Macroeconomics Workshop 2003

※ 21世紀COEプログラムと共催 ※


※ 2004年3月1日現在の予定です。
日時： ***COE distinguished research seminar series***
3月1日（月 Monday） 16:50-18:30 *Microworkshopと共催
場所：
東京大学経済学部 新棟3階　第2教室
at the Lecture Hall No.2(B) on the 3rd floor of New Econ. Building
報告：
Kiminori Matsuyama 松山公紀(Northwestern University)
Credit Traps & Credit Cycles
日時：
3月2日（火 Tuesday） 16:50-18:30
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) on the 12th floor of New Econ. Building
報告：
Graham Elliott(University of California, San Diego)
Optimally Testing General Breaking Processes in Linear Time Series Models (joint with Ulrich K. Muller, University of St. Gallen)
There are a large number of tests for instability or breaks in coe cients in regression models designed for di erent possible departures from a stable regression. We make two contributions to this literature. First, we provide conditions under which optimal tests are asymptotically equivalent. Our conditions allow for models with many or relatively few breaks, clustered breaks, regularly occurring breaks or smooth transitions to changes in the regression coe cients. Thus we show nothing is gained asymptotically by knowing the exact breaking process. Second, we provide a statistic that is simple to compute, avoids any need for searching over high dimensions when there are many breaks, is valid for a wide range of data generating processes and has high power for many alternative models.


※以下本年度終了分
日時：
2003年4月10日（木 Thursday） ***Presentation in English***
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：
3:00-4:30pm Daniel L. Thornton (Federal Reserve Bank of St. Louis)
Tests of the Expectation Hypothesis: Resolving the Campbell-Shiller Paradox
Abstract:
The expectations hypothesis (EH) of the term structure has been tested frequently using a number of tests. One of the more puzzling results in this literature is the Campbell-Shiller paradox. In an influential paper, Campbell and Shiller (1991) found that "the slope of the term structure almost always gives a forecast in the wrong direction for the short-term change in the yield on the longer bond, but gives a forecast in the right direction for long-term changes in short rates." This paper shows that the Campbell-Shiller paradox can result from the fact that, if the EH does not hold, one test tends to generate results that are favorable to the EH while the other tends to generate results that are at odds with it. Monte Carlo experiments confirm that Campbell and Shiller's results could have come from a data-generating process where the EH does not hold. The conclusion is that neither test is useful for evaluating the EH. The significance of this conclusion is enhanced by the fact that similar tests are used to test other important financial theories, such as uncovered interest parity.
場所：
東京大学経済学部　新棟3階　第2教室　※TCERと共催
at the Lecture Hall B (=No.2) on the 3rd floor of New Econ. Building
報告：
4:50-6:30pm 伊藤隆敏（東京大学先端科学技術センター） Takatoshi Ito, Research Center for Advanced Science and Technology, The University of Tokyo
「日本の為替介入の効果について」 ※ NBER working paper no. 8914, April 2002
Abstract:
This paper examines Japanese foreign exchanges interventions from April 1991 to March 2001 based on newly disclosed official data. All the yen-selling (dollar-purchasing) interventions were carried out when the yen/dollar rate was below 125, while all the yen-purchasing (dollar-selling) interventions were carried out when the yen/dollar was above 125. The Japanese monetary authorities, by buying the dollar low and selling it high, have produced large profits, in terms of realized capital gains, unrealized capital gains, and carrying (interest rate differential) profits, from interventions during the ten years. Profits amounted to 9 trillion yen (2% of GDP) in 10 years. Interventions are found to be effective in the second half of the 1990s, when daily yen/dollar exchange rate changes were regressed on various factors including interventions. The US interventions in the 1990s were always accompanied by the Japanese interventions. The joint interventions were found to be 20-50 times more effective than the Japanese unilateral interventions. Japanese interventions were found to be prompted by rapid changes in the yen/dollar rate and the deviation from the long-run mean (say, 125 yen). The interventions in the second half were less predictable than the first half.
※ Catherine Mann (Institute for International Economics) : CANCELLED.
日時：
4月17日（木 Thursday） 4:50-6:30pm ***Presentation in English***
場所：
東京大学経済学部　新棟3階　第4教室
at the conference room D (=No.4) on the 3rd floor of New Econ. Building
報告：
Ryo Kato (Global Economic Research Division, Bank of Japan)
Liquidity, Infinite Horizons and Macroeconomic Fluctuations
Abstract:
This paper develops a computabledynamic general equilibrium model in which corporate demand for liquidity is endogenously determined. In the model liquidity demand is motivated by moral hazard as in Holmstrom and Tirole (1998). As a rewult of incorporating agency cost and endogenously determined liquidity demand, the model can replicate an empirical business-cycle fact, the hump-shaped dynamic response of output, which is hardly observed in standard RBC dynamics. Further, in the model the corporate demand for liquidity from a financial intermediary (credit line, for instance) is pro-cyclical, while the degree of liquidity-dependence (defined as liquidity demand divided by corporate investment) is counter-cyclical. These business cycle patterns are consistent with a stylized fact empirically verified in the Lending View literature.
