Macroeconomics Workshop 2002

※ 2003年3月10日現在の予定です。
日時：
2003年3月11日（火 Tuesday） 12:00-1:30pm ***Presentation in English***
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 New Econ. Building
報告：
Marek Kapicka (University of Chicago)
Optimal Income Taxation and Human Capital Revised: March 6


※以下本年度終了分



日時：
4月18日（木 Thursday） 4:50-6:30pm ***Presentation in Japanese***
場所：
東京大学経済学部　新棟3階　第４教室
at the lecture hall D (No.4) on the 3rd floor of New Econ. Building
報告：
家森信善 Nobuyoshi Yamori (名古屋大学)
The Evolution of Bank Resolution Policies in Japan: Evidence from Market Equity Values (joint with Mark M. Spiegel) Resume
Abstract:
This paper examines the evidence in equity markets concerning bank regulatory policies in Japan over the 1995-1999 period. We find that investors grouped banks according to regulatory status in assessing whether a bank was currently treated as "too-big-to-fail." When a failure of a bank of certain regulatory status was announced, excess returns on other banks of that regulatory status and below displayed heightened sensitivity to adverse news. The pattern that emerges suggests that government officials pursued a policy of "regulatory triage."Initially, only Second Regional and smaller banks were allowed to fail. As the situation deteriorated, however, banks that traditionally enjoyed greater regulatory protection were also perceived to lose their too-big-to-fail status.
日時：
4月26日（金 Friday） 4:30-6:00pm ***Presentation in English***
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 New Econ. Building
報告：
小野 善康 Yoshiyasu Ono (ISER, Osaka University)
International Asymmetry in Business Activity and Appreciation of a Stagnant Country's Currency
Abstract:
This paper develops a two-country two-commodity continuous-time model that accommodates a liquidity trap and persistent unemployment. Using this model it investigates a theoretical possibility of international asymmetry in business activity and appreciation of a stagnant country's currency, which have been rather usual between Japan and the U.S. after Japan's total capital liberalization. It is found that if the marginal utility of consumption relative to that of liquidity exogenously declines in a country, its current account improves, which appreciates the home currency. Consequently, home products lose competitiveness, causing home employment to decrease and foreign employment to increase.
日時：
5月9日（木 Thursday） 4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Econ. Building
報告：
高松聡子 Satoko Takamatsu (東京大学大学院)
Monetary Policy in the Open Economy
寺井　晃 Akira Terai (東京大学大学院)
「産業構造の変化と労働力配分のrestructuring」
日時：
5月10日（金 Friday）4:50-6:14pm　※応用統計ワークショップと共催
場所：
東京大学経済学部新棟３階４番教室
at the ｔhe ４ｔｈ Lecture Room （Lecture Hall Ｄ）on the 3rd Floor of New Economics Building,　Hongo Campus, University of Tokyo
報告者：
Cheng Hsiao（Southern California University and Bank of Japan）
報告題目：
Aggregate vs Disaggregate Data Analysis: A Paradox in the Estimation of Money Demand Function of Japan Under the Low Interest Rate Policy
要旨：
We investigate the issue of whether there was a stable money demand function for Japan in 1990's using both aggregate and disaggregate time series. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data show that there was a stable money demand function. Neither was there any indication of the presence of liquidity trap. Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disagreegate analysis are attributed to the neglected heterogeneity among micro units is present.
