Workshops

2006年4月13日（木 Thursday） 16:50-18:30  *金融センターワークショップと共催

Alicia Garcia Herrero (Bank of Spain)
How Much do Trade and Financial Linkages Affect Business Cycle Synchronization for Small Open Economies? (joint with Juan M. Ruiz) [PDF]

We analyze empirically whether trade and financial linkages between two countries increase the synchronization of their business cycles directly or indirectly. In a system of equations, we use a newly processed database on the bilateral linkages of a small open economy, namely Spain. We prefer this to the generally used US data, to avoid other channels of influence of such a large economy affecting the results. We find that both trade or financial linkages only foster synchronization of business cycles indirectly, by increasing the similarity of economic structure between countries, which itself induces more similar output movements. This result suggests that sectoral shocks, rather than intra-industry shocks, have prevailed in the last 15 years. The net effects of both trade and financial　linkages on business cycle synchronization are statistically significant, but very small in economic terms. Common macroeconomic policies, instead, are much more important determinants of output co-movements.

2006年4月17日（月 Monday） 12:00-13:10 *Macro Brown Bag Seminar

Satyajit Chatterjee (Federal Reserve Bank of Philadelphia)

Credit Scoring and Competitive Pricing of Default Risk (joint with Corbae and Rios-Rull) [PDF]

When people cannot commit to pay back their loans and there is limited information about their characteristics, lending institutions must draw inferences about their likelihood of default. In this paper, we examine how this inference problem impacts consumption smoothing. In particular, we study an environment populated by two types of people who differ with respect to their rates of time preference and receive idiosyncratic earnings shocks. Impatient types are more likely to borrow and default than patient types. Lenders cannot directly observe a person’s type but make probabilistic assessments of it based on the person’s credit history. The model delivers an integrated theory of terms of credit and credit scoring that seems broadly consistent with the data. We also examine the impact of legal restrictions on the length of time adverse events can remain on one’s credit record for consumption smoothing and welfare.

2006年4月20日（木 Thursday） 16:50-18:30   *金融センターワークショップと共催

Ippei Fujiwara (Bank of Japan)
Monetary Policy in a Life-Cycle Economy:  Distributional Consequences of Monetary Policy Rule (joint with Yuki Teranishi) [PDF]

 In this paper, we answer to practically important questions concerning monetary policy implementation: whether the monetary policy scheme needs to be changed as societal aging deepens; and how monetary policy affects heterogeneous agents, namely workers and retirees, unevenly. According to simulation results from the dynamic stochastic general equilibrium model with nominal rigidity that incorporates lifecycle behavior a la Gertler (1999), monetary policy does not have to be altered significantly as societal ageing deepens. On the distributional aspects of monetary policy, however, we find that the optimal instrument rule for workers is quite different from the one for retires.  In an economy where even workers save for their retirement as is the case in Japan, workers prefer more inflation-fighting monetary policy than retirees do and, therefore, the central bank faces policy trade-off between maximizing worker’s and retiree’s welfare.

2006年5月11日（木 Thursday） 12:00-13:10 *Macro Brown Bag Seminar

Shuhei Aoki (University of Tokyo, COE Fellow)

A Simple Accounting Framework for Distortion on Sectoral Resource Allocation and its Application to OECD Countries

2006年5月11日（木 Thursday） 16:50-18:30

Masano Aoki (University of California, Los Angeles)
Mittag-Leffler Distributions and Long-run Behavior of Macro-economic Models [PDF]

[powerpoint]

This paper discusses long-run behavior of economic models with many interacting heterogeneous agents, and point out the connection with the class of Mittag-Leffler distributions.

In the process, the paper summarizes some known asymptotic properties of a class of one- and two-parameter Poisson-Dirichlet distribution models, and those of the model discussed by Feng and Hoppe. These models have also known long-run behavior after some suitable normalized numbers of partitions and the components of partition vectors, such as non-vanishing variances of cluster sizes as the number of agents becomes large. Some differences in the long-run behavior between the class of one-parameter models and that with two-parameters are pointed out. Convergence behavior is ex-pressed in terms of generalized Mittag-Leffler distributions in the statistics literature. We exhibit power laws when they exist as well.

Second, a numerical example of a model which is outside the framework of one-and two-parameter Poisson Dirichlet models mentioned above. This model has more than two parameters but is a simple model composed of two types of agents, innovators and immitators. This model has non-self averaging variances and the covariance of the sizes of the two sectors, that is the variances and the covariance do not vanish as the number of agents approach infinity.

2006年5月17日（水 Wednesday） 12:00-13:10 *Macro Brown Bag Seminar、*金融センターワークショップと共催

Andrew Levin (The Federal Reserve Board)

Identifying Nominal and Real Rigidities in Aggregate Price-setting Behavior (joint with G. Coenen and K. Christoffel)

2006年5月18日（木 Thursday） 16:50-18:30

Takushi Kurozumi (Bank of Japan)
Optimal Sustainable Monetary Policy [PDF]

Many recent monetary policy analyses have studied optimal commitment policy or Woodford’ s (1999) timeless perspective policy, with emphasis devoted to welfare gains from policy commitment, regardless of the time consistency problem called the stabilization bias. In this paper we adopt Chari and Kehoe’s (1990) sustainable equilibrium to a dynamic general equilibrium model used in the recent analyses and examine optimal sustainable policy, the authority’s policy strategy in the best sustainable equilibrium The paper shows with realistic calibrations of model parameters that the plausible benchmark for policy conduct with no commitment technology is neither optimal commitment policy nor the timeless perspective policy but is optimal sustainable policy. Once we deliberate on the actual policy conduct, however, we cannot but consider optimal sustainable policy unreliable as the guidepost for policy, since it involves some issues due to its dependence on the entire history of Lagrange multipliers on the sustainability constraint. The paper suggests as a reliable guidepost a sustainable policy that contains no such issues and attains higher social welfare than discretionary policy does. This sustainable policy is conducted by following a policy rule that achieves the best Markov equilibrium.