日時：
4月24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：
玄田有史　Yuji Genda (東京大学社会科学研究所）
雇用創出と失業に関する実証研究
要約:
平成15年3月に内閣府経済社会総合研究所から刊行　された「経済分析」(『雇用創出と失業に関する実証研究』） 　の内容について紹介する。同報告では、「雇用動向調査」、　「労働力調査」、「同特別調査」などを特別集計することで 　1990年代の労働市場のマクロ的特性を明らかにすることを主な目的としている。
 『経済分析（労働）』第４章   内閣府記者発表（改訂）
日時：
5月1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：
宮川　努　Tsutomu Miyagawa (学習院大学経済学部）
IT投資は日本経済を活性化させるか−JIPデータベースを利用した国際比較と実証分析−　
joint with 浜潟 純大（筑波大学）・中田 一良（内閣府経済社会総合研究所）・奥村 直紀（内閣府経済社会総合研究所）
Abstract:
　本研究では、最近内閣府経済社会総合研究所の潜在成長力プロジェクトチーム（主査：深尾京司一橋大学教授）で作成された、JIP（Japan Industry Productivity）データベースの一環として整備されたIT投資の動向を、国際比較も含めて検証し、ハードの産業別IT投資データを利用して、パネルによる実証分析を行った。
　本研究で推計された日本のIT投資は、ハード、ソフト両面で、量的には、米国または他のOECD諸国と比較してもそれほど遜色のない規模にあることが示された。ただし、産業別にみると、通信業関係のIT化は米国に比べて相当低い。ソフトウエアについては、他国が90年代に大きく投資額を増加させたのに対し、日本は90年代以降、量的な規模が頭打ちになっているなどの特徴がみられた。
　また、投資関数による実証分析の結果からは、資本コストの係数がマイナスに有意となり、2003年度から実施されるIT投資減税を実施するための根拠が得られた。推計結果を利用してシミュレーションを行うと、投資減税の結果、全体の投資を1-2％増加させると見込まれる。さらに推計からは、ある産業でIT投資が活性化すれば、それは他の産業にもIT投資を増加させるスピルオーヴァー効果が確認されているので、投資減税の効果はさらに大きくなると予想される。
日時：
5月8日（木 Thursday） 4:50-6:30pm ***Presentation in English***
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：
Masaya Sakuragawa 桜川昌也 (Keio University 慶應大学）
Evaluating Dynamic Efficiency in the"Lost Decade"
Abstract:
In this paper I evaluate the dynamic efficiency of the Japanese economy. I show that the Japanese economy was dynamically efficient over the past twenty years in the Diamond’s sense. However, extending the Diamond’criterion to a multi-sector model, I show that the Japanese economy was dynamically inefficient due to the public sector called “Zaito Program”.
日時：
5月15日（木 Thursday） 4:50-6:30pm ***Presentation in English***
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：
Kenji Wada 和田賢治 (Keio University 慶應大学）
Consumption Behavior, Asset Returns, and the Risk Aversion: Evidence from Japanese Household Survey
Abstract:
In this paper we investigate the consumption behavior of Japanese household in relation to the asset price determinations using Japanese household decile monthly survey data from February 1986 through December 1998. As well known, smaller percentage of Japanese households owns common stock, and the household invests more into the bank deposit and postal savings as well as Japanese government bonds or bank notes. Through this limited participation problem we expect there exist systematic differences in the estimated risk aversion coefficients at each income level and the investment decision into risky assets. We find it is indeed the case with the standard Euler condition test result and the model rejection is weaker at higher income level households. However, t-statistics for the estimated risk aversion coefficients are not generally significant. On the other hand, when we estimate the model with conventional aggregate household data as has been the case with previous studies for both USA and Japan, we find that the Euler conditions get rejected and the equity premium puzzle exists. Finally, we test for the heterogeneous investor imperfect market model developed by Constantinides and Duffie (1996) with our decile income data and find that the estimate risk aversion coefficients are more reasonable than the one estimated from the aggregate data. Our finding is in par with finding by Roy (1995), while we refute the evidence by Hamori (1992), in which he found the model is not rejected overall. We duplicate these studies by using the similar instruments they used and find our result is robust.
日時：
5月22日（木 Thursday） 4:50-6:30pm ***Presentation in English***
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：
Etsuro Shioji 塩路悦朗 (Yokohama National University 横浜国立大学）
How are Macroeconomic Risks Priced in Japanese Asset Markets? (joint with R. Anton Braun)
Abstract:
How have macroeconomic shocks contributed to fluctuations in asset returns in Japan? To answer this question, We develop an econometric methodology to identify structural innovations that shock preferences, technology and policy. Then an optimization based model of asset pricing is used to evaluate the relative magnitude of these shocks from the perspective of risk averse investors. By studying the evolution of these risk premia over time, we find that the risk premium for monetary policy was the single most important risk factor in propagating the collapse of the Japanese asset pricing bubble.
