Workshops

Macroeconomics Workshop 2008

財団法人東京経済研究センター(TCER)と、日本経済国際共同研究センター(CIRJE)の共催ワークショップ

※ 2009年3月30日現在の予定です。

 

 

本年度終了分:

日時

2008年4月10日(木 Thursday) 16:50-18:30

金融センター・ワークショップと共催

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

James M. Nason (Federal Reserve Bank of Atlanta)

Exchange Rates and Fundamentals: A Generalization (joint with John H. Rogers) [PDF]

Abstract

 Exchange rates have raised the ire of economists for more than 20 years. The problem is that few, if any, exchange rate models are known to systematically beat a naive random walk in out of sample forecasts. Engel and West (2005) show that these failures can be explained by the present value model (PVM) because it predicts random walk exchange rate dynamics if the discount factor approaches one and fundamentals have a unit root. This paper broadens and generalizes the Engel and West (EW) hypothesis. We use standard time series tools to broaden analysis of the PVM. For example, our analysis exploits a common feature implication of the PVM and a discount near unity to show that the exchange rate follows a random walk. A PVM of the exchange rate is also constructed from an open economy dynamic stochastic general equilibrium (DSGE) model. The DSGE-PVM predicts that the exchange rate exhibits random walk behavior. Bayesian estimates reveal that the Canadian dollar-U.S. dollar exchange rate is dominated by permanent monetary and productivity shocks as the discount factor becomes close to one. Thus, our results generalize the EW hypothesis to the larger class of open economy DSGE models, while presenting new challenges for future research.

日時

2008年4月18日(金 Friday) 18:00-19:00

*金融政策研究会および金融センター・ワークショップと共催

※日時と場所にご注意ください

場所 東京大学大学院経済学研究科棟 12階 第2共同研究室
in Conference Room No.2 on the 12th floor of the Economics Research Building
報告

Ichiro Muto/武藤一郎(Bank of Japan/日本銀行)

Monetary Policy and Learning from the Central Bank's Forecast [PDF]

Abstract

 

日時

2008年4月24日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

R. Anton Braun(University of Tokyo)

The Quantitative Effects of Monetary Aggregate Targeting in a Zero Interest Rate Environment: Results from Japan (joint with Takemasa Oda) [PDF]

Abstract

  What are the effects of monetary aggregate targeting in a zero nominal interest rate environment? This paper develops a computable overlapping generations model to answer this question. In our model there are two sources of real balance effects: nite lifespans and borrowing constraints. Steady-state results reveal an asymmetry in the welfare costs of alterna- tive monetary policies. A monetary aggregate targeting policy that is too tight has large and negative effects on welfare. A loose monetary ag- gregate targeting policy has much smaller effects on welfare. A dynamic analysis using data from Japan nds that the"quantitative easing"policy reduced deationary pressure. Although the effects of this policy on GNP growth are small, there are important distributional effects. The biggest beneficiaries of this policy are the young who experience an easing in bor- rowing constraints and the old who benefit from lower taxes and higher interest rates. Individuals in other age groups experience consumption losses.

日時

2008年5月15日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Shuhei Aoki/青木周平(University of Tokyo)

A Simple Accounting Framework for the Effect of Resource Misallocation on Aggregate Productivity [PDF]

Abstract

  This paper develops a simple accounting framework that measures the effect of resource misallocation on aggregate productivity. This framework is based on a multi-sector general equilibrium model with sector-specific frictions in the form of taxes on sectoral factor inputs. This framework is flexible for demand side assumptions such as preference and aggregate production function. Moreover, this framework is consistent with that commonly used in productivity analysis. Finally, I apply this framework to measure to what extent resource misallocation affects aggregate productivity and explains the differences in aggregate productivity across developed countries. I find that the effect of resource misallocation is quantitatively large and explains more than 20% of the differences in the aggregate productivity among developed countries.