2006年5月23日（火 Tuesday） 12:00-13:10 *Macro Brown Bag Seminar

Harold Cole (University of California, Los Angeles)

Neoclassical Analysis of the Great Dpression I [PDF]

There are two striking aspects of the recovery from the Great Depression in the United States: the recovery was very weak and real wages in several sectors rose significantly above trend. These data contrast sharply with neoclassical theory, which predicts a strong recovery with low real wages. We evaluate the contribution of New Deal cartelization policies designed to limit competition and increase labor bargaining power to the persistence of the Depression, We develop a model of the bargaining process between labor and firms that occurred with these policies, and embed that model within a multi-sector dynamic general equilibrium model. We find that New Deal cartelization policies are an important factor in accounting for the failure of the economy to recovery back to trend.

2006年5月24日（水 Wednesday） 12:00-13:10 *Macro Brown Bag Seminar

Harold Cole (University of California, Los Angeles)

Neoclassical Analysis of the Great Dpression II [PDF]

This paper presents a dynamic, stochastic general equilibrium (DSGE) study of the causes of the international Great Depression. We merge the empirical, cross-country literature that focuses on deflation with the single-country DSGE literature that focuses on productivity. We evaluate the relative contributions of deflation and productivity, and find that productivity accounts for about 70 percent of the Depression, with deflation accounting for about 30 percent. The main reason deflation doesn’t account for more of the Depression is because there is no systematic relationship between deflation and output during this period. We evaluate the factors that might be driving these productivity shocks, and study the most promising classes of models for understanding the Depression. We find that contemporaneous and lagged real stock prices explain a high fraction of productivity, and conclude that models with financial market imperfections that either exacerbate agency problems, disrupt normal trading patterns, or in which net worth impacts firm performance, is the most promising class of models.

2006年5月25日（木 Thursday） 16:50-18:30　*金融センターワークショップと共催

Harold Cole (University of California, Los Angeles)
A Dynamic Theory of Optimal Capital Structure and Exective Compensation (joint with Andrew Atkeson) [PDF]

We put forward a theory of the optimal capital structure of the firm based on Jensen’s (1986) hypothesis that a firm’s choice of capital structure is determined by a trade-off between agency costs and monitoring costs. We model this tradeoff dynamically. We assume that early on in the production process, outside investors face an information friction with respect to withdrawing funds from the firm that dissipates over time. We assume that they also face an agency friction that increases over time with respect to funds left inside the firm. The problem of determining the optimal capital structure of the firm as well as the optimal compensation of the manager is then a problem of choosing payments to outside investors and the manager at each stage of production to balance these two frictions.

2006年6月1日（木 Thursday） 16:50-18:30

Atsuko Ueda (Waseda University)
Uncovering the Goodhart's Law:  Theory and Evidence (joint with Yosuke Takeda) [PDF]

This paper addresses the Goodhart’s Law in a cash-in-advance economy with monetary policy regime switching. Using the Japanese data of the money velocity, we found that although our cash-credit model fails to generate a downward trend in the actual velocity, the model succeeds in terms of velocity’s variation and correlations with money growth rates or nominal interest rates, with procyclicality of velocity unpredictable.

2006年6月8日（木 Thursday） 16:50-18:30

Ellis Tallman (Federal Reserve Bank of Atlanta)
Foreign Central Banks and the Market for 'Federal Agency' Debt (joint with W. Scott Frame) [PDF]

2006年6月15日（木 Thursday） 16:50-18:30

Toshihiko Mukoyama (Concordia University)
Matching with Precautionary Saving (joint with Per Krusell, Aysegul Sahin)

2006年6月22日（木 Thursday） 16:50-18:30

Kimiyoshi Kamada (Chukyo University)
Altruism, Environmental Externalities and Fertility (joint with Makoto Hirazawa and Takashi Sato) [PDF]  ※Presentation in Japanese

2006年6月29日（木 Thursday） 16:50-18:30

Naohito Abe (Hitotsubashi University)
Nonlinear Income Variance Profile and Consumption Inequality over the Life Cycle (joint with Tomoaki Yamda) [PDF]

In an economy with a seniority wage system, elderly workers are subject to greater income risks when they lose their jobs than young workers are. This pa-per investigates: (1) whether we can observe the age dependence of idiosyncratic income risks; and (2) the importance of age dependence for the evolution of in-equalities in consumption using Japanese micro data. Our estimation of the income process demonstrates a strong age dependence of income risks: at the age of 48, the variance of permanent income shocks begins to increase, which creates a non-linear age-variance profile of income. This paper also uses structural estimation of a precautionary savings life cycle model to demonstrate that the nonlinearity in the income process is crucial for understanding the evolution of the consumption inequalities over age.

2006年7月6日（木 Thursday）16:30-17:30    ※都市経済ワークショップと共催

東京大学大学院経済学研究科棟 新棟12階 第1共同研究室
at the Conference Room No.1 on the 12th floor of New Economics Building.

Pierre-Philippe Combes (University of Aix-Marseille)

Spatial Wage Disparities: Sorting Matters! (with Gilles Duranton and Laurent Gobillon)

Spatial wage disparities can result from spatial differences in the skill composition of the workforce, in non-human endowments, and in local interactions. To distinguish between these explanations, we estimate a model of wage determination across local labour markets using a very large panel of French workers. We control for worker characteristics, worker fixed effects, industry fixed effects, and the characteristics of the local labour market. Our findings suggest that individual skills account for a large fraction of existing spatial wage disparities with strong evidence of spatial sorting by skills. Interaction effects are mostly driven by the local density of employment. Not controlling for worker heterogeneity leads to very biased estimates of interaction effects. Endowments only appear to play a small role.