日時：
5月29日（木 Thursday） 4:50-6:30pm ***Presentation in English***
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：
Robert Dekle (University of Southern California)
Liquidity, Infinite Horizons and Macroeconomic Fluctuations
PAPER's title: The Japanese Banking Crisis and Economic Growth: Theoretical and Empirical Implications of Deposit Guarantees and Weak Financial Regulation
Abstract:
An endogenous growth model with financial intermediation is used to show how government policies towards the financial sector can lead to banking crises and persistent growth slumps. The model shows how government deposit guarantees and regulatory forbearance can lead to permanent declines in the growth rate of the economy. The effects of inadequate prudential supervision on asset price dynamics under perfect foresight are also derived in the model. The policies that are used in the analysis are based on essential features of Japanese financial regulation. The implications of the model are compared to the experience of the Japanese economy and financial system during the 1990s. We find that the dynamics predicted by our model are generally consistent with the recent behavior of economic aggregates, asset prices and the banking system for Japan. A policy implication of the model is that the impact on future economic growth depends upon the length of time the government fails to enforce loan-loss reserving by banks.
日時：
6月5日（木 Thursday） 4:50-6:30pm ***Presentation in English***
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：
Jonathan Morduch (CIRJE/New York University)
Can the Poor Pay More? Microfinance and Returns to Capital in Indonesia
Abstract:
The global microfinance movement has renewed interest in the financial options and possibilities of low-income households. Fundamental issues remain under debate, in particular whether the very poor show promise as borrowers because they tend to have little capital and thus relatively high marginal returns to capital. Or whether, with relatively low levels of education and greater vulnerability, the poor remain weak prospects. Data from Indonesia show that marginal returns to capital are strongly diminishing but that using little capital does not imply being poor. In general, returns to capital increase with income, such that the median richer household can pay more for capital than the median poorer household. Still, even among the very poor there is a sizeable group that holds out promise for being appealing bank customers.
日時：
6月12日（木 Thursday） 4:50-6:30pm ***Presentation in English***
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：
Yasuyuki Sawada 澤田康幸 (University of Tokyo 東京大学）
Credit Crunch and Household Welfare: The Case of the Korean Financial Crisis (with Sung Jin Kang)
Abstract:
We examined the credit crunch in Korea and how it affected household welfare. With household panel data from 1996-1998, we estimate a switching regression model of a consumption Euler equation, which is augmented by endogenous credit constraints. Several empirical findings emerged. First, households coped with the negative shocks by reducing consumption of luxury items while maintaining food, education, and health-related expenditures. Second, the estimated results suggest that the standard consumption Euler equation, i.e., the necessary condition of the life-cycle permanent income hypothesis, does not hold because of binding credit constraints. Especially between 1997 and 1998, the probability of facing credit constraints increased significantly for all households. The expected welfare loss from binding credit constraints increased by 76% during the crisis, suggesting the seriousness of the credit crunch at the household level.
日時：
6月19日（木 Thursday） 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 ROOM CHANGED
報告：
Sung Jin Kang (Tsukuba University 筑波大学）
Overseas Entry Decision and Ownership Strategy of Japanese Companies: Institution and Corporate Governance ***Revised on June 17.
Abstract:
Using 20-year panel data, this paper tests Japanese companies' sequential decisions: (1) to invest abroad or not and (2) if so, what ownership strategy for that local com-pany to be employed. In addition to transaction advantage emphasized by traditional studies on FDI, the main focus of the paper is the role of corporate governance of the parent companies and institutional environment of the host countries. Through Heck-man's two-step estimation, corporate governance is found to play an important role for entry decision but not for ownership strategy. Transaction cost approach approximated by R&D and real GDP per capita has been well supported. Most importantly, an in-stitutional environment favorable to MNEs leads to higher level of ownership of local companies. Firm size plays a significant role for FDI decision but not for ownership decision.
日時：
6月26日（木 Thursday） 4:50-6:30pm ***Presentation in English***
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：
Takao Kato (Colgate University)
The Effects of Employee Involvement on Firm Performance: Evidence from an Econometric Case Study (joint with Derek C. Jones) Updated
Abstract:
We provide some of the most reliable evidence to date on the direct impact of employee involvement through participatory arrangements such as teams on business performance. The data we use are extraordinary --daily data for rejection, production and downtime rates for all operators in a single plant during a 35 month period, almost 53,000 observations. Our key findings are that: (i) membership in offline teams initially enhances individual productivity by about 3% and rejection rates by more than 25%; (ii) these improvements are dissipated, typically at a rate of 10 to 16% per 100 working days; (iii) the introduction of teams is initially accompanied by increased rates of downtime and these costs diminish over time. In addition: (iv) the performance-enhancing effects of team membership are greater and more long-lasting for team members who are solicited by management to join teams; similar relationships exist for more educated team members. These findings, which are best interpreted as lower bound estimates of the effects of teams, are consistent with the diverse hypotheses including propositions that: (i) employee involvement will produce improved enterprise performance through diverse channels including enhanced discretionary effort by employees; (ii) various kinds of complementarities accompany many changes in organizational design (such as between teams and formal education); (iii) the introduction of high performance workplace practices are best viewed as investments, though there are significant learning effects; (iv) differences in performance for team members solicited by mangers compared to those who volunteer are consistent with various hypotheses including management signaling and opportunistic behavior by employees, but inconsistent with hypotheses based on Hawthorne effects.
