model of small open economies, this paper revisits this issue through introducing government into Matsuyama's model. As government income tax revenues are received, the government then spent it on productive infrastructure. By introducing government taxation and infrastructure expenditure, we show that, under proper conditions, higher agricultural productivity has a positive effect on economic growth. Moreover, introducing infrastructure expenditure may shifts the manufacturing sector's original comparative disadvantage into comparative advantage, thereby enabling a trapped economy to take off and eventually industrialize. From the early stages of economic development in Taiwan, South Korea, and Japan, we can quantitatively assess an obvious positive effect of agricultural productivity upon labor allocation and economic growth.

日時：

11月8日（木 / Thursday） 4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Yukinobu Kitamura (Hitotsubashi University)

An Econometric Analysis of Cohort Data from Household Savings in Japan

Reference: Paper 1  Paper 2

日時：

11月15日（木 / Thursday） 4:50-6:30pm　※TCERと共催

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Masanao Aoki (UCLA/CIRJE)

Ewens分布と"未知の経済事象"("unpredictables")のモデル化について ***Resume in Japanese

日時：

11月22日（木 / Thursday） 4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Hideo Akabayashi (Keio University)

How Do Japanese Wives Respond to the Allowance for Spouses? A Structural Estimate of Labor Supply and a Test of a Unitary Household Model

Abstract：

The Allowance for Spouses in the Japanese income tax system raises a unique question for married female labor supply and intrahousehold allocation, since the deductible amount for the husband's income tax decreases as the wife's earnings increase. Using a national survey of female part-time workers, I estimated a structural labor supply model under a nonlinear budget constraint created by the tax and social security system. I found that the wife's labor supply response to her husband's decreasing deduction tends to be larger than the response to the wife's personal income tax. This indicates that household income is not pooled, rejecting a unitary household model. The results show that the effects of the proposed tax and social security reforms on labor supply would be only a few percent, much smaller than is believed.

日時：

11月29日（木 / Thursday） 4:50-6:30pm

場所：

東京大学経済学部5階　視聴覚教室

at the audiovisual room on the 5th floor of Econ. Building

報告：

Kazuhito Ikeo (Keio University / CIRJE)

The Financial System of Post-1945 Japan: Its Formation, Development, and Deterioration

Abstract：

Facing significant changes in the environment in the 1970s, the Japanese economic system after World War II hardened: adjusting to maintain the status quo and thus losing the dynamism and flexibility that used to mark the Japanese economic system. While it is not true that the Japanese economic system has not changed, it has changed in the wrong direction. The Japanese economic system at present is not the same as the system that supported Japan's high-economic growth. In other words, the present one is a distorted version of the Japanese-style economic system. In this paper, the analysis focuses on the financial system as one of the core sub-systems of the Japanese economic system. Through the analysis of the financial system of post war Japan, the paper aims to establish the validity of the above assertion. The first half of the paper discusses the formation of the Japanese financial system after the war. Following this, the role of the 'artificial low interest rate policy' of post war Japan is investigated. The second half of the paper examines the process by which the Japanese financial system was distorted as a result of its failure to change adequately. The setback of the financial system reform of the 1980s is a typical example of such a failure. After the setback in the 1980s, the system continued to deteriorate, resulting in the banking crisis of the 1990s. Finally, instead of concluding remarks, the prospects of the Japanese Big Bang are briefly discussed.

日時：

12月6日（木 / Thursday） 4:50-6:30pm　※ この回以降場所が移動となりますのでご注意下さい。

場所：

東京大学経済学部第４教室（旧棟地階）

at the classroom No.4 down in the basement of Econ. Building

報告：

新谷元嗣 Mototsugu Shintani (Keio University)

Paper 1: Persistence in Law-of-One-Price Deviations: Evidence from Micro-data (joint with Mario J. Crucini)

Abstract of Paper 1：

We study the dynamics of good-by-good real exchange rate and develop implications for aggregatvie studies of real exchange rates using a micro-panel of 271 goods prices across 122 cities from 1990 to 2000.