2006年7月6日（木 Thursday）17:30-18:30   ※都市経済ワークショップと共催

東京大学大学院経済学研究科棟 新棟12階 第1共同研究室
at the Conference Room No.1 on the 12th floor of New Economics Building.

Thierry Mayer (Universite de Paris Sud)
Regional Wage and Employment Responses to Market Potential in the EU (with Keith Head)

Recent theoretical work on economic geography emphasizes the interplay of transport costs and plant-level increasing returns. In these models, the spatial distribution of demand is a key determinant of economic outcomes. In one strand, it is argued that higher demand gives rise to a more than proportionate increase in production, a result known as the home market effect. Another strand emphasizes the effects of market sizes on factor prices. We highlight the theoretical connection between these two strands. Using data on 57 European regions, we show how wages and employment respond to differentials in what we call real market potential, a discounted sum of demands derived from the theory.

2006年7月13日（木 Thursday） 12:00-13:10 *Macro Brown Bag Seminar

Yoshiaki Sugimoto (Osaka University)

Endogenous Globalization and Income Divergence [PDF]

This paper develops a growth theory that accounts for the evolution of trade policy, underlying internal class conflicts, and global income divergence over the last few centuries. By analyzing political responses to the distributional effects of international trade, this paper finds a prominent interaction between trade policy and the pattern of economic development, and suggests that the nature of the interaction depends on a country’s resource abundance and distribution. As shown by the example of Western Europe, land-scarce countries will reach a developed stage through a non-monotonic evolution of trade policy. In contrast, land-abundant countries, especially those with concentrated landownership, tend to fail to take off because of landlords’ opposition to industrialization.

2006年7月13日（木 Thursday） 16:50-18:30

Katsuya Takii (Osaka University)

The Persistence of Differences in Productivity, Wages, Skill Mix and Profits Across Firms[PDF]

2006年7月14日（金 Friday） 12:00-13:10 *Macro Brown Bag Seminar,、金融センターワークショップと共催

Joseph Fan (The Chinese University of Hong Kong)

Rent Seeking and Corporate Finance:  Evidence from Corruption (joint with Oliver Meng Rui, and Mengxin Zhao) [PDF]

This study investigates the impact of political rent seeking on corporate financing behaviors in China-a country plagued by corruption problems and high corporate sector debt Based on 23 high level government officer corruption cases, we identify a set of publicly traded companies whose senior managers engage in bribing the corrupt bureaucrats or are connected with the bureaucrats through prior job affiliations. We report significant decline in these companies' leverage and debt maturity ratios relative to other unconnected firms subsequent to the arrest of the bureaucrats. These relations persist even if we only focus on the connected firms that are not involved in the corruption cases. This suggests that the weakened debt financing strength of the companies is not only attributable to the corruption cases per se, but also due to the lost connections with the bureaucrats. Our event study reveals that the relative decline in firm leverage are associated with negative stock market effects around the corruption events, reflecting the weakened financing capacity resulting from the lost political connections. An analysis of long-term performance corroborates this relation. We also examine a possibility that the rent seekers are efficient firms and hence corruption does not result in capital misallocation, but we fail to find such evidence. This study's overall evidence highlight the importance of rent seeking in firm behaviors, and support recent cross-country studies' findings that country-level institutional factors matter to corporate financing choices.

2006年7月20日（木 Thursday） 16:50-18:30　 *金融センターワークショップと共催

Mototsugu Shintani (Vanderbilt University)

Menu Costs and Markov Inflation:  A Theoretical Revision with New Evidence (joint with Christian Ahlin)  [PDF]

2006年8月9日（水 Wednesday） 12:00-13:10 *Macro Brown Bag Seminar

Simon Gilchrist (Boston University)

Investment During the Korean Financial Crisis:  the Role of Foreign-Denominated Debt (joint with Jae Sim) [PDF]

Without capital market imperfections, the capital structure of a firm, including the size, the maturity and the currency composition of debts, should not matter for investment decisions. The Asian financial crises provide a good opportunity to test this hypothesis. We approach the problem in two ways: First, we apply a conventional reduced-form analysis to a panel data of Korean manufacturing firms, arguing that the devaluation that occurred during the crisis provides a natural experiment in which to assess the effect of balance sheet shocks to investment. Second, we use indirect inference to estimate a structural dynamic programming problem of a firm with foreign debts and financial constraints. Both reduced-form evidence and structural parameter estimates imply an important role for finance in investment at the firm level. Counterfactual simulations imply that the effect of foreign denominated debt for investment spending may account for up to 50% of the drop in investment during the crisis period.

2006年9月11日（月 Monday） 11:50-13:00 *Macro Brown Bag Seminar

Gauti Eggertsson (Federal Reserve Bank of New York)

Was the New Deal Contractionary?  [PDF]

Can government policies that increase the monopoly power of ?rms and the militancy of unions increase output? This paper studies this question in a dynamic general equilibrium model with nominal frictions and shows that these policies are expansionary when certain “emergency" conditions apply. I argue that these "emergency" conditions were satis?ed during the Great Depression in the United States. This implies that the notorious National Industrial Recovery Act (NIRA), a policy installed by Franklin Delano Roosevelt in 1933 as part of the New Deal, was expansionary. This conclusion is contrary to the one reached by Cole and Ohanian (2004) that argue that the New Deal was contractionary. Unlike Cole and Ohanian I assume nominal fricitions, de?ationary shocks and a zero bound on the short-term nominal interest rate that prevents the central bank from being able to accomodate the de?ationary shocks.