日時：
5月16日（木 Thursday）4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第４教室
at the lecture hall D (No.4) on the 3rd floor of New Econ. Building
報告者：
中島隆信 Takanobu Nakajima（慶應義塾大学商学部 Keio University）
報告題目：
生産性分析を100倍楽しむ方法
日時：
5月23日（木 Thursday）4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第４教室
at the lecture hall D (No.4) on the 3rd floor of New Econ. Building
報告者：
竹森俊平 Shumpei Takemori（慶應大学経済学部 Keio University）
報告題目：
Crisis and Creative Destruction ―A Competitive Analysis of Korean and Japanese Stock Markets (with Kenji Wada)
* Presentation in English
日時：
5月30日（木 Thursday）4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第４教室
at the lecture hall D (No.4) on the 3rd floor of New Econ. Building
報告者：
池田新介 Shinsuke Ikeda（大阪大学社会経済研究所 ISER, Osaka University）
報告題目：
Habit Formation and the World Economy (with Ichiro Gombi)
* Presentation in Japanese
Abstract:
By using a two-country model with habit-forming consumers, this paper shows that the transfer paradox can take place in a free-trade, dynamically-stable world economy. When the debtor is more in the habit of consuming than the creditor, an income transfer from the creditor to the debtor raises the interest rate in transition through changes in time preference. With sufficiently low elasticities of intertemporal substitution and/or su ciently large stock of the creditor’s assets, the intertemporal terms of trade e ect immis-erizes the recipient and enriches the donor. Although the transfer paradox occurs only when the international bond market is "unstable" with respect to an ad hoc Walrasian adjustment process, the equilibrium dynamics are stable in the usual sense: given that the economy is always in the rational expec-tations equilibrium, the transfer paradox occurs in two-country, free-trade stable equilibria.
日時：
6月6日（木 Thursday）4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第４教室
at the lecture hall D (No.4) on the 3rd floor of New Econ. Building
* Presentation in English
報告者：
Laurence Ball（Department of Economics, Johns Hopkins University）
報告題目：
Productivity Growth and the Phillips Curve (with Robert Moffitt)
(NBER Working Paper No. 8421, downloadable from NBER's site)
Abstract:
We present a model in which workers' aspirations for wage increases adjust slowly to shifts in productivity growth. The model yields a Phillips curve with a new variable: the gap between productivity growth and an average of past wage growth. Empirically, this variable shows up strongly in the U.S. Phillips curve. Including it explains the otherwise puzzling shift in the unemployment-inflation tradeoff since 1995.
The Fed and the New Economy (with Robert Tchaidze)
(NBER Working Paper No. 8785, downloadable from NBER's site)
Abstract:
This paper seeks to understand the behavior of Greenspan's Federal Reserve in the late 1990s. Some authors suggest that the Fed followed a simple 'Taylor rule,' while others argue that it deviated from such a rule because it recognized that the 'New Economy' permitted an easing of policy. We find that a Taylor rule based on inflation and unemployment does break down in the late 1990s. However, the Fed's behavior appears stable once one accounts for the falling NAIRU of the period. A rule based on inflation and the deviation of unemployment from the NAIRU captures the Fed's behavior through the entire period from 1987 to 2000.
日時：
6月13日（木 Thursday）4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第４教室
at the lecture hall D (No.4) on the 3rd floor of New Econ. Building
報告者：
Kwanho Shin（Korea University）
報告題目：
So Just How Little Aggregate Risk Sharing is There in the US? (with Gregory D. Hess)
* Presentation in English
Abstract:
We estimate the extent to which idiosyncratic and disaggregate macro shocks (such as regional and industry shocks) are not shared in the economy. Comparing the degree to which idiosyncratic and disaggregate macro shocks are not shared grants a deeper understanding as to why the economy lacks in specific areas of risk sharing arrangements. As well, it can point to areas where the economy's risk sharing capability can be enhanced. Using household data from the Panel Study of Income Dynamics, we find that a negligible amount of risk (around 10%) is shared in the aggregate, about 50% is shared within regions and industries, while the remaining 40% is smoothed through time and is not shared with other households. These findings suggest that given the low level of intranational risk sharing, increased international integration may not lead to a significant increase in international risk sharing.