日時

2008年5月22日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Hafedh Bouakez(HEC Montreal, Canada)

Optimal Pass-Through of Oil Prices [PDF]

Abstract

  In many developing and emerging market economies, governments intervene to limit the degree to which oil-price increases are passed through to domestic fuel prices. This paper investigates whether, and to what extent, this intervention is warranted. It computes the welfare-maximizing level of pass-through of oil prices in an artificial oil-importing economy characterized by nominal price rigidities. We find that, to the extent that monetary policy is capable of stabilizing the economy, government intervention in the oil market should be avoided. On the other hand, when complete stabilization is not attainable, as is the case under CPI inflation targeting, the government can improve social welfare by limiting the degree of pass-through of oil prices. We find, however, that the welfare gain from pursuing such a policy is negligible.

日時

2008年5月29日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Mark Gertler (New York University)

Interpreting Wage Cyclicality of New Hires

Abstract

 

日時

2008年5月30日(金 Friday) 15:00-19:00

*金融政策研究会および金融センター・ワークショップと共催

※日時と場所にご注意ください/!Time and Room Changed!

場所 東京大学大学院経済学研究科棟 6階 大会議室
in Meeting Room on the 6th floor of the Economics Research Building
報告
!Schedule Changed!

1) 15:00-16:15 Christopher Sims(Princeton University)

Discrete and Sticky Behavior From Shannon Information Constraints [PDF]

2) 16:15-17:30 Michael Woodford(Columbia University)

Information Constrained State Dependent Pricing [PDF]

3) 17:45-19:05 Andrew Levin(Federal Reserve Board)

Why are Prices Sticky?

Abstract

 1) The literature applying information-theoretic ideas to economics has so far considered only Gaussian uncertainty. Ex post Gaussian uncertainty can be justified as optimal when the associated optimization problem is linear-quadratic, but the literature has often assumed Gaussian uncertainty even where it cannot be justified as optimal. This paper considers a simple two-period optimal saving problem with a Shannon capacity constraint and non-quadratic utility. It derives an optimal ex post probability density for wealth in two leading cases (log and linear utility) and lays out a general approach for handling other cases numerically. It displays and discusses numerical solutions for other utility functions, and considers the feasibility of extending this paper's approaches to general non-LQ dynamic programming problems. The introduction of the paper discusses approaches that have been taken in the existing literature to applying Shannon capacity to economic modeling, making criticisms and suggesting promising directions for further progress.
2) I present a generalization of the standard (full-information) model of state-dependent pricing in which decisions about when to review a firm's existing price must be made on the basis of imprecise awareness of current market conditions. The imperfect information is endogenized using a variant of the theory of \rational inattention" proposed by Sims (1998, 2003, 2006). This results in a one-parameter family of models, indexed by the cost of information, which nests both the standard state-dependent pricing model and the Calvo model of price adjustment as limiting cases (corresponding to a zero information cost and an unboundedly large information cost respectively). For intermediate levels of the information cost, the model is equivalent to a "generalized Ss model" with a continuous "adjustment hazard" of the kind proposed by Caballero and Engel (1993a, 1993b), but provides an economic motivation for the hazard function and very specific predictions about its form. For moderate levels of the information cost, the Calvo model of price-setting is found to be a fairly accurate approximation to the exact equilibrium dynamics, except in the case of (infrequent) large shocks.

日時

2008年6月5日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Yuuki Teranishi (Bank of Japan)

Optimal Monetary Policy under Heterogeneous Banks (joint with Nao Sudo) [PDF]

Abstract

 We introduce the heterogeneous stickinesses in loan interest rate adjustments, which is supported by VAR analysis in developed countries, into the standard New Keynesian model with bank sector. The welfare analysis reveals that the central bank should be care of the interest rate di?erence, i.e. credit spread, between heterogeneous loan interest rates as well as change of each loan interest rate. Moreover, the central bank puts its priority to the loan interest rate with more stickiness rather than a weighted average of loan interest rate to achieve the optimal monetary policy. This result holds even under very low share of more sticky loan.