2006年9月19日（火 Tuesday） 12:00-13:10 *Macro Brown Bag Seminar

Mark M. Spiegel (Federal Reserve Bank of San Francisco)

Non-Economic Engagement and International Exchange: The Case of Environmental Treatiese (joint with Andy Rose)[PDF]

We examine the role of non-economic partnerships in promoting international economic exchange.  Since far-sighted countries are more willing to join costly international partnerships such as environmental treaties, environmental engagement tends to encourage international lending.  Countries with such non-economic partnerships also find it easier to engage in economic exchanges since they face the possibility that debt default might also spill over to hinder their non-economic relationships.  We present a theoretical model of these ideas, and then verify their empirical importance using a bilateral cross-section of data on international cross-holdings of assets and environmental treaties.  Our results support the notion that international environmental cooperation facilitates economic exchange.

2006年9月20日（水 Wednesday） 16:50-18:30

Kiminori Matsuyama (Northwestern University)

Beyond Icebergs: Toward A Theory of Biased Globalization [PDF]

In contrast to domestic trade, international trade inherently requires more intensive use of skilled labor with expertise in areas such as international business, language skills, and maritime insurance, and the transoceanic transportation is more capital intensive than the local transportation.  In the presence of such bias in factor demands, globalization caused by an improvement in the export technologies can lead to a world-wide increase in the relative prices of the factors used intensively in international trade.  Furthermore, a world-wide increase in the factors used intensively in international trade can lead to globalization.  To capture these effects, we develop a flexible approach to model costly international trade, which includes the standard iceberg approach as a special case.  More specifically, we extend the Ricardian model of trade with a continuum of goods (Dornbusch, Fischer and Samuelson, 1977) by introducing multiple factors of production and by making technologies of supplying goods depend on whether the destination is home or abroad.  If the technologies of supplying the same good to the two destinations differ only in total factor productivity, the model becomes isomorphic to the DFS Ricardian model with the iceberg cost.  By allowing the two technologies to differ in the factor intensities, our approach enables us to examine the links between factor endowments, factor prices and globalization that cannot be captured by the iceberg approach.

2006年9月28日（木 Thursday）13:00-14:10 ※TIME CHANGED、時間帯に注意　*Macro Brown Bag Seminar

Douglas Joines (University of Southern California)

How Non- Ricardian is the Life-Cycle Model? [PDF]

This paper provides a quantitative analysis of the economic effects of public debt in a pure life-cycle economy. The effects on observable quantities are invariably small in cases where the change in the debt is accompanied by a change in lump-sum taxes and transfers. This is true of both the impact and long-run effects. A perm anent increase in the debt can lead to a nontrivial long-run reduction in the welfare, however. A change in the debt accompanied by changes in either government purchases or distorting tax rates can significantly alter economic behavior, but even these effects can be small depending on the exact nature of the tax change. Taken together, the results suggest that if Ricardian Equivalence fails empirically, it does so not because of the finite horizons implied by the life-cycle model but because of more fundamental reasons.

2006年10月10日（火 Tuesday） 12:00-13:10 *Macro Brown Bag Seminar

S. Ghon Rhee (University of Hawai'i)

Return Reversals, Idiosyncratic Risk, and Expected Returns [paper] [table]

In sharp contrast to the findings of previous literature, Ang et al. (2006a) document a negative intertemporal relation between idiosyncratic risk and stock returns. We examine what causes this puzzling relation. We find that this negative relation is driven by monthly stock return reversals. Both time series and cross- sectional regressions confirm that no significant relation exists between exante idiosyncratic risk and expected returns once we control for return reversals.

2006年10月10日（火 Tuesday）16:50-18:30 *ミクロワークショップと共催

東京大学大学院経済学研究科棟 新棟3階 第3教室
at the Lecture Hall No.3 on the 3rd floor of the New Economics Building

Giacomo Corneo（Free University Berlin）

An Economic Theory of Symbolic Values [paper1] [paper2]

2006年10月12日（木 Thursday） 16:50-18:30

Julen Esteban-Pretel (University of Tokyo)

2006年10月18日（水 Wednesday） 12:00-13:10 *Macro Brown Bag Seminar

Richard Dennis(Federal Reserve Bank of San Francisco)

The Frequency of Price Adjustment and New Keynesian Business Cycle Dynamics  [PDF]

The Calvo Pricing model that lies at the heart of many New Keynesian business cycle models has been roundly criticized for being inconsistent both with time series data no inflation and with micro-data on the frequency of price changes. In this paper, we show that a modified version of the Gali and Gertler (1999) model, which allows for ”rule-of-thumb” prices setters, and whose structure can be interpreted in terms of menu costs and information gathering/processing costs, largely resolves both criticisms. Moreover, the resulting Phillips curve shares the explanatory power of the partial-indexation model and dominates the full-indexation model and the Calvo model. Estimating a small-scale New Keynesian business cycle model, our results indicate that the share of firms that change prices each quarter is just over 60 percent, broadly in line with the Bils and Klenow (2004) study of Bureau of Labor Statistics price data. Reflecting the importance of information gathering/processing costs, we find that most firms that change prices are rule-of-thumb price setters. Finally, compared to specification containing either the Calvo model or the full-indexation model, the data provide much greater support for the Gali-Gertler model.

2006年10月19日（木 Thursday） 16:50-18:30

Keisuke Otsu (Bank of Japan) *金融センターワークショップと共催

A Neoclassical Analysis of The Korean Crisis [PDF]

In late 1997, Korea experienced a huge and unusual economic crisis. Three main features of this crisis are that output fell suddenly, output recovered rapidly, and consumption fell even more than output did. There is a large body of literature that explains the Korean crisis in terms of financial and monetary variables such as bankruptcies and exchange rates whereas this paper focuses on the fluctuation of real macroeconomic variables such as real GDP and consumption. A variation of the neoclassical model can quantitatively account for the crisis taking productivity and real interest rate shocks as exogenous.