日時：
6月20日（木 Thursday）4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第４教室
at the lecture hall D (No.4) on the 3rd floor of New Econ. Building
報告者：
Masao Ogaki（Ohio State University）
報告題目：
Convergence to Purchasing Power Parity in Structural Error Correction Models
* Presentation in English
Paper's title: "Structural Error Correction Models: Instrumental Variables Methods and an Application to an Exchange Rate Model" (with Jaebeom Kim and Min-Seok Yang)
**Paper will be distributed at the seminar.
Abstract:
Error correction models are widely used to estimate dynamic cointegrated systems. In most applications, estimated error correction models are reduced form models. As a result, nonstructural speed of adjustment coefficients are estimated in these applications. A single equation instrumental variable method can be used to estimate a structural speed of adjustment coefficient. This paper develops a system instrumental variable method to estimate the structural speed of adjustment coefficient in an error correction model. This method utilizes Hansen and Sargent's (1982) instrumental variable estimator for linear rational expectations models, and is applied to an exchange rate model with sticky prices.
日時：
6月27日（木 Thursday）4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第４教室
at the lecture hall D (No.4) on the 3rd floor of New Econ. Building
報告者：
Giorgio Brunello（University of Padova, CESifo and IZA）
報告題目：
The Wage Expectations of European Economics and Business College Students (with Claudio Lucifora, Rudolf Winter-Ebmer)
* Presentation in English
Abstract:
Expected earnings and expected returns to education are seen by labor economists as a major determinant of educational attainment. In spite of this, the empirical knowledge about expectations and their formation is scarce. In this paper we report the results of the first systematic study of the wage expectations of European college students. Our data are based on a uniform questionnaire answered by about 3,000 business and economics college students across Europe. We study the determinants of wage expectations and expected employment probabilities, the variability of these expectations and their variation across countries and universities. We also examine the trade-off between expected starting wages and expected wage growth.
日時：
7月4日（木 Thursday）4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第４教室
at the lecture hall D (No.4) on the 3rd floor of New Econ. Building
報告者：
William Roberds(Research Department, Federal Reserve Bank of Atlanta)
報告題目：
Transferability, Finality and Debt Settlement (with Charles M. Kahn, University of Illinois)
* Presentation in English
Abstract:
The process of payment is fundamental to exchange in a decentralized economy. In production economies, payments often take the form of transfers of inside money, i.e., specialized forms of debt. Associated with other debts, and the allocation of the ensuing risks.
In this paper we develop a model of debt as inside money. We focus on an historically important form of payment: "negotiable instruments" such as the bill of exchange. In a simple mechanism design framework we show the advantages of transferable debt over simple chains of credit. The model is then extended to encompass other aspects of negotiability, including "endorsement" and the rights of a "holder in due course."
日時：
7月15日（月 Monday）10:30-12:00 ※日程が変更になりましたのでご注意下さい。
場所：
東京大学経済学部　新棟12階　第1共同研究室
at the conference room A (No.1) on the 12th floor of New Econ. Building
報告者：
Kenneth Kim(University of Wisconsin-Milwaukee)
報告題目：
The Behavior and Performance of Individual Investors in Japan
* Presentation in English
Abstract:
We examine the behavior and performance of individual investors in Japan. In empirical test using market level data, we find that Japanese individual investors own risky and high book-to-market stocks, trade frequently, make poor trading decisions, and buy recent winners. Further, these behaviors and characteristics appear to vary depending on the bull or bear market conditions. As such, we believe our results provide important additional insights into the behaviors of individual investors. Interestingly, we also observe that it is primarily during a bull market where individuals tend to hold high book-to-market stocks, as opposed to a bear market where they exhibit an inclination toward high beta stocks. Overall, the poor performance by individual investors can largely be explained by this tendency to hold value stocks during advancing markets and high risk stocks during declining stocks. Finally, the fact that these behaviors reveal themselves at the market level also represents an important finding.