日時

2008年6月9日(月 Monday)12:00-13:10 *Macro Brown Bag Seminar

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

Oded Galor(Brown University)

Diversity and Comparative Development [paper 1] [paper 2]

Abstract

  1) Cultural Assimilation, Cultural Diffusion and the Origin of the Wealth of Nations

This research argues that variations in the interplay between cultural assimilation and cultural diffusion have played a significant role in giving rise to differential patterns of economic development across the globe. Societies that were geographically less vulnerable to cultural diffusion, benefited from enhanced assimilation, lower cultural diversity and, thus, more intense accumulation of society-specific human capital, enabling them to flourish in the technological paradigm that characterized the agricultural stage of development. The lack of cultural diffusion and its manifestation in cultural rigidity, however, diminished the ability of these societies to adapt to a new technological paradigm, which delayed their industrialization and, thereby, their take-off to a state of sustained economic growth. The theory contributes to the understanding of the advent of divergence and overtaking in the process of long-run development, attributing the dominance of some societies within a given technological regime to a superior operation of cultural assimilation, while the success of others in the switch between technological regimes to a higher frequency of cultural diffusion and the beneficial effect of diversity on the adaptability of society to a changing technological environment. Thus, in contrast to the cultural and institutional hypotheses, which posit a hierarchy of cultural and institutional attributes in terms of their conduciveness to innovation and their ability in fostering industrialization, the proposed theory suggests that the desirable degree of the relative prevalence of cultural assimilation versus cultural diffusion varies according to the stage of development. Enhanced cultural assimilation is optimal within a given stage of development, but is detrimental for the transition between technological regimes. Therefore, while cultural traits themselves do not necessarily have a differential effect on the process of development, it is the variation in the relative strengths of the forces of cultural assimilation and cultural diffusion, which together determine the heterogeneity of these traits, that is instrumental for comparative economic development.

  2) Human Genetic Diversity and Comparative Economic Development
This research contributes to the understanding of human genetic diversity within a society as a significant determinant of its economic development. The hypothesis advanced and empirically examined in this paper suggests that there are socioeconomic trade-offs associated with genetic diversity within a given society. The investigation exploits an exogenous source of cross-country variation in genetic diversity by appealing to the "out of Africa" hypothesis of human origins to empirically establish a non-monotonic effect of genetic diversity on development outcomes in the pre-colonial era. Contrary to theories that reject a possible role for human genetics in influencing economic development, this study demonstrates the economic significance of diversity in genetic traits, while abstaining entirely from conceptual frameworks that posit a hierarchy of such traits in terms of their conduciveness to the process of economic development.

日時

2008年6月12日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Charles Ka Yui Leung (the City University of Hong Kong)

Optimal Monetary Policy with Sticky Office Rents (joint with Wing Leong Teo) [PDF]

Abstract

 We argue that nominal rents for at least one form of capital, offices, are at least as rigid as the nominal prices and wages. We build a closed economy NNS model with two types of capital, offices and business capital, in order to investigate how office rent rigidity affects the design of the optimal monetary policy. Our findings suggest that an interest rate rule that reacts only to office rent inflation achieves levels of welfare that are remarkably close to the Ramsey optimal policy. We also find that when both price and wage rigidities exist, an interest rate rule that reacts only to office rent inflation outperforms interest rate rules that react to either price or wage inflation, regardless of whether the office rents are rigid.

日時

2008年6月19日(木 Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Masao Ogaki/大垣昌夫(Ohio State University)

Tough Love and Intergenerational Altruism(joint with Vipul Bhatt) [PDF] [slides]

Abstract

This paper develops and studies a tough love model of intergenerational altruism. We model tough love by modifying the standard altruism model (Barro, Becker 1974) in two ways. First, the child's discount factor is endogenously determined, so that low consumption at young age leads to a higher discount factor later in her life. Second, the parent evaluates the child's life time utility with a constant high discount factor. One of the main findings of the paper is that the comparative static result from a change in an exogenous variable in the tough love model can be obtained by the standard altruism model with a certain parametric configuration. However, this observational equivalence is broken when the child is liquidity constrained and when the child's discount factor changes exogenously. In contrast to the predictions of the standard altruism model that transfers from parents are independent of exogenous changes in the child's discount factor, our tough love model predicts that transfers will fall.