2006年10月26日（木 Thursday） 16:50-18:30

Byeongju Jeong (Charles University)

Intergenerational Bargaining in Technology Adoption [PDF] [PDF2]

I study the society-wide choice of technology adoption in an environment where human capital is transmitted from the old to the young generation but the young generation can opt out for experimenting with the society-sanctioned technology. The adoption of new technology raises the return from experiment and thereby benefits the young and future generations while the old generation loses due to the depreciation in the market value of existing human capital. The choice of technology adoption is made in each period in an inter-generational bargaining. Bargaining is efficient: new technology is adopted if and only if it raises the joint-utility of the current old and young generations. Since technology adoption benefits future generations, there is an inherent bias toward preserving current technology. I examine two variations of the environment, exogenous and endogenous technological change. In the former, new technology expands continuously, raising the value of experiment. Conservation of current technology is not sustainable and new technology is adopted at all times. In the latter, new technology is a fixed expansion of the current technology. This implies that conserving the current technology permanently reduces the value of experiment for the future generations. Conservation of current technology is sustainable if the fraction of old generation who would lose from adopting new technology is large enough. As of now, I have made an (incomplete) attempt at modeling these ideas. The eventual goal is to use the model in understanding the medium to long-term growh episodes such as transition countries in the 1990’s, the aftermath of the Asian debt crisis in late 1990’s, and the stagnation of old civilizations such as China after the Sung Dynasty period.

2006年10月31日（火 Tuesday） 12:00-13:10 *Macro Brown Bag Seminar

Josep Pijoan-Mas (Centro de Estudios Monetarios y Financieros)

The Effects of Labor Market Conditions on Working Time: A Look at the US-EU Experience(joint with Claudio Michelacci) [PDF]

Individuals often decide to work longer hours to increase future as well as current income. By working longer hours they acquire greater skills, and can obtain better jobs. In a market with search frictions, several features of the labor market can then influence the decision on working time. We show that a higher probability of becoming unemployed, a longer duration of unemployment, and in general a less tight labor market discourage working time. Wage inequality gives instead incentives to work longer hours. We argue that the dfferent evolution of labor market conditions in the US and in Continental Europe over the last three decades can explain a substantial part of the diverging evolution of the number of hours worked per employee across the two sides of the Atlantic. It can also explain why the fraction of prime age male workers working very long hours has remained stable in Europe while it has increased substantially in the US.

2006年11月1日（水 Wednesday） 12:00-13:10 *Macro Brown Bag Seminar

Javier Diaz Gimenez ( Universidad Carlos III de Madrid, Spain)

Flat Tax Reforms in the U.S.: A Boon for the Income Poor [PDF]

We use a version of the neoclassical growth model economy to evaluate two revenue neutral flat-tax reforms. In the less progressive flat-tax reform the households face a 22 percent integrated flat tax and a labor income tax exemption of $16,000 per household. In the more progressive flat-tax reform the flat-tax rate is 29 percent and the labor income tax exemption is $32,000 per household. The households in our economy have identical preferences, they are altruistic towards their descendants and they go through the life cycle stages of working-age and retirement. The benchmark model economy replicates the main features of the current U.S. tax and transfer systems, and it accounts for the main aggregate and distributional features of the U.S. economy in very much detail. We find that both reforms result in a significant increase in wealth inequality. We also find that while the less progressive reform is expansionary (output increases by 2.4 percent), the less progressive reform is contractionary (output decreases by 2.6 percent). On the other hand, while the less progressive tax reform results in a more unequal distribution of income after taxes (its Gini index increases from 0.510 in the benchmark model economy to 0.524), the more progressive tax reform is significantly more egalitarian (the Gini index of its after-tax income distribution is only 0.497). Finally, we compute the steady-state welfare costs of the reforms and we find that equality wins the trade-off: in the less progressive reform aggregate welfare falls by -0.17 percent of consumption, and in the more progressive reform it increases by +0.45 percent of consumption. Both flat-tax reforms result in significant boons for the income poor who pay less income taxes and obtain sizeable welfare gains.

2006年11月9日（木 Thursday） 12:00-13:10 *Macro Brown Bag Seminar

Takayuki Tsuruga (Bank of Japan)

Do Sticky Prices Need to Be Replaced with Sticky Information? [PDF]

A first generation of research found it difficult to reconcile observed inflation and cyclical output with the fixed price mechanism. Since then, researchers have been divided roughly into two camps. The first camp argues that the original mechanism is largely successful once cyclical output is replaced with labor's share. The second camp argues for a wholesale replacement of fixed prices, e.g., with 'sticky information.' We take up the question by estimating a 'dual stickiness' model that integrates sticky prices and information. We find that both rigidities are present in aggregate U.S. data. Thus, sticky information cannot replace sticky prices. Our dual stickiness model performs comparably to the hybrid sticky price model, which allows for a fraction of backward-looking firms. In particular, the hybrid model's backward-looking behavior arises endogenously under dual stickiness. As such, the dual stickiness model (with an estimated seven month average information delay) may provide more plausible microeconomic foundations.

2006年11月16日（木 Thursday） 16:50-18:30 *金融センターワークショップと共催

Takeshi Kimura (Bank of Japan)

Learning about Perceived Inflation Target and Stabilisation Policy [paper] [slide]

We analyse the interaction between the imperfect credibility (or uncertainty) regarding inflation target and Central Bank’s stabilisation policy. We consider a model in which private sector is uncertain about the bank’s inflation target and update their perceived inflation target. Furthermore, we assume that the bank cannot observe the perceived inflation target as well as fundamental economic shocks, and has to estimate them. We show that the degree of data uncertainty is endogenously determinedbythe credibility problem.Asa result,thevolatilityand persistenceof in?ation become smaller as the inflation target becomes more credible.