Paper 2: A Nonparametric Measure of Convergence Toward Purchasing Power Parity

Abstract of Paper 2:

It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives. The conventional estimates, however, assume linear adjustment of real exchange rate toward long-run purchasing power parity. This paper proposes a new half-life measure which allows general nonlinear adjustment processes using nonparametric regression technique. The empirical result suggests that speed of reversion is indeed faster than those found in the previous studies.

日時：

12月12日（水, Wednesday） 1:10-2:50pm ***曜日と時間帯にご注意下さい***

場所：

東京大学経済学部　新棟12階　第１共同研究室

at the meeting room No.1 on the 12nd floor of the new building

報告：

Alwyn Young (Chicago Business School)

Demographic Fluctuations, Generational Welfare and Intergenerational Transfers　

Abstract:

This paper extends the Ramsey model's normative analysis to issues of generational welfare and intergenerational transfers. A planner, who maximizes the discounted welfare of an endless stream of generations, is intrinsically biased against larger cohorts, which are more costly to provide utility. Imperfect production substitutability produces a market bias against baby booms as well, lowering their lifetime income. The market bias, however, tends to be greater than that of the planner, who provides the baby boom cohort with more favourable lifetime transfers. Intuitively, the baby boom benefits from temporarily reduced elderly dependency, allowing greater lifetime consumption relative to lifetime income. Declining population growth leads to rising elderly dependency, which the planner supports with increasing intergenerational transfers. Secularly rising social security taxes, and declining lifetime returns, with a baby boom cohort receiving more favourable treatment than their heavily burdened successors, are consistent with the wishes of a social planner in an environment with declining population growth.

日時：

12月20日（木） 4:50-6:30pm

場所：

東京大学経済学部第４教室（旧棟地階）

at the classroom No.4 down in the basement of Econ. Building

報告：

田中隆一 Ryuichi Tanaka (NYU)

Inequality as a Determinant of Comparative Advantage　

Abstract:

This paper investigates the link between domestic income inequality and international trade using a dynamic model of occupational choice. After showing how systematic patterns of comparative advantage arise among countries with no differences in their economic fundamentals, I provide two results regarding trade liberalization describing the full transition dynamics. First, international income differences are reduced thanks to trade but both domestic and international income inequality persist in a steady state under trade. Secondly, the developing opening economy is better off by establishing trade agreements with a richer economy that has, at the same time, a highly unequal income distribution.

日時：

2001年1月１0日（木 Thursday） 4:50-6:30pm

場所：

東京大学経済学部　新棟12階　第1共同研究室

at the meeting room No.1 on the 12th floor of Econ. Building

報告：

Lionello F. Punzo (University of Siena/CIRJE)

The Look of Stagnation: Romania's Erratic Transition　

Abstract:

A transition path is expected to lead, eventually, to economic performance and sectoral structure typical of market economies. This twofold result would issue from a complex resource re-allocation process, almost automatically igniting a new mechanism of accumulation and growth. Romania's experience of persistent fluctuations around a descending trend, however, seems to contradict such notion of the one-way, self-fuelling path. It causes us to rethink some of the analytical tools and theories economists are using everyday. In this paper, I will offer the reflections of an academician together with, hopefully, some more practical suggestions.

My main point is that an analysis focusing solely upon resource re-allocation mechanisms cannot fully account for Romania's erratic transition because it tends to miss the link with the dual processes of accumulation and creation of new resources. I will, therefore, reconstruct the "other side" of Romania's story by looking at its dynamic structure, described by the distribution of the economy's sectoral paths. The evolution over time of such distribution is the key to understanding the two issues of macroeconomic vulnerability and the non-sustainability of the country's current situation.

Thus, the dynamics of Romania's economy is treated as a specimen of an independent variety of transition. It is one that not only proves unable to initialise and then sustain long-term growth; it seems to actually absorb and destroy more resources than it creates, in this way generating a slow agony from time to time interrupted sudden bursts of activity. The term dynamic trap is meant to describe such a repeating pattern of wild fluctuations around a contracting trend.

Due partly to the short time horizon and data availability, the conclusions of the foregoing analysis can only be tentative. Still, they clearly point out the need to re-consider policy for Romania and similar countries. In particular, measures are required to put in place and to enhance mechanisms of technology transfers, to re-orient sectoral composition that generates trade specialization, and generally to create conditions for an accelerated process of accumulation of physical as well as human capital assets. The economic environment in such countries seems unable to process macroeconomic policies in the expected way.