日時：
8月29日（木 Thursday）4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Econ. Building
報告者：
Kiminori Matsuyama (Northwestern University/CIRJE)
報告題目：
The Rise of Mass Consumption Societies *forthcoming in Journal of Political Economy
* Presentation in English
Abstract:
This paper studies mechanisms behind the rise of mass consumption societies. The development process depicted follows the Flying Geese pattern, in which a series of industries takes off one after another. As productivity improves in these industries, each consumer good becomes affordable to an increasingly large number of households, which constantly expand the range of goods they consume. This in turn generates larger markets for consumer goods, which leads to further productivity improvement. For such virtuous cycles of productivity gains and expanding markets to occur, income distribution should be neither too equal nor too unequal. With too much equality, the economy stagnates in a poverty trap. With too much inequality, the development stops prematurely.
日時：
9月10日（火 Tuesday） 11:30-13:00
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), 12th floor of Economics Building
報告者：
John Sutton (LSE)
報告題目：
The Variance of Firm Growth Rates: The Scaling Puzzle
* Presentation in English
日時：
9月12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), 12th floor of Economics Building
報告者：
Hidehiko Ichimura (University College London)
報告題目：
Changes in the Distribution of Male and Female Wages Accounting for Employment Composition (joint with Richard Blundell, Amanda Gosling, Costas Meghir)
* Presentation in English
Abstract
This paper presents estimates of the changing distribution of wages that are robust to possible selection effects. We find convincing evidence of an increase in overall inequality, changes in the "return" to education and increases in inequality within age and education groups. On the other hand we find that the increase in the relative wages of women may have been driven by selection.
日時：
9月18日（水 Wednesday） 12:00-13:30pm
場所：
東京大学経済学部　新棟12階　第3共同研究室
at the Conference Room C(No.3), 12th floor of Economics Building
報告1：
Shuhei Aoki (Graduate School of Economics, University of Tokyo)
Inequality, Occupational Choice, and Technological Progress
* Presentation in English
報告2：
Yoko Tsuda-Furukawa (Graduate School of Economics, University of Tokyo)
Equity Market and Foreign Capital
* Presentation in English
日時：
10月10日（木 Thurday） 16:50-18:30
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
Tsutomu Watanabe (Hitotsubashi University)
Price Level Dynamics in a Liquidity Trap (joint with Mitsuru iwamura of Waseda University)
* Presentation in English
Abstract:
This paper studies the dynamic behavior of the general price level when the natural rate of interest declines substantially. Particular attention is paid to two constraints: the non-negativity constraint of nominal interest rates, and the government's intertemporal budget constraint. Given that these two constraints are binding, a decline in the natural rate of interest leads to a fall in the current price level. A central bank's commitment to continuing a zero interest rate policy for an extended time weakens the deflationary pressure in the current period, while creating another downward pressure on the price level in future periods. In this sense, a central bank facing a liquidity trap cannot eradicate deflation without fiscal assistance; the best it can do is to postpone it. We also solve a central bank's intertemporal loss minimization problem, finding that the optimal path is characterized by monetary policy inertia and deflation smoothing.
日時：
10月17日（木 Thurday） 15:00-18:30
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
3:00pm- Paul Beaudry (University of British Columbia)
Why has the Employment-Productivity tradeoff among Industrialized Countries been so strong? (joint with Fabrice Collard)
* Presentation in English
Abstract:
This paper is motivated by a set of cross-country observations on labor productivity growth among industrial countries over the period 1960-1997. In particular, we show that over this period, the speed of convergence among industrialized countries has decreased substantially while the negative effect of a country's own employment growth (or labor force growth) on labor productivity has increased dramatically. The main contribution of the paper is to show how these observations are consistent with the view that industrialized countries have been undergoing a particularly drastic technological revolution over the recent past. In effect, we show how the process of endogenous technological adoption, following the diffusion of a general purpose technology, can explain these observations by causing the emergence of an AK accumulation phase where demographic factors temporarily become an major determinant of labor productivity growth. Our estimation of the model implies that the AK phase has been in effect since the early to mid-seventies, but that this phase may now be coming to an end. An important contribution of the paper is to analyze growth experiences across advanced industrialized countries within an open economy framework and to evaluate the explanation by estimating a multicountry dynamic general model.