2006年11月30日（木 Thursday） 16:50-18:30

Giovanni L. Violante (New York University)

Standard search and matching models of equilibrium unemployment, once properly calibrated, can generate only a small amount of frictional wage dispersion, i.e., wage differentials among ex-ante similar workers induced purely by search frictions. We derive this result for a specific measure of wage dispersion - the ratio between the average wage and the lowest (reservation) wage paid. We show that in a large class of search and matching models this statistic (the “mean-min ratio”) can be obtained in closed form as a function of observable variables (i.e., interest rate, value of leisure, and statistics of labor market turnover). Looking at various independent data sources suggests that, empirically, residual wage dispersion (i.e., inequality among observationally similar workers) exceeds the model’s prediction by a factor of 20. We discuss three extensions of the model (risk aversion, volatile wages during employment, and on-the-job search) and find that, in their simplest version, they can improve its performance, but only modestly. We conclude that either frictions account for a tiny fraction of residual wage dispersion, or the standard model needs to be augmented to confront the data.

2006年12月6日（水Wednesday） 12:00-13:10 *Macro Brown Bag Seminar

Kozo Ueda (Bank of Japan), Tomohiro Sugo (Bank of Japan)

Estimating a DSGE Model for Japan: Evaluating and Modifying a CEE/SW/LOWW  Model [paper] [slide]

We estimate a middle-scale DSGE model of the Japanese economy following Christiano, Eichenbaum and Evans (2005), Smets and Wouters (2003) and Levin et al. (2005). By using actual capital utilization data and modifying the formalization of utilization following Greenwood et al. (1988), this paper succeeds in incorporating a negative correlation between capital utilization and rental costs to explain actual capital utilization rates. We find that Japanese business cycles are driven largely by an investment adjustment cost shock in the short run while a productivity shock is a dominant driving force in the long run. We also find a hump-shaped and persistent behavior of inflation rates in response to a monetary policy shock, which CEE doubt about.

2006年12月7日（木 Thursday） 16:50-18:30

Kwanho Shin (Korea University)

We investigate how the exchange rate regime influences economic linkages between countries. We divide the exchange rate regime into three classifications: currency union, peg and floating exchange rates. Unlike most studies that solely focus on the relationship between anchor and client countries, we infer the exchange rate regime between any two countries based on their relationship to the common anchor currency. Then we empirically explore how the various exchange rate regimes impact on bilateral trade, output co-movement and risk sharing. The extent of risk sharing is measured by consumption co-movement relative to output co-movement. We find that while currency union has the greatest effect, the peg regime also significantly boosts trade. We also find that while the peg regime contributes to both output and consumption co-movements, currency union strengthens only consumption co-movement and possibly lowers output co-movement. We interpret these findings to indicate that currency union, the strictest form of pegged regimes, leads to higher industry specialization and better risk sharing opportunities than the less strict peg regime.

2007年1月10日（水 Wednesday） 12:00-13:10 *Macro Brown Bag Seminar, ミクロワークショップと共催

Donghoon Lee(New York University)

2007年1月18日（木 Thursday） 12:00-13:20

Yoshinori Kurokawa (University of Minnesota)

Trade and Variety-Skill Complementarity:A Simple Theoretical Resolution of Trade-Wage Inequality Anomaly [PDF]

The Stolper-Samuelson theorem predicts that the relative wage of high-skilled labor will increase in the high-skill abundant U.S. but decrease in low-skill abundant Mexico after trade liberalization, while data show that the skill premium began to rise in both countries in the late 1980s. This paper presents a simple theoretical resolution of this “trade-wage inequality anomaly.” The resolution is a straightforward application of well-known variety trade models. Intra-industry trade increases the variety of intermediate goods used by the final good. If the varieties and high skill are complements, the skill premium rises in both countries. This linking of intra-industry trade to wage inequality is consistent with evidence. Our numerical experiments show that increased intra-industry trade can account for much of the increase in U.S. and Mexican skill premium for a reasonable parameterization of the model.

2007年1月29日（月 Monday） 12:00-13:10 *Macro Brown Bag Seminar

Takeo Hoshi (University of California, San Diego)

Zombie Lending and Depressed Restructuring in Japan (joint with Ricard J. Caballero and Anil K. Kashyap) [PDF]

In this paper, we propose a bank-based explanation for the decade-long Japanese slowdown following the asset price collapse in the early 1990s.  We start with the well-known observation that most large Japanese banks were only able to comply with capital standards because regulators were lax in their inspections.  To facilitate this forbearance the banks often engaged in sham loan restructurings that kept credit flowing to otherwise insolvent borrowers (that we call zombies). Thus, the normal competitive outcome whereby the zombies would shed workers and lose market share was thwarted. Our model highlights the restructuring implications of the zombie problem.  The counterpart of the congestion created by the zombies is a reduction of the profits for healthy firms, which discourages their entry and investment.  In this context, even solvent banks will not find good lending opportunities. We confirm our story’s key predictions that zombie-dominated industries exhibit more depressed job creation and destruction, and lower productivity. We present firm-level regressions showing that the increase in zombies depressed the investment and employment growth of non-zombies and widened the productivity gap between zombies and non-zombies.   

2007年1月30日（火 Tuesday） 12:00-13:20

Sagiri Kitao (New York University)

Health Insurance and Tax Policy (joint with Karsten Jeske) [PDF]

The U.S. tax policy on health insurance favors only those offered group insurance through their employers, and is regressive since the subsidy takes the form of deductions from the progressive income tax system. The paper investigates alternatives to the current policy within a framework of a dynamic general equilibrium model. We find that despite the issues about the current policy, a complete removal of the subsidy results in a partial collapse of the group insurance market and a significant reduction in the insurance coverage, negatively affecting the welfare of many. There is, however, room for raising the coverage and significantly improving welfare by extending refundable credits to the individual insurance market. Our work is the first in highlighting the importance of studying the tax policy associated with health insurance in a general equilibrium framework with an endogenous demand for the insurance. We use the Medical Expenditure Panel Survey (MEPS) to calibrate the process for income, health expenditure shocks and health insurance offer status through employers and succeed in producing the pattern of insurance demand as observed in the data, which serves as a solid benchmark for the policy experiments.