※通常のセミナーです。曜日にご注意下さい。時間と場所が変更になりましたのでご注意下さい。

日時：

1月21日（月 / Monday） 12:00-1:30pm TIME CHANGED

場所：

東京大学経済学部　新棟12階　第1共同研究室

at the meeting room No.1 on the 12th floor of Econ. Building

報告：

Hiroyuki Kasahara(Department of Economics, University of Wisconsin-Madison)

Temporary Increases in Tariffs and Machine Replacement: The Chilean Experience

Abstract:

This paper argues that, for a small open economy importing most of its capital goods, a temporary increase in import tariffs may have a large negative impact on investment and productivity. For such an economy, a tariff increase causes the price of machines to rise, delaying the adoption of frontier technologies embodied in machines. The delay in technology adoption leads in turn to lower aggregate productivity growth as well as higher productivity dispersion across plants. It is argued that a temporary increase in tariffs from 1983 to 1985 had a substantial impact on the dynamics of Chile's investment and productivity in the mid 1980s through the early 1990s. To quantitively examine the implications of the model, a dynamic structural model is developed and estimated using plant-level Chilean manufacturing panel data for 1980-1996. The estimated model replicates well the observed investment patterns at both plant and aggregate levels. A counterfactual experiment suggests that Chile would have recovered from the economic crisis of 1982-1983 at a substantially faster rate had there been no temporary increase in import prices associated with higher tariffs in the mid-1980s.

※ 以降は木曜日は修士論文報告会となり、通常セミナーは木曜日以外に行われます。

修士論文報告会の場所は全て東京大学経済学部　旧棟地階　第４教室、通常セミナーの場所は新棟の共同研究室になりますのでご注意下さい。

1月17日（木/ Thursday）

16:20-17:00 金谷　　信 Option premium under uncertainty

17:00-17:40 平口　良司 多部門経済成長モデルに関する研究

17:40-18:20 **cancelled**

18:20-19:00 青木　周平 Enterprises and Inequality in Imperfect Competition

19:00-19:40 津田　陽子 The Fragility of Foreign Direct Investment

1月21日（月/Monday)通常セミナー: 下記参照 see below

1月24日（木/Thursday）

17:00-17:40 菅野　　新 WTOにおけるuniform tariffの分析

17:40-18:20 秋吉　史夫 銀行監督が銀行救済政策に与える効果について

1月30日（水/Wednesday)通常セミナー : 下記参照 see below

1月31日（木/Thursday）

16:20-17:00 ｻﾝﾀﾞｸﾞ ﾂｪﾝｹﾞﾙ モンゴル：金融システムと経済成長

17:00-17:40 横谷　　亮 情報の非対称性下での取引銀行数の決定メカニズム：なぜ取引銀行は複数になるのか？

17:40-18:20 ｸﾞｴﾝ ﾃｨ ﾊｲﾝ Can the Japanese Experience of Main Bank System Be a Model for Financial System Reform in Transitional Economy of Vietnam?

※通常のセミナーです。曜日にご注意下さい。

日時：

1月30日（水 Wednesday） 4:50-6:30pm

場所：

東京大学経済学部　新棟12階　第1共同研究室

at the meeting room No.1 on the 12th floor of Econ. Building

報告：

Zvi Eckstein (Tel Aviv University/CIRJE)

Labor Mobility of Immigrants: Training, Experience and Opportunities　(joint with Sarit Cohen, Bar-Ilan University)

Abstract:

The transition pattern of immigrants to a new labor market is characterized by high wage growth, fast decrease in unemployment as immigrants first find blue-collar jobs, followed by a gradual movement to white-collar occupations. A central aspect of this process is the acquisition of local human capital in the form of the local language, on the job learning (experience) and the participation in training programs provided by the government. This paper focuses on the labor mobility and human capital accumulation of male immigrants who moved from the former Soviet Union to Israel and are characterized by their high levels of skills and education. We formulate a dynamic choice model for employment and training in blue and white-collar occupations, where the labor market randomly oered opportunities are aected by the past choices of the immigrant.