4:50pm- Chris Telmer (Carnegie Mellon University)
Asset Pricing with Idiosyncratic Risk and Overlapping Generations (joint withKjetil Storesletten and Amir Yaron)
* Presentation in English
Abstract:
Constantinides and Duffie (1996) show that if idiosyncratic labor income shocks (i) are highly persistent, and (ii) become more volatile during economic contractions, the impact on asset prices can be substantial. We argue that life-cycle effects also play a fundamental role. We use a stationary overlapping-generations model to show that life-cycle effects can either mitigate or accentuate the equity premium, the critical ingredient being whether agents accumulate or deccumulate risky assets as they age. Our model predicts the latter and is able to account for both the average equity premium and the Sharpe ratio observed on the U.S. stock market.
日時：
10月24日（木 Thurday） 16:50-18:30
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
Radim Bohacek(Charles University) Financial Intermediation and Entrepreneurial Activity
* Presentation in English
Abstract:
This paper studies the effects of financial intermediation on aggregate levels and the distribution of resources in an economy with wealth-constrained heterogeneous agents and occupational choice. Whether an agent becomes an entrepreneur depends on a realized entrepreneurial ability and accumulated assets needed to finance a business project with uncertain returns. I compare a steady state of an economy with financial intermediation to an economy in which entrepreneurs must finance their projects only from their savings. The simulated benchmark economy matches well the U. S. data on the distribution of occupations and resources. The efficiency and welfare losses in the economy without financial intermediation are large and since the workers bear most of the adverse effects. The economy is also more unequal. Finally, a transition from the steady state of the economy without financial intermediation simulated the process of financial development: both measures of inequality decline monotonically during the transition.
日時：
10月28日（月 Monday） 10:20-12:00
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 New Economics Building
報告：
Michal Kejak(Charles University)
Projection Methods for Economies with Heterogeneous Agents
* Presentation in English
Abstract:
In this paper we develop a general methodology for solving models with heterogeneous agents by the projection methods. Our approach is solely based on the functional forms of agents' optimal policy rules and on a functional condition on the endogenous stationary distribution. Solving simultaneously for the optimal policy rules and the distribution, this paper provides a new methodology for computing equilibria in which the distribution of wealth and income is a part of a social planner's optimization problem. Without imposing any restrictions or assumptions on the equilibrium allocations, the projection methods avoid the curse of dimensionality and provide an efficient tool for computing models of economies with a continuum of heterogeneous agents with several endogenous and exogenous state variables. We illustrate the algorithm on a standard model with uninsurable idiosyncratic risk from labor income. The accuracy of the approximate solution is very good especially for the distribution function.
日時：
10月31日（木 Thursday） 4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
Ruilin Zhou(Federal Reserve Bank of Chicago / CIRJE)
Money as a Mechanism in a Bewley Economy (joint with Edward J. Green, Federal Reserve Bank of Chicago)
* Presentation in English
Abstract:
We study what features an economic environment might possess, such that it would be Pareto efficient for the exchange of goods in that environment to be conducted on spot markets where those goods trade for money. We prove a conjecture that is essentially due to Bewley [1980, 1983]. Monetary spot trading is nearly efficient when there is only a single perishable good (or a composite commodity) at each date and state of the world; random shocks are idiosyncratic, privately observed, and temporary; markets are competitive; and the agents are very patient. This result is a fairly close analogue, for trade using outside, fiat money, of a recent characterization by Levine and Zame [2002] of environments in which spot trade using inside money, in the form of one-period debt payable in a commodity, is nearly Pareto efficient. We also study examples where nonmonetary and expansionary monetary mechanism Pareto dominates laissez-faire mechanism in an environment with impatient agents.