日時：
6月27日（金 Friday） 4:50-6:30pm ***Presentation in English***
場所：
東京大学経済学部　新棟4階　第5教室
at the Lecture Hall E (=No.5) on the 4th floor of New Econ. Building
報告：
Lawrence J. Christiano (Northwestern University)
Technology Shocks and Aggregate Fluctuations (with David Altig, Martin Eichenbaum and Jesper Linde)
Abstract:
We report estimates of the dynamic effects of a technology shock, and then use these to estimate the parameters of a dynamic gerenral dquilibrium model with money. We find: (i) a positive technology shock drives up hours worked, consumption, investment and output; (ii) the positive response of hours worked reflects that the Fed has in practive accommodated technology shocks; (iii) model parameter values and functional forms that match the response of macroeconomic variables to monetary policy shocks also work well for technology shocks; (iv) while technology shocks account for a large fraction of the lower frequency component of economic fluctuations, they account for only a small part of the business cycle component of fluctuations.
日時：
7月3日（木 Thursday） 4:50-6:30pm ***Presentation in English***
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：
Katsutoshi Wakai (State University of New York at Buffalo)
A Model of Consumption Smoothing with an Application to Asset Pricing    Seminar Paper    Reference Paper 1    Reference Paper 2
Abstract:
Conventionally, risk aversion is regarded as the dislike of variations in payoffs of random variables within a period. By contrast, time-variability is variation in payoffs over time. The purpose of this paper is to develop a new behavioral notion, time-variability aversion, and then apply this idea to a consumption-saving problem to derive implications for asset pricing. Time-variability aversion is defined to mean that an agent is averse to mean-preserving spreads of utility over time. This idea is captured by the agent selecting a sequence of discount factors (from a given set) that minimizes the present discounted value of a given payoff stream. We provide an axiomatization for this representation. More formally, the assignment of discount factors is recursively determined and the derived representation becomes non-time-separable. Intuitively, this representation exhibits time-variability aversion by allocating a higher discount factor when tomorrow's consumption is low (and vice versa). Next we apply this utility representation to a representative-agent economy. Euler equations show that the marginal rate of substitution also reflects time-variability aversion: it is underweighted at good states and overweighted at bad states. This intuition is then applied to a simple numerical example under which our formula can explain the equity-premium and risk-free-rate puzzles. We also run empirical tests using UK data and show that estimated discount factors vary in a manner consistent with our model.
日時：
7月10日（木 Thursday） 4:50-6:30pm ***Presentation in English***
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：
Nobuhiro Kiyotaki (London School of Economics)
A Model of Job and Worker Flows with Ricardo Lagos of NYU
日時：
7月17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：
Tsuyoshi Ooyama 大山　剛 (BOJ 日本銀行考査局)
不良債権と日本経済 PAPER 1    PAPER 1
日時： ※臨時セミナー※
8月5日（火 Tuesday） 4:50-6:30pm Presentation in English
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：
Masao Ogaki 大垣昌夫 (Ohio State University)
Structural Spurious Regressions: Theory and Applications (joint with Chi-Young Choi, University of New Hampshire and Ling Hu, Ohio State University)
Abstract:
Economic models often imply that certain variables are cointegrated. However, tests often fail to reject the null hypothesis of no cointegration for these variables. One possible explanation of these test results is that the error is unit root nonstationary due to a nonstationary measurement error in one variable. For example, currency held by the domestic economic agents for legitimate transactions is very hard to measure due to currency held by foreign residents and black market transactions. Therefore, money may be measured with a nonstationary error. If the money demand function is stable in the long-run, we have a cointegrating regression when money is measured with a stationary measurement error, but have a spurious regression when money is measured with a nonstationary measurement error. We can still recover structural parameters under certain conditions for the nonstationary measurement error. This paper proposes econometric methods based on asymptotic theory to estimate structural parameters with spurious regressions involving unit root nonstationary variables.
日時：
9月11日（木 Thursday） 12:00-1:00pm *presentation in English, brownbag seminar
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：
Kosuke Aoki (Pompeu Fabra University, Spain / BOJ)
Rule-Based Monetary Policy under Central Bank Learning (joint with Kalin Nikolov)
Abstract:
We evaluate the performance of three kinds of rule-based monetary policy under adaptive learning by central bank about the parameter values of a simple New Keynesian model. The central bank and the private sector learn the slopes of the IS and the Phillips curves by recursive least squares estimation, and form expectations and set policy based on their estimated model. The three policies we evaluate are: (1) the optimal non-inertial rule; (2) the optimal history-dependent rule; (3) the optimal price-level targeting rule. It is shown that the optimal price-level targeting rule delivers the highest welfare, by improving the inflation-output gap ariability trade-off, without introducing undesirable feedback from past policy mistakes that are caused by imprecise parameter estimates.
日時：
9月25日（木 Thursday） 1:00-3:00pm and 4:50-6:30pm *Presentation in English, two back to back seminars by Professor Susanto Basu
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：
Susanto Basu (University of Michigan)
1:00-3:00pm Title: Investment Planning Costs and the Effects of Fiscal and Monetary Policy (joint with Miles S. Kimball)
Paper for 1:00-3:00pm presentation: Updated on September 12.