日時

2008年6月26日(木 Thursday) 12:00-13:10 *Macro Brown Bag Seminar

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

Makoto Nakajima(University of Illinois, Urbana-Champaign)

Equilibrium Default and Temptation [PDF]

Abstract

In this paper I quantitatively investigate macroeconomic and welfare implications of the recent consumer bankruptcy law reform using a general equilibrium life-cycle model with unsecured debt and equilibrium default where agents have preferences featuring temptation and self-control problems. The preference used here includes quasi-hyperbolic discounting as the extreme case where temptation is infinitely strong. The key components of the U.S. bankruptcy law reform which was enacted in 2005 are (i) subjecting filers to means-testing, and (ii) increased cost of filing for bankruptcy. I find that, both the standard model with exponential discounting and the model with temptation and self-control (or quasi-hyperbolic discounting) do well in replicating the responses of the U.S. economy after the bankruptcy reform. Both models correctly predict that the number of bankruptcy filings decrease, and the amount of loans and the average interest rate of loans do not change substantially. However, the macroeconomic implications of the recent bankruptcy reform will crucially depend on what type of shocks is dominant. In particular, if defaults are not mainly due to expenditure shocks, but rather due to series of unfavorable income realizations, models with exponential discounting predict an increase in the number of bankruptcy filings, while models with temptation and self-control still predict a decrease in the number of bankruptcy filings in response to the recent bankruptcy reform. Regarding the welfare implications of the bankruptcy law reform, the implications from different models are similar; both models with exponential discounting and those with temptation and self-control imply welfare loss from the bankruptcy reform, mainly because of the loss of welfare of those who cannot file even if they want. I also find that, if the same level of punishment for bankruptcy is used, models with temptation and self-control problem generates a larger debt and more bankruptcy filings than the model with exponential discounting.

日時

2008年6月26日(木 Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Tomoyuki Nakajima/中嶋智之(Kyoto University)

Pareto Optimal Pro-cyclical Research and Development [PDF]

Abstract

We develop a perfectly competitive endogenous growth model in which R&D is the engine of growth. Our model generates pro-cyclical R&D investment and labor input as a pareto optimal response to technology shocks to the consumption and equipment good sectors. The model also reproduces a variety of facts from the U.S. economy. Growth in R&D capital accounts for 75 percent of the growth rate of GNP and the decline in the relative price of equipment investment. Investment in each sector is pro-cyclical. Our results suggest that equipment shocks may be less important than the previous literature has found. After accounting for the endogenous response of R&D, equipment sector shocks only account for a small fraction of the variance in the growth rate of GNP.

日時

2008年7月3日(木 Thursday)16:50-18:30 ※金融センター・ワークショップと共催

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Ryo Jinnai/陣内 了(Princeton University)

Product Innovation, Stock Price, and Business Cycle [PDF]

Abstract

This paper studies the interaction between product innovation, stock price, and aggregate output. Motivated by recent empirical studies, I propose an endogenous variety business cycle model in which existing firm's expertise is essential for innovation of new products. In the model, the firm value reflects not only the product the firm is manufacturing today but also the firm's ability to introduce new products in the future. I study how the model responds to various shocks, with special attention to the lead and lag structure between the stock price and output. The stock price leads GDP, which is a well known empirical regularity that most standard models have difficulty generating.

日時

2008年7月10日(木 Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Gerhard Glomm (Indiana University Bloomington)

Public Budget Composition, Fiscal (De)Centralization and Welfare (joint with Calin Arcalean, Ioana Schiopu and Jens Suedekum) [PDF]

Abstract

We present a dynamic two-region model with overlapping generations. There are two types of productive public expenditure, education and infrastructure funding, and governments decide optimally on budget size (tax rate) and its allocation across the two outlays. Productivity of government infrastructure spending can differ across regions. This assumption follows well established empirical evidence, and highlights regional heterogeneity in a previously unexplored dimension. We study the implications of three different fiscal regimes for capital accumulation and aggregate national welfare. Full centralization of revenue and expenditure decisions is the optimal fiscal arrangement for the country when infrastructure spending productivity is similar across regions. When regional differences exist but are not too large, the partial centralization regime is optimal where the federal government sets a common tax rate, but allows the regional governments to decide on the budget composition. Only when the differences are sufficiently large does full decentralization become the optimal regime. National steady state output is instead highest when the economy is decentralized. This result is consistent with the "Oates conjecture" that fiscal decentralization increases capital accumulation. However, in terms of welfare this result can be reversed.