日時：
11月7日（木 Thursday） 4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
Yuko Hashimoto(Keio University)
Empirical Analysis of the JPY/USD Tick Quote: The Impact of the Japanese Bank Failures on Trading Activity in the FX market
* Presentation in English
Abstract:
In this paper, the impact of unexpected news on the JPY/USD exchange rate market is examined for the period of Japanese banking crisis in 1997. The use of conventional high-frequency methodology, the GARCH estimations and the variance-ratio test, indicates that there was a significant impact of Japanese banking crisis on the foreign exchange market. We find a change in the pattern of return volatility before and after the bank failures. This may be attributed to the strategic foreign exchange trade behavior.
日時：
11月14日（木 Thursday） 4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
Shinichi Nishiyama(Congressional Budget Office, USA / CIRJE)
Simulating Social Security Reform in a Stochastic OLG Economy with Heterogeneous Agents
* Presentation in English
Abstract:
This paper analyzes the macroeconomic and welfare effects of a Social Security reform plan that introduces private accounts and cuts future benefits. A stochastic overlapping-generations model with heterogeneous agents is calibrated to the U.S. economy with aging population. According to the general equilibrium model, personal saving accounts would likely increase labor supply and private wealth. With benefit cuts, the tax burden borne by the future generations to sustain the governmen's budget would possibly be much smaller. Considering the two, future households would be better off at the expense of the current and near-future working-age households.
日時：
11月18日（月 Monday） 4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
Katsuya Takii(OSIPP, Osaka University)
Adaptability vs. Productivity
* Presentation in English
Abstract:
This paper examines a firm's ability to correctly respond to the change in an environment (= the adaptability of the firm). I develop a model that allows me to empirically examine the impact of a firm's adaptability on its expected profits. Assuming that the production function is Cobb-Douglas and an unexpected productivity (demand) change is lognormally distributed, my theory shows that the adaptability of the firm can be estimated by the correlation between the unexpected change and the logarithm of the deviation of actual imput from theoretically predicted input. I conduct my empirical study by using the COMPUSTAT data set. My estimate predicts that if a firm that initially does not recognize the change in an environment fully realizees the change, the firm increases the market value by 46% on average. I also find that an increase in risk is correlated with a rise in adaptability.
日時：
12月5日（木 Thursday） 4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
Douglas Joines(University of Southern California / CIRJE)
Time Inconsistent Preferences and Social Security, joint with Ayse Imrohoroglu and Selahattin Imrohoroglu
* Presentation in English
Abstract:
In this paper we examine the role of social security in an economy populated by overlapping generations of individuals with time-inconsistent preferences who face mortality risk, individual income risk, and borrowing constraints. We find that unfunded social security lowers the capital stock, output, and consumption for consumers with time-consistent or time-inconsistent preferences. However, it may raise or lower welfare depending on the strength of time inconsistency.
日時：
12月12日（木 Thursday） 4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
M.S. Eichenbaumand S. T. Rebelo(Nrothwestern University / CIRJE)
Why is Inflation So Low After Large Devaluations? (joint with Ariel Burstein)
* Presentation in English
Abstract:
This paper studies the behaviour of inflation after nine large post-1990 contractionary devaluations. A salient feature of the data is that inflation is low relative to the rate of devaluation. We argue that distribution costs and substitution away from imports to lower quality local goods can account quantitatively for the post-devaluation behaviour of prices.