4:50-6:30pm Title: Issues in the TFP Measurement   
Paper for 4:50-6:30pm presentation
Abstract of the paper for 1:00-3:00pm presentation:
We show that simple "New Keynesian" models with capital but without investment frictions have counterfactual predictions regarding the short-run effects of fiscal policy shocks: fiscal expansions lower output, employment, and the real interest rate in these models. We modify the model by assuming that investment projects are costly to start or stop, which is consistent with micro evidence. Adding investment planning costs restores the aggregate expenditure logic of the Keynesian Cross, and eliminates the counterfactual predictions regarding fiscal shocks. The modified model is also better able to match stylized facts on (i) the delayed effects of monetary policy shocks on output, (ii) the size of the liquidity effect, and (iii) the fact that monetary shocks change real interest rates for a significantly shorter time than they change real output. We show that convex capital adjustment costs, as in the neoclassical interpretation of Tobin's Q, cannot substitute for investment planning costs in all of these respects.
日時：
10月1日（水 Wednesday）12:00-13:15pm Presentation in English ***a brownbag seminar***
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) on the 12th floor of New Econ. Building
報告：
J. Mark Ramseyer (Harvard University / University of Tokyo)
Does Relationship Banking Matter? Japanese Bank-Borrower Ties in Good Times and Bad (joint with Yoshiro Miwa) (CIRJE Discussion Paper 2003-CF-239)
Abstract:
The Japanese "main bank system" figures prominently in the recent literature on "relationship banking." By most accounts, the main bank epitomizes relationship finance: traditionally, every large Japanese firm had one, and that bank monitored the firm, participated in its governance, acted as the delegated monitor for other creditors, and rescued the firm if it fell into financial distress. Yet all this has begun to change, continue these accounts. Japan deregulated its financial markets in the 1980s, and many firms abandoned their relational lender for market finance. As the main banks then lost their ability to the constrain firms -- as relationship banking unraveled -- the firms gambled in the stock and real estate bubbles, the bubbles burst, and the firms threw the country into recession.
Using financial and governance data from 1980 through 1994, we show that none of this is true. The accounts of the Japanese main bank instead represent fables, stories we collectively recite because they so conveniently illustrate the theories and models we hope to develop. Whether during the 1980s boom or the 1990s recession, they bore no resemblance to any aspect of Japanese corporate finance or governance.
日時：
10月2日（木 Thursday） 4:50-6:30pm Presentation in English
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：
Qiang Zhang (University of Memphis)
日時：
10月9日（木 Thursday） 3:00-6:30pm ***two back to back seminars*** ※両セミナーとも第４教室で開催
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：
Shingo Goto (UCLA) 3:00-4:40pm Monetary Policy, the Fisher Hypothesis and the Term Structure of Interest Rates
Abstract:
A regime shift in the inflation process is the collective outcome of shifts in individual agents' rational expectations resulting from an important policy initiative. Taking this view, we find decisive evidence of a shift in the inflation process consistent with the enforcement of an anti-inflationary interest rate rule, the Taylor rule, initiated by the Fed under Chairman Volcker. Subsequent to the regime shift, inflation and real interest rates move together, sepecially in the long run, contradicting both the Fisher hypothesis and the presence of Mundell-Tobin effects. Contrary to conventional wisdom, today's yield curve is not informative about expected inflation and nominal yields command a significant inflation risk premium suggesting another violation of the Fisher hypothesis.
Zheng Liu (Emory University) 4:50-6:30pm Production, Trade, and International Co-movements (joint with Kevin X.D. Huang) *updated on Oct. 3.
Abstract:
This paper proposes a unified theory to explain two observed patterns of international business cycle co-movements: the correlations in aggregate output and in consumption between OECD countries tend to be much higher than those between emerging market economies such as Latin America; and within each region, the output correlations are systematically greater than the consumption correlations. The model departs from the standard international business cycle model in that it incorporates a vertical production and trading chain, which is a feature of growing importance in modern world economy. The vertical chain embodies a powerful propagation mechanism that helps generate the observed magnitude and patterns of international correlations following monetary policy shocks.
日時：
10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：
Takashi Kano (Bank of Canada)
Habit Formation, the World Real Interest Rate, and the Present Value Model of the Current Account
Non-technical Summary
日時：
10月20日（月 Monday） 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 New Econ. Building
報告：
Douglas Joines (University of Southern California)
Can Social Security Privatization Be Pareto Improving?
Abstract:
The last two decades have witnessed the complete or parital privatization of public pension systems in several countries, and many proposals have been made to privatize the U.S. Social Security system either completely or partially. The motivation behind such proposals is that privatization will lead to substantial long-run welfare gains due to an increase in the economy steady-state capital stock. This buildup of capital requires lower consumption during the short run, however, so that transition generations might suffer welfare losses. Previous analyses of the transition to privatized social security using large-scale, computable, overlapping generations models have generally confirmed both large long-run welfare gains and substantial welfare losses during the transition. This paper uses such a model to explore the characteristics that a reform proposal must have if it is to avoid welfare losses in the short run. Using reasonable parameter values, it claims that a Pareto-improving transition to privatized social security is feasible.