2007年2月2日（金Friday） 12：00-13：10 *Macro Brown Bag Seminar

Roger E. A. Farmer (UCLA)

Old Keynesian Economics [PDF]

I provide an outline of how a modern theory of search, modelled by a two-sided matching function, can be used to form a microfoundation to Keynesian economics. This search theory of the labor market has one less equation than unknown and, when combined with the idea that investment is driven exogenously by ‘animal spirits,’ the marriage leads to a microfounded theory of business cycles. This alternative theory has very different implications from the standard interpretations of Keynes that has become enshrined in new-Keynesian economics. I call the alternative, ‘old-Keynesian economics’ and I show that it leads to a model with multiple belief driven steady states.

2007年2月6日（火 Tuesday） 16：50-18：20 *ミクロワークショップと共催

Shintaro Yamaguchi (McMaster University)

Job Search, Bargaining, and Wage Dynamics [PDF]

What are the sources of rapid wage growth during a worker'searly career? To address this question,I constructand estimate a modelof strategic wage bargaining with on-the-job search to explore three different components of wages: general human capital, match-specific capital, and outside option.Workers search for alternative job opportunities on the job and accumulate human capital through learning-by-doing.As the workers find better job opportunities, the current employer has to compete with outside firms to retain them. This between-firm competition improves the outside option value of the worker, which results in wage growth on the job even when productivity remains the same. The modelis estimated by a simulated minimum distance estimator and data from the NLSY 79. The parameter estimates are used to simulate counterfactuals. The results indicate that the improved value of outside option raises wages of ten-year-experienced workers by 13%, which accounts for about a quarter of the wage growth during the first ten years of career. I also find that human capital accumulation affects wage profile not only because it directly changes labor productivity, but also because it altersjob search behavior due to low future productivity.

2007年2月8日（木 Thursday） 16:50-18:30   *ミクロワークショップと共催

Daiji Kawaguchi (Hitotsubashi University)

Diverging economic inequality has become a common focus of economic debate in developed countries. In particular, the recent experience of Japan has started attracting international attention. We take advantage of a rich micro-level data set from the Basic Survey on Wage Structure (1989-2003) to perform an in-depth analysis of the change in the inequality and distribution of the hourly wage. We observe that lower returns to education and years of tenure contribute to diminishing income disparity between groups for both sexes. A larger variance within a group contributes to the wage disparity for males, while an increased heterogeneity of workers’ attributes contributes to the wage disparity for females. The Dinardo, Fortin, and Lemieux decomposition also confirms the basic findings from a parametric variance decomposition.

2007年2月15日（木 Thursday） 12：00-13：30 *ミクロワークショップと共催

Emiko Usui (Wayne State University)

Gender Occupational Segregation in an Equilibrium Search Model [PDF]

This paper studies an equilibrium search model in which jobs are differentiated on both salary and working hours, and men and women have different preferences for hours. In particular, the marginal disutility of an additional work hour is higher for women than for men. Employers have different production technologies, and they post a tied salary/hours offer that maximizes their steady-state profit (or utility) flow. Even without the presence of discrimination, women crowd into short-hour, lower-paying jobs, whereas men are in long-hour, higher-paying jobs. There are fewer women on the job when employers have a taste for discrimination against women, since these employers make their job offer less appealing to women by requiring more working hours. On the other hand, when women have a disamenity value to working on a job, women choose not to work in that job because of a loss in utility. The prediction on segregation is similar to the case with employer discrimination.

2007年2月23日（金 Friday） 12:00-13:20 *Macro Brown Bag Seminar

Takayuki Tsuruga (Bank of Japan)

The hump-shaped behavior of inflation and a dynamic externality

We propose a general equilibrium model that explains the empirical evidence of the hump-shaped response of inflation to a monetary policy shock. The model replaces backward-looking indexation a la Christiano et al. ［2005.Nominal rigidities and the dynamic effect of a shock to monetary policy. Journal of Political Economy 113(1), 1-45］ with a dynamic externality into the production function of firms. The model, armed with sticky wages and variable capital utilization, has two offsetting effects on real marginal cost over the business cycle. First, increasing factor prices raise real marginal cost in response to an expansionary monetary policy shock in the intermediate run. Second, a dynamic externality reduces real marginal cost in the short run because it raises productivity in response to an increase in output following the shock. Overall, the resulting short-run decrease and intermediate-run increase in marginal cost replicate the hump-shaped behavior of inflation under purely forward-looking price and wage Phillips curves.

2007年2月27日（火 Tuesday） 16:50-18:30 *ミクロワークショップと共催

Ryo Nakajima (University of Tsukuba)

Dynamics of R&D Collaboration in IT Industry (joint with Nobuyuki Hanaki and Yoshiaki Ogura) [PDF]

This paper provides an empirical analysis of evolving networks of successful R&D collaborations in the IT industry in the United States between 1985 and 1995. We first show that the network has become more extensive, more clustered, and more unequal in the sense “stars” have emerged in the network. We then perform regression analysis in which we control for firm similarity, including unobserved similarities that we infer from the community structure of the network. The results indicate significant triadic closure as well as preferntial attachment biases.

2007年3月14日（水 Wednesday） 12:00-13:10 *Macro Brown Bag Seminar

Simon Gilchrist(Boston University & NBER)

Interest Rates and Investment Redux [PDF]

The well-documented empirical difficulties associated with estimating the effects of changes in interest rates and corporate tax policy on business fixed investment are often blamed on a lack of identification. In this paper, we study the effect of variation in interest ratesoninvestment spending, employing a large panel data set that links yields on outstanding corporate bonds to the issuer income and balance sheet statements. The bond price data-based on trades in the secondary market-enable us to construct a firm-specific measure of the user cost of capital based on the marginal cost of external finance as determined in the market for long-term corporate debt. Our results imply a robust and quantitatively important effect of the user cost of capital on the firm-level investment decisions. According to our estimates, a one-percentage-point increase in the user cost of capital is associated with the reduction in the average rate of capital spending between 100 to 125 basis points.