日時：
12月19日（木 Thursday） 4:50-6:30pm
場所：
東京大学経済学部　新棟3階　第4教室
at the Lecture Hall D (No.4) on the 3rd floor of New Economics Building
報告：
Haider Khan(University of Denver/CIRJE)
On Japanese Foreign Aid: A Macroeconomic Analysis Based on Bounded Rationality
PAPER 1   PAPER 2   PAPER 3 (DP CIRJE-F-164)
* Presentation in English
日時：※臨時セミナー※
1月20日（月 Monday） 11:45-13:15
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 New Econ. Building
報告：
Christian Jensen (Carnegie Mellon University)
Improving on Time-Consistent Policy: The Timeless Perspective and Implementation Delays
Abstract:
While a policymaker can achieve superior results by committing to a plan for all his future actions than by determining these in a discretionary manner, such plans are not time-consistent. In a sticky-price model for monetary policy analysis, we discuss and compare two alternatives for improving upon discretionary policy. The first, for which we provide a new interpretation, suggests that the policymaker take a timeless perspective and bind himself to a procedure for determining his future actions, instead of committing to a plan for the actions themselves. The second option is to introduce a delay between the publication and implementation of policy, forcing the policymaker to preannounce his actions. We conclude that these procedures can improve policymaking, and that they should be easier to implement than the ordinary commitment solution.
日時：※臨時セミナー※
1月21日（火 Tuesday） 11:45-13:15
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 New Econ. Building
報告：
Isao Ishida (University of California, San Diego)
Modeling Variance of Variance: The Square-Root, the Affine, and the CEV GARCH Models (joint with Robert F. Engle, New York University and University of California, San Diego)
Abstract:
This paper develops a new econometric framework for investigating how the sensitivity of the financial market volatility to shocks varies with the volatility level. For this purpose, the paper first introduces the square-root(SQ) GARCH model for financial time series. It is an ARCH analogue of the continuous-time square-root stochastic volatility model popularly used in derivatives pricing and hedging. The variance of variance is a linear function of the conditional variance in the SQGARCH and of the square of it in the GARCH. After showing some implications of this di erence, the paper introduces the constant-elasticity-of-variance (CEV) GARCH model, which allows more flexible fitting of variance-of-variance dynamics. The paper develops conditions for stationarity, the existence of finite moments, β-mixing, and other properties of the conditional variance process via the general state-space Markov chains approach. In particular, the paper generalizes the strict stationarity condition for the GARCH(1,1) and gives attention to a discrete-time analogue of the phenomenon known in the continuous-time finance literature as "volatility-induced stationarity," which may occur with the integrated or mildly explosive CEVGARCH, shedding light on the stabilizing effect of the variance of variance. A di usion limit for this model is also established. Several alternative models including the a ne and the exponential CEV models are explored. The empirical estimates of the CEVGARCH model for the S&P 500 index and DM/US$ exchange rate time series suggest that the variance of variance grows faster than linearly with the conditional variance.
日時：※臨時セミナー※
1月27日（月 Monday） 11:45-13:15
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 New Econ. Building
報告：
Krislert Samphantharak (University of Chicago)
Internal Capital Markets in Business Groups
Abstract:
This paper extends a structural model of investment with costly external finance to group firms, derives an empirical regression counterpart, and uses it to test for the existence of internal capital markets in business groups. I use a unique firm-level data from Thailand's Ministry of Commerce as a sample in the empirical sections. Unlike most of previous studies, this paper is not subject to the Kaplan-Zingales (1997) critique. Also, my approach allows me to test for various characteristics of a group that tend to aect within-group resource allocation. The results show that control rights, the number of firms in a group, and within-group intermediaries facilitate the eciency of within-group resource allocation. Corporate laws and regulations that protect minority shareholders lead to less within-group eciency. Industry diversification has no effect on within-group resource allocation. In sum, the paper provides evidence from micro data that the structure of business groups and corporate governance are related to the investment decision of firms.