 
日時

2008年7月11日(金 Friday)16:50-18:30
応用統計ワークショップおよびミクロワークショップと共催

場所東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Richard Blundell(University College London)

Employment, Hours of Work and the Optimal Design of Earned Income Tax Credits

Abstract

This paper examines the optimal schedule of marginal tax rates and the design of earned income tax credits. The analysis is based on a structural labour supply model which incorporates unobserved heterogeneity, fixed costs of work and the detailed non-convexities of the tax and transfer system. An analytical framework is developed that allows explicitly for an extensive margin in work choices and also the partial observability of hours of work. This is contrasted to the standard case in which only earnings (and non-labour income) are observable to the government. The empirical motivation is the earned income tax credit reforms in Britain which include a minimum hours requirement at 16 hours per week and a further bonus at 30 hours. Our analysis examines the case for the use of hours-contingent payments and lends support for the overall structure of the British tax credit reforms. However, we also provide a strong case for a further reduction of marginal rates for lower earners but only those with school age children.

 
日時

2008年7月15日(火 Tuesday)12:10-13:10 Empirical Micro Brown-Bag Lunch Seminarと共催

場所東京大学大学院経済学研究科棟 12階 第3共同研究室
in Conference Room No.3 on the 12th floor of the Economics Research Building
報告

Susumu Imai/今井晋 (Queen's University)

Bayesian estimation of games with incomplete information [PDF]

Abstract

In this paper, we propose a new methodological framework to estimate a general class of games of incomplete information using Bayesian techniques. The central contribution of our approach is to construct an MCMC estimation algorithm which is immune to the problem multiple Nash equilibria, in the sense that it imposes very little assumptions about the equilibrium selection process despite using all the restrictions imposed by the theory. The only assumption required with respect to the equilibrium selection is that each observed market is repeatedly playing the same equilibrium over time. Contrary to most of the previous literature, we therefore allow observationally equivalent markets to "select" different equilibria. We show that our estimation algorithm can easily accommodate heterogeneity parameters that are unobserved to the econometrician and have continuous distribution function. After the estimation, our estimation algorithm only needs to be slightly modified to work as a simulation algorithm for policy experiments.

 
日時

2008年7月17日(木 Thursday)16:50-18:30

場所東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Takeki Sunakawa/ 砂川武貴 (Bank of Japan)

Inflation Dynamics and Labor Adjustments in Japan: A Bayesian DSGE Approach (joint with Hibiki Ichiue and Takushi Kurozumi)

Abstract

  Previous studies of inflation dynamics assume that in the presence of competitive labor markets firms adjust labor input at only the intensive margin. We consider labor market search and examine the role of the extensive margin for inflation dynamics by estimating three models with alternative labor adjustments. Our Bayesian estimation shows that the model with only the extensive margin is superior to that with only the intensive one in terms of marginal likelihood, suggesting that the extensive margin is more important for inflation dynamics in Japan. This is based on that the labor adjustment at the extensive margin is far better able to match the autocovariance between inflation and real wages. We also show that the presence of both the extensive and intensive margins further improves marginal likelihood. Moreover, we find that real marginal costs in the models with the extensive margin are procyclical with the Bank of Japan's estimates of the output gap.

日時

2008年7月24日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Robert Dekle (University of Southern California)

A Quantitative Analysis of China's Structural Transformation [PDF]

Abstract

Between 1978 and 2003 the Chinese economy experienced a remarkable 5.7 percent annual growth of GDP per labor. At the same time, there has been a noticeable transformation of the economy: the share of workers in agriculture decreased from over 70 percent to less than 50 percent. We distinguish three sectors: private agriculture and nonagriculture and public nonagriculture. A growth accounting exercise reveals that the main source of growth was TFP in the private nonagricultural sector. The reallocation of labor from agriculture to nonagriculture accounted for 1.9 percent out of the 5.7 percent growth in output per labor. The reallocation of labor from the public to the private sector also accounted for a significant part of growth in the 1996- 2003 period. We calibrate a general equilibrium model where the driving forces are public investment and employment, as well as sectorial TFP derived from our growth accounting exercise. We show that the key driving forces behind China's structural transformation are TFP growth in the private nonagriculural sector and public capital accumulation.