2007年3月19日（月 Monday） 12:00-13:10 *Macro Brown Bag Seminar

Kosuke Aoki (London School of Economics)

Adjusting to Capital Account Liberalisation (with Kiyotaki and Benigno) [PDF]

We study theoretically how an economy adjusts to liberalization of international financial transaction. We consider an economy in which debtors do not repay unless the debts are secured by collateral, and collateralizable assets for international borrowing are more restricted than domestic borrowing. We examine how the adjustment to capital liberalization depends upon the domestic and international collateral constraints. We show that, with an intermediate level of domestic collateral constraint, capital liberalization leads to capital outflow, improvement of TFP, and transitional loss of wage and employment. Government policy can mitigate the loss of workers at the cost of prolonging the transition, but cannot eliminate the loss without halting the transition.

2007年3月26日（月 Monday） 12:00-13:10　※SCHEDULE CHANGED※　*Macro Brown Bag Seminar

Felix Reichling (Stanford University)

Optimal Unemployment Insurance in Labor Market Equilibrium whenWorkers Can Self-Insure [PDF]

I develop an equilibrium matching model in which workers have preferences over consumption and hours of work and are able to self-insure against unemployment risks by　accumulating　precautionary　wealth.Wages and working hours are the outcomes of Nash bargaining between workers and firms. I focus on an unemployment insurance (UI) system with constant benefits of indefinite duration financed through a constant labor income tax. Low-wealth individuals work unusually long hours to quickly accumulate precautionary wealth. The Frisch elasticity of labor supply governs a worker’s utility cost of supplying labor and hence the cost of accumulating precautionary wealth. Alower elasticity implies a higher utility cost of adjusting hours.Itake Frisch elasticities from recent research using household data and find that the optimal level of UI benefits is between 34 and 40 percent of average compensation. The potential welfare gains from moving from current 34 percent to the optimal policy are as large as 0.13 percent of lifetime consumption. The optimal replacement rate is decreasing in the Frisch elasticity of labor supply.

※ 2007年1-2月　修士論文報告会 Master's Thesis Presentations

下記の期日までにセンター研究支援室の田中まで発表論文のファイルを送るかハードコピーをセンター研究支援室（経済学研究科棟７階７０９号室）までご持参下さい。提出されたファイルはすぐに印刷にまわしてしまいますので、その後の差し替えがないよう、最終稿を１度だけ提出してください。 期限内に届いたものについては当日配布用印刷物を用意いたしますが、間に合わない場合やその後の差し替えについては、当日ご自分で１５部ほどコピーをご持参下さい。期限内に提出されなかった場合は、印刷を受け付けられませんのでご注意ください。

※　印刷物は発表が始まる迄にご用意致しますので、発表直前にセンター研究支援室へお立寄りいただき、各自で会場までお持ち下さい。

発表論文提出期限：

1月11日（木）発表者＝1月  9日（火）17:00（必着）まで

1月18日（木）発表者＝1月16日（火）17:00（必着）まで

1月25日（木）発表者＝1月23日（火）17:00（必着）まで

2月  1日（木）発表者＝1月30日（火）17:00（必着）まで

2007年1月11日（木 Thursday） 16:50-17:30 

辻山仁志 (Readers: Braun, Esteban-Pretel)

Consumption behavior at the retirement age

2007年1月11日（木 Thursday） 17:30-18:10 

中山健佑 (Readers: Iwamoto, Ihori)

年金制度と財政

2007年1月18日（木 Thursday） 16:50-17:30 

能勢咲耶 (Readers: Sawada, Ichimura)

Risk-sharing behavior in rural Vietnam attacked by Avian Influenza

2007年1月18日（木 Thursday） 17:30-18:10 

菅史彦 (Readers: Ichimura, Sawada)

消費の構造パラメータの推定と貯蓄行動の分析

2007年1月18日（木 Thursday） 18:10-18:50 

安齋裕子 (Readers: Fukuda, Sawada)

発展途上国に対する海外直接投資と政府開発援助の効果の実証研究：期間による効果の違いはあるのかどうか？

2007年1月18日（木 Thursday） 18:50-19:30 

田中和氏 (Readers: Iwamoto, Kanemoto)

地域経済の発展と交通インフラ整備について

2007年1月25日（木 Thursday） 16:50-17:30 

田中祐輔 (Readers: Iwai, Yoshikawa)

Ｍ＆Ａ前後における企業のパフォーマンスについての実証分析

2007年1月25日（木 Thursday） 17:30-18:10 

田中茉莉子 (Readers: Iwai, Yoshikawa)

Cheap talk in Monetary Circulation

2007年1月25日（木 Thursday） 18:10-18:50 

紺野友彦 (Readers: Yoshikawa, Iwai)

The fundamental framework of Network Economics:Application of Statistical Mechanics

2007年1月25日（木 Thursday） 18:50-19:30 

田村正興 (Readers: Yoshikawa, Iwai)

Measuring Quality Change and Spread of New Goods

2007年2月1日（木 Thursday） 16:50-17:30 

小清水直和 (Readers: Yoshikawa, Fukuda)

Macroeconomic Consequence of Non-performing Loans

2007年2月1日（木 Thursday） 17:30-18:10 

三田村洋和 (Readers: Fukuda Takatoshi Ito)

日本における「物価パズル」

2007年2月1日（木 Thursday） 18:10-18:50 

宮本亘 (Readers: Fukuda, Takatoshi Ito)

価格の粘着性と共有知識の欠如−金融政策の効果に関する分析

2007年2月1日（木 Thursday） 18:50-19:30 

尹瑞英 (Readers: Ueda, Takatoshi Ito)

What made South Korea experience "plastic bubble" in 2003?