Macroworkshop修士論文報告会
場所：（全日程共通）
東京大学経済学研究科棟　新棟3階第4教室
at the Lecture Hall D (= No.4) on the 3rd floor of new Econ. building

1月 9日（木/ Thursday）※ 1月9日（木）10時までにファイル提出のこと
17:00-17:40　青木　　優　将来の財政改革が現在の経済に与える影響に関する分析
1月16日（木/Thursday）※ 1月14日（火）朝9時までにファイル提出のこと
18:20-19:00　要藤　正任　地域の経済成長とソーシャルキャピタル
19:00-19:40　石田　三成　租税競争における反応関数の推定
19:40-20:20　齋藤　経史　学校は人的資本を形成するのか？―分布区分とコーホート分析― レジュメ・資料
1月23日（木/Thursday）※ 1月20日（月）朝9時までにファイル提出のこと
15:40-16:20　大村　浩二　Country Specific Factorを考慮した欧州通貨統合の効果について
16:20-17:00　馬場千佳子　Price Dispersion Across and Within Countries
17:00-17:40　Rungunyamanee, Piyarat Could We Have Been Able to Predict the Asian Crisis Using Real-Time Data?
18:20-19:00　田崎　昭夫　日本通貨当局による円ドル為替介入の効果
19:00-19:40　岡田　多恵　日本の銀行業における効率性の計測
1月30日（木/Thursday）※ 1月27日（月）朝9時までにファイル提出のこと
16:20-17:00　池上　宗信　Credit Union and Redistribution of Returns
17:00-17:40　北原　　稔　Can Intangible Capital Explain "Bubble" and its Crush?
17:40-18:20　大島　篤志　Can Differences in TFP Explain the Movement of Japanese Real Exchange Rate?
18:20-19:00　稲田　丈朗　A Consideration of Deviations from the Expectations Hypothesis with Monetary Policy Rules
2月 6日（木/Thursday）※ 2月3日（月）朝9時までにファイル提出のこと
16:20-17:00　中本　　淳　非ケインズ効果の理論的再検討
17:00-17:40　須賀　　優　日本におけるSkill Biased Technical Changeに関する考察
17:40-18:20　増原　剛輝　Dynamic Analysis of Financial Constraints and the Effect of Interest Rate Channel
18:20-19:00　近藤　絢子　Nominal Wage Rigidity for the Japanese Youth
日時：※臨時セミナー※
2月13日（木 Thursday）2:00-3:00pm ***Presentation in English***
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 New Econ. Building
報告：
Douglas S. Rolph(School of Business Administration, University of Washington)
Asset Pricing with Skewed Payouts
Abstract:
This paper extends the literature on the pricing of equity claims with limited liability, or protection that limits the losses of equity investors. My approach differs from standard valuation techniques, which arrive at equity pricing relations using the risk-neutral density function of equity payouts. My approach extends the literature by using the actual probability density of equity payouts. I derive closed form pricing relations that hold for general, concave utility functions. This allows us to examine the role of preferences in determining the price of limited liability claims. I find that equity prices are determined by convariance risk, expected payouts and an adjustment that reflects howw investors value having limited losses in wealth The truncated loss adjustment increases as convariance risk, asset volatility or risk aversion increases. The model gives insights into the empirical literature on how equity returns vary with leverage or financial distress. Many empirical studies find that equity returns may decline after increases in financial leverage or measures of financial distress. I show the declines may be attributed to the value investors place on limited liability protection.
日時：※臨時セミナー※
2月28日（金 Friday） 4:50-6:30pm ***Presentation in English***
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 New Econ. Building
報告：
Jong-Wha Lee(Korea University/Kobe University)
IMF Programs: Who Is Chosen and What Are the Effects? (joint with Robert Barro)
Abstract:
IMF lending practices respond to economic conditions but are also sensitive to political-economy variables. Specifically, the sizes and frequencies of loans are influenced by a country's presence at the Fund, as measured by the country's share of quotas and professional staff. IMF lending is also sensitive to a country's political and economic proximity to some major shareholding countries of the IMF --- the United States, France, Germany, and the United Kingdom. We measured political proximity by voting patterns in the United Nations and economic proximity by bilateral trading volumes. These results are of considerable interest for their own sake but also provide instrumental variables for estimating the effects of IMF lending on economic performance. Instrumental estimates indicates that the size of IMF lending is insignificantly related to economic growth in the contemporaneous five-year period but has a significantly negative effect in the subsequent five years.