日時：
10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：
Satoshi Shimizutani (ESRI, Cabinet Office, Government of Japan 内閣府経済社会総合研究所)
Empirical Studies on Child Care Supply in Japan: Evidence fromMicro-level Data  Paper 1  Paper 2  Paper 3  Paper 4  
日時：
10月30日（木 Thursday） 3:00-6:30pm ***two back to back seminars***　※両セミナーとも第４教室で開催
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：
Don Schlagenhauf (Florida State University) 3:00-4:40pm
Are Husbands Really That Cheap? (with Matthew S. Chambers and Eric R. Young)
Abstract: The life insurance market is one of the most prominent contingent claim markets that exist and thus provides an interesting laboratory to examine agents consumption and risk sharing behavior. An examination of the 1998 Survey of Consumer Finances indicates life insurance patterns may not be consistent with patterns suggested by life-cycle models. In this paper, we investigate these apparent inconsistencies using a dynamic overlapping generation general equilibrium model. The decision making unit is the household, which is subject to mortality, demographic and idiosyncratic earnings risk. Households have access to an asset and life insurance market that allows imperfect risk sharing. We find that the pricing scheme adopted by the industry has a significant impact on the distribution of policies, and that the pattern of life insurance holdings likely constitutes a puzzle for financial economics.
Edward Prescott (University of Minnesota) 4:50-6:30pm
Why do Americans and Japanese work so much more than Europeans?
Abstract: American now work 50 percent more than do the Germans, French, and Italians. This was not the case in the early 1970s when the Western Europeans worked more than Americans. In this paper, I examine the role of taxes in accounting for the differences in labor supply across time and across countries, in particular, the effective marginal tax rate on labor income. The population of countries considered is that of the G-7 countries, which are the major advanced industrial countries. The surprising finding is that this marginal tax rate accounts for the predominance of ht e differences at points in time and the large change in relative labor supply over time with the exception of the Italian labor supply in the early 1970s.
日時：
11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
報告：
Makoto Saito (Hitotsubashi University)
On an interaction between monetary environment and incentive compatibility constraints: A case of dynamic insurance contracts (with Yosuke Takeda)   Abstract
日時：
11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：
Shin-Ichi Nishiyama 西山慎一 (BOJ)
Inflation Target as a Buffer against Liquidity Trap (日本銀行金融研究所のページ）
日時：
11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：
Yasuyuki Todo 戸堂康之 (Tokyo Metropolitan University)
Multinational Enterprises, Local R&D Activities and Knowledge Diffusion to Less Developed Countries:　Theory and Evidence
Abstract:
This paper builds an endogenous growth model with quality improvement, focusing on a less developed economy with two channels of knowledge import: multinational enterprises (MNEs) and local R&D activities. MNEs can bring a fraction of their advanced knowledge regardless of the knowledge level of local skilled labor, which, in contrast, is associated with the productivity of local R&D activities. Further, based on recent empirical results, it is assumed that the presence of MNEs does not raise the local knowledge level. Our major result is that an economy with a low initial level of local knowledge converges to an equilibrium with MNEs but without local R&D. On the other hand, when the initial level is high enough, the economy depends more on MNEs at the outset but gradually raises its dependence on local R&D. Also, the amount of skilled labor in the economy is positively correlated with the level of per capital output, since skilled labor is the source of knowledge import. Empirical evidence from country-level panel data is presented to support some of the assumptions and results of the model.
日時：
11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：
黒田祥子 Sachiko Kuroda, 山本勲 Isamu Yamamoto (日本銀行金融研究所)
わが国名目賃金の下方硬直性 − マイクロ・データを用いた検証と失業率への影響 − PAPER 1 PAPER 2
Abstract:
低インフレないしデフレのもとで、名目賃金の下方硬直性は失業率をどの程度押し上げるだろうか。こうした問題意識に基づき、本稿では、Akerlof, Dickens and Perry [1996]の一般均衡モデルに、黒田・山本 [2003b] で計測したわが国フルタイム男性雇用者の名目賃金の下方硬直性を組み込み、男性失業率に与える影響をシミュレートした。さらに、本稿では、名目賃金の下方硬直性だけではなく、それ以外の「労働市場の歪み」によっても失業率が押し上げられることを示し、両者の影響を明示的に識別することによって、インフレ率の低下に伴う失業率の上昇のうち、名目賃金の下方硬直性によるものがどの程度であるかを検討した。 シミュレーションの結果、以下の点が明らかになった。まず、黒田・山本 [2003b] で1993-98 年のマイクロ・データを用いて計測した名目賃金の下方硬直性は、下方硬直性の度合いが完全であるケースと比べると、失業率に対してかなり小さな影響しか与えない。ただし、その影響は無視しうる程度のものではなく、本稿で想定した標準的なパラメータのもとでは、失業率を最大で1.8% 程度押し上げる。次に、インフレ率との関係でみると、名目賃金に下方硬直性が存在しても、名目賃金の下方硬直性に起因する失業はインフレ率が2.4% 程度以上であれば発生しないが、インフレ率が2.4% 程度以下になると徐々に増加する傾向にある。ただし、わが国では賞与の調整や大幅な賃下げによって名目賃金の下方硬直性の度合いが緩和されるため、1% 程度以下の低インフレないしデフレのもとでは、名目賃金の下方硬直性による失業の増加は概ね抑制され、むしろ「労働市場の歪み」による失業の追加的な発生が問題になる。
日時：
12月1日（月 Monday） 12:00-13:15 *brownbag seminar
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：
Gauti B. Eggertsson (IMF)
The Deflation Bias and Committing to being Irresponsible
Abstract:
I modeldeflation, at zero nominal interest rate, in a microfounded general equilibrium model. I show that deflation can be analyzed as a credibility problem if the government has only one policy instrument, i.e. increasing money supply by open market operations in short-term bonds, and cannot commit to future policies. I propose several policies to solve the credibility problem. They involve printing money or issuing nominal debt and either 1) cutting taxes, 2) buying real assets such as stocks, or 3) purchasing foreign exchange. The government credibly "commits to being irresponsible" by using these policy instruments. It commits to higher money supply in the future so that the private sector expects inflation instead of deflation. This is optimal since it curbs deflation and increases output by lowering the real rate of return.