日時

2008年8月7日(木 Thursday)12:00-13:10 *Macro Brown Bag Seminar

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

Sagiri Kitao(University of Southern California)

Taxing Capital Not a Bad Idea After All! (joint with Juan Carlos Conesa and Dirk Krueger) [paper]

Abstract

We quantitatively characterize the optimal capital and labor income tax in an overlapping generations model with idiosyncratic, uninsurable income shocks and permanent productivity differences of households. The optimal capital income tax rate is significantly positive at 36 percent. The optimal progressive labor income tax is, roughly, a flat tax of 23 percent with a deduction of $7,200 (relative to average household income of $42,000). The high optimal capital income tax is mainly driven by the life cycle structure of the model whereas the optimal progressivity of the labor income tax is attributable to the insurance and redistribution role of the tax system.

日時

2008年9月5日(金 Friday)16:50-18:30  ※ミクロワークショップと共催

※曜日にご注意下さい
場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Kazuo Nishimura/西村和雄(京都大学経済研究所)

Complementarity and Optimality:Two Dimensional Dynamical Systems 

Abstract

日時

2008年9月17日(水 Wednesday)16:50-18:30

※場所にご注意下さい/Schedule Changed
場所 東京大学大学院経済学研究科棟 12階 第1共同研究室
in Conference Room No.1 on the 12th floor of the Economics Research Building
報告

Philippe Martin(Universite Paris 1 Pantheon Sorbonne (Paris School of Economics))

Varieties and the Transfer Problem: the Extensive Margin of Current Account Adjustment (with Giancarlo Corsetti and Paolo Pesenti) [paper]

Abstract

Most analyses of the macroeconomic adjustment required to correct global imbalances ignore net exports of new varieties of goods and services and do not account for firms' entry in the product market. In this paper we revisit the macroeconomics of trade adjustment in the context of the classic 'transfer problem,' using a model where the set of exportables, importables and nontraded goods is endogenous. We show that exchange rate movements associated with adjustment are dramatically lower when the above features are accounted for, relative to traditional macromodels. We also find that, for reasonable parameterizations, consumption and employment (hence welfare) are not highly sensitive to product differentiation, and change little regardless of whether adjustment occurs through movements in relative prices or quantities. This result warns against interpreting the size of real depreciation associated with trade rebalancing as an index of macroeconomic distress.

日時

2008年10月2日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Julen Esteban-Pretel(University of Tokyo)

On the Role of Policy Interventions in Structural Change and Economic Development: The Case of Japan's Postwar (joint with Yasuyuki Sawada) [paper]

Abstract

Abstract In this paper, we study the structural change occurred in Japan's post World War II rapid economic growth era. We use a two- sector neoclassical growth model with government policies to analyze the evolution of the Japanese economy in the postwar period, and to assess the role of such policies. Our model is able to replicate the behaviour in the data of the main macroeconomic variables for the postwar Japanese economy. Three findings emerge when we use our framework to analyze government policy interventions. First, price and investment subsidies to the agricultural sector and industrial policy, in the form of the Fiscal Investment and Loan Program, do not play a crucial role in the postwar rapid growth. Second, while a government subsidy to help families in the urban areas could have facilitated migration from agriculture to non-agricultural sector in the rapid growth era, such a policy does not improve the overall performance of the Japanese economy. Finally, with the counter-factual labor migration barrier, Japan's postwar GNP growth would have been lower and the negative long-run level effect would be substantial.

日時

2008年10月9日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Junko Koeda/小枝淳子(International Monetary Fund/国際通貨基金)

A Debt Overhang Model for Low-Income Countries [paper]

Abstract

This paper presents a theoretical model to explain how debt overhang is generated in low-income countries and discusses its implications for aid design and debt relief. It finds that the extent of debt overhang and the effectiveness of debt relief depend on a recipient country's initial economic conditions and level of total factor productivity.