The estimated model fits well the observed patterns of unemployment, employment by occupation and training. The estimated rates of return to training are very high (13% to 19%) for most of the male immigrants. However, the estimated disutility from training and the two percent rate of return per quarter for local experience deter the immigrants from participation in training. The wage return to language knowledge is large, but imported skills have zero return in the new country. We find that the eect of training on job oer probabilities has a larger impact on the immigrant’s welfare than the wage return. Furthermore, the total individual welfare gain from the existence of training programs is estimated to be between one percent to one and half percent increase in the expected present value utility at arrival to the new country. The social gross rate of return from the availability of the government provided vocational training programs, is estimated to be only about .85 percent.

日時：

2月7日（木 Thursday） 4:50-6:30pm

場所：

東京大学経済学部　新棟12階　第1共同研究室

at the conference room A(No.1) on the 12th floor of Econ. Building

報告：

Max Gillman (Central European University/CIRJE)

A Non-linearity in the Inflation-Growth Effect (joint with Michal Kejak)　

Abstract:

The paper shows how increases in the inflation rate can cause the output growth rate to decrease by a lessor amount as the inflation rate rises. This is a non-linearity in the inflation-growth effect. Our explanation of this non-linearity in the inflation-growth effect uses microfoundations to show how model-based estimates of the inflation-growth effect can be consistent with evidence. The model includes an explicit credit service sector that allows avoidance of the inflation tax and that induces an increasingly interest elasticity of money demand. The increased use of credit as the inflation rate rises, and the increased elasticity of substitution between money and credit, means the agent relies increasingly less on leisure to avoid the inflation tax. This lessens the negative effect of inflatio n on endogenous growth at higher rates of inflation. We present both a closed form solution to develop the intuition and a set of calibrations of the baseline model, of more standard cash-only, and cash good/ credit good models, and of the baseline extended to included physical capital. The paper also shows how the economy is a special case of the shopping-time exchange model, here instead being "banking time". The added micro-foundations allow in addition calibrations of how financial development affects the non-linearity and the magnitude of the inflation-growth effect.

日時：

3月22日（金　Friday） 12:00-1:30pm

場所：

東京大学経済学部　新棟12階　第1共同研究室

at the conference room A(No.1) on the 12th floor of Econ. Building

報告：

Nobuhiko Hibara (Department of Economics, Columbia University)

What Happens in Banking Crises? Moral Hazard vs. Credit Crunch　

Abstract:

Modern financial theory identifies two conflicting forces that influence the level of bank lending during a banking crisis: "credit crunch" and "moral hazard". The credit crunch story suggests that as a bank's net worth deteriorates, it will reduce its level of lending. The moral hazard explanation, following the seminal work of Merton (1977), emphasizes bank incentives to increase risky loans when they are insolvent or nearing insolvency. Previious empirical research, however, has been unable to sort out the two opposite effects because one needs information not only on banks, but on borrower-bank pairs to distinguish varying risks of borrowers. This paper seeks to fill in this gap by matching Japanese bank and borrower data. I find both effects are present. As a result, a weaker bank's loan portfolio has been more skewed toward risky borrowers. This work is important because it enables regulators to identify the magnitude of credit misallocation and its causes during a banking crisis.

日時：

3月28日（木 Thursday） 5:00-6:30pm

場所：

東京大学経済学部　新棟12階　第1共同研究室

at the conference room A(No.1) on the 12th floor of Econ. Building

報告：

Edward John Driffill (Department of Economics, Birkbeck College, University of London)

Delegation of Monetary Policy: Resolution or Relocation? (joint with Zeno Rotondi, Banca di Roma)　

Abstract:

Credibility of Optimal Monetary Delegation: A Comment

It is commonly believed that if it is costly for a government to replace one central banker with another, then this will bolster the in-dependence of the central bank, liberate it from political interference, and enable it to pursue low-inflation policies. However, Jensen in a recent paper has argued that paradoxically this appears not to be the case. Rather, heavy costs of reappointment make it harder to sustain low inflation policies. This note explores Jensen's arguments. We show that he imposes a restriction on the policies that are considered. When this is removed delegation becomes easier to sustain.

---