日時：
12月2日(火 Tuesday） 12:00-13:15 *brownbag seminar
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：
Satoko Takamatsu
Does International Monetary Policy Coordination Improve Welfare?
日時：
12月11日（木 Thursday)*** two seminars ***
報告1：11:50-1:20pm *brownbag seminar, joint seminar with Microworkshop
場所：東京大学経済学部　新棟12階　第1共同研究室
at the Conference Hall A (=No.1) on the 12th floor of New Econ. Building
Liran Einav (Stanford University)
Not All Rivals Look Alike: Estimating an Equilibrium Model of the Release Date Timing Game
報告2：4:50-6:30pm
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
Kiyohiko G. Nishimura (University of Tokyo) ***Presentation in English***
Productivity of the Japanese Information Services Industry: A Large-Scale Panel Analysis（joint with Futoshi Kurokawa) *Paper in Japanese
（日本の情報サービス産業の生産性−企業パネルデータによる実証分析−(joint with 黒川太)）
日時：
12月16日 （火 Tuesday） 12:00-1:10pm ***brownbag seminar
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：
Robert F. Owen (University of Nantes)
Globalization, Sunk Costs and Economic Methodology ***The paper publihsed in Review of International Economics, 10(3), pp.539-555, 2002.
日時：
1月14日 （水 Wednesday） 4:00-5:30pm ***COE distinguished research seminar series***
場所：
東京大学経済学部 新棟地下１階　第1教室
at the Classroom No.1 on the basement floor of New Econ. Building
報告：
速水佑次郎 Yujiro Hayami (FASID-GRIPS)
Waste Pickers and Collectors in Delhi: Poverty and Environment in an Urban Informal Sector (co-authored with A.K. Dikshit and S.N. Mishra)
Abstract:
Waste pickers and collectors constitute the bottom layer of waste recycling in the metropolis of Delhi. Pickers collect waste just by picking them up from public places such as garbage dumps and streets, whereas collectors purchase waste from waste producers such as households and shops for sale to higher-level waste traders. Most pickers have incomes below the poverty line set by the Planning Commission of India, whereas the majority of collectors earn marginally higher than the poverty-line income. The poverty of pickers is not transitory but perpetual as they have no connection to enter the community of collectors and higher-level waste traders within which the community mechanism works effectively to reduce risk and transaction costs. Despite their low economic and social status, pickers and collectors are making important contributions to society. It is found that pickers and collectors are adding more value than their own income to waste producers' income and to the saving of the city government's expenditure for disposing waste. Increased public supports for not only social services but also production services and infrastructure can be justified not only to reduce poverty but also to further their positive contributions to society.
Keywords:
wastes, recycling, poverty, environment, migration, community
日時：
1月19日（月 Monday) 12:00-13:15 *Microworkshopと共催
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 No.1(A) on the 12th floor of New Econ. Building
報告：
Ilhyock Shim (Stanford University)
Dynamic Prudential Regulation: Is Prompt Corrective Action Optimal?
日時：
1月20日（火 Tuesday) 12:00-13:15
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 No.1(A) on the 12th floor of New Econ. Building
報告：
Julen Esteban-Pretel (New York University)
The Effects of the Loss of Skill on Unemployment Fluctuations
日時：
1月22日（木 Thursday) 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 No.1(A) on the 12th floor of New Econ. Building
報告：
Alan Auerbach (Department of Economics, UC Berkeley)
Budget Windows, Sunsets and Fiscal Control
日時：
1月29日（木 Thursday) 12:00-13:15
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 No.1(A) on the 12th floor of New Econ. Building
報告：
Sami Alpanda (University of Minnesota)
Land and Corporate Valuation in Japan
日時：
2月2日（月 Monday) 12:00-13:15
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 No.1(A) on the 12th floor of New Econ. Building
報告：
Yongseok Shin (Stanford University)
Optimal Fiscal Policy with Incomplete Markets
日時：
2月6日 （金 Friday） 4:50-6:30pm ***COE distinguished research seminar series***
場所：
東京大学経済学部 新棟３階　第２教室
at the Classroom No.2 on the 3rd floor of New Econ. Building
報告：
Avner Greif (Department of Economics, Stanford University)
Institutions and Impersonal Exchange: The European Experience
Abstract:
The division of labor is limited by the extent of the market, which, in turn, is limited by the extent of impersonal exchange. Institutions enabling impersonal exchange are thus crucial for advancing the division of labor and economic efficiency. Historically, if exchange began based on personal relationships within relatively small groups, the emergence of the impartial legal system that facilitates impersonal exchange in the contemporary developed economies presents a puzzle. Effective impartial law entails large fix investment and low marginal costs of conducting impersonal exchange. Why was a legal system supporting impersonal exchange established if the volume of impersonal exchange was initially low?
This paper addresses this question by examining the European experience. The transition to impersonal exchange based on a centralized, impartial law was facilitated by the Community Responsibility System (CRS). The CRS enabled exchange characterized by separation between the quid and the quo over time and space that was impersonal, up to one’s community affiliation. It built on self-governed communities, intra-community (partial) enforcement institutions, and non-contractual joint communal liability in inter-community disputes that induced communities to care about their collective reputations. The CRS prevailed throughout Europe during the pre-modern period and although it was self-enforcing, it was also a self-undermining. It entailed processes that reduced its economic efficiency and intra-community political viability. The ability to supply centralized, impartial contract enforcement in various regions of Europe, however, was dependent on political development at that particular point.
This analysis touches upon issues central to institutional analysis in general: self-governed communities that fall between the ways in which we model the state and communities; institutions that combine reputational considerations and coercive power; the endogenous elicitation of impartial justice; the importance of the distinction between personal and communal identities; the substitutability between knowing a person’s identity or his past actions; and the importance of over-lapping generations’ organizations, such as communities, in facilitating inter-organizational impersonal exchange despite each individual’s finite life span.
日時：
2月9日（月 Monday) 12:00-13:15 ※ Microworkshopと共催 ※ 日程変更があ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 No.1(A) on the 12th floor of New Econ. Building
報告：
Ke Wang (Stanford University)
Multi-Period Corporate Failure Prediction with Stochastic Covariates
Macroworkshop修士論文報告会
※Macroworkshopで修士論文を報告予定の方は、1月15日発表者は1月13日（火）、1月22日発表者は1月20日(火)のそれぞれ正午(昼12時）までにセンター研究支援室・富井tomii@e.u-tokyo.ac.jp宛にe-mailで発表論文のファイルを提出（または持参）してください。ファイルの形式は何でも結構ですが一番望ましいものはPDFファイルです。発表者の論文はHPからダウンロードできるようにします。発表論文以外にレジュメ等を用意する場合は各自で用意してください。期日までに発表論文の提出が間に合わない方は、当日配布用のコピ―(20部)を各自でご用意下さい。
日時：
1月15日 （木 Thursday） 17:00-19:00 ***修士論文報告会***
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
12:00-12:40 池田大輔 Modeling the Liquidity Trap: Explaining Why Falling into It (Braun, Hayashi, Iwai)
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：
17:00-17:40 魚地郁子 Rural Credit Associations Play a Role of Insurance? Evidence from Malawi (Sawada, Kawai, Yanagida)
17:40-18:20 庄司匡宏 Multiple Coping Strategy Choice in Rural Bangladesh (Sawada, Braun, Kawai)
日時：
1月22日 （木 Thursday） 16:20-19:00 ***修士論文報告会***
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：
17:00-17:40 CANCELLED
17:40-18:20 岡田多恵 銀行合併の効果 (Hayashi, Yoshikawa, Iwai)
18:20-19:00 南橋尚明 自己資本比率と追い貸しの関係性について (Hayashi, Yoshikawa, Iwai)
19:00-19:40 ｸﾞｪﾝﾌﾝ ｸｫﾂ Product Cycle Mechanism with Foreign Direct Investment Technology Transfer and the World Distribution of Income (Yanagawa, Matsushima, Fukuda)
日時：
2月27日（金） 11:30-13:00 *Microworkshopと共催
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 No.1(A) on the 12th floor of New Econ. Building
報告：
Toshi Iizuka(Vanderbilt University)
The Effects of Direct-to-Consumer Advertising in the Prescription Drug Markets (joint with Ginger Z. Jin, University of Maryland)
Abstract:
In August 1997, the Food and Drug Administration permitted brand-specific direct-to-consumer (DTC) advertising on electronic medias without "brief summary" of comprehensive risk information. This led to a three-fold growth of DTC advertising expenditure in four year, followed by an intensive debate about their effects on patient and doctor behaviors. This paper examines the effects of DTC advertising of prescription drugs on patient and doctor behaviors, comgining 1994-2000 DTC advertising data with the National Ambulatory Medical Care Survey. We find that, consistent with the poponents' claim, DTC ads increase the number of outpatient drug visits, but have no positive effect on doctors' specific choice within a therapeutic class. This suggests that the effect of DTC advertising is primarily market expanding and DTC advertising is a public good within a therapeutic class. Moreover, the market-expanding effect is much stronger after 1997, explaining the surge of DTC ads after the clarification.