日時

2008年10月16日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Gian Maria Milesi-Ferretti(International Monetary Fund/国際通貨基金)

Fundamentals at Odds? The Dollar and The U.S. Current Account Deficit [PDF]

Abstract

The real effective exchange rate of the dollar is close to its minimum level for the past 4 decades. At the same time, however, the U.S. trade and current account deficits remain large and, looking forward, would contribute to a further accumulation of U.S. external liabilities. We discuss the tension between these two aspects of the dollar assessment, and what factors can help reconcile them. We focus in particular on the terms of trade, adjustment lags, and measurement issues related to both the real effective exchange rate and the current account balance.

日時

2008年10月24日(金 Friday)16:50-18:30
※曜日と場所にご注意下さい※

場所 東京大学大学院経済学研究科棟 3階 第4教室
in Lecture Hall No.4 on the 3rd floor of the Economics Research Building
報告

Edward C. Prescott(Arizona State University)

Technology Capital and the Current Account [PDF]

Abstract

The U.S. Bureau of Economic Analysis (BEA) estimates the return on investments of foreign subsidiaries of U.S. multinational companies over the period 1982-2006 averaged 9.4 percent annually after taxes; U.S. subsidiaries of foreign multinationals averaged only 3.2 percent. Two factors distort BEA returns: technology capital and plant-specific intangible capital. Technology capital is accumulated know-how from intangible investments in R&D, brands, and organizations that can be used in foreign and domestic locations. Used abroad, it generates profits for foreign subsidiaries with no foreign direct investment (FDI). Plant- specific intangible capital in foreign subsidiaries is expensed abroad, lowering current profits on FDI and increasing future profits. We develop a multicountry general equilibrium model with an essential role for FDI and apply the BEA's methodology to construct economic statistics for the model economy. We estimate that mismeasurement of intangible investments accounts for over 60 percent of the difference in BEA returns.

日時

2008年10月28日(火 Tuesday)12:00-13:10
ミクロワークショップCIRJE特別セミナーと共催
※時間と場所にご注意下さい※

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

John Riew (Pennsylvania State University, USA)

Japan's Competitive Advantages in the Global Market [PDF]

Abstract

The paper analyzes Japan's competitive advantages in trade, comparing the nation with other industrialized countries. Paucity in resources, often mentioned in reference to Japan, we note, is overstated. Favorable climate and certain other aspects of the geography, for example, are unacclaimed but important bounties of nature. Relevant also in the context are such other factors as population, culture, and events in history, as are the role of the government (investment in physical and human capital, trade promotions policy). These factors together could more than compensate for the dearth of narrowly defined natural resources, land and minerals. The main underlying forces behind Japan's spectacular rise as a major economic power and a dominant player in today's global market find their original impetus in the early Meiji era, well into the second half of the19th century. This study, which ends with commentary, would provide other countries with a referential model with trade history and development strategy.


日時

2008年11月6日(木 Thursday)18:00-19:30

CARF-TCER緊急セミナー
「金融・資本市場の混乱とグローバルな経済危機」
*東京大学金融教育センター(CARF)および東京経済研究センター(TCER)と共催

※時間にご注意下さい※
場所 東京大学大学院経済学研究科棟 3階 第2教室
※会場が変更になりましたのでご注意下さい※
in Lecture Hall No.2 on the 3rd floor of the Economics Research Building
報告

司会:岡崎哲二(東京大学大学院経済学研究科教授、TCER代表理事)
基調講演: 植田和男(東京大学大学院経済学研究科教授)

「クレジット危機2007-2008年」
※Presentation in Japanese※


Abstract

 アメリカのサブプライム問題に端を発する金融・資本市場の混乱は、世界的な金融危機の様相を呈しています。サブプライム問題の影響は比較的小さいといわれていた日本でも、株価は大幅に下落し、その影響はさまざまな面で無視できるものではなくなりました。そこで、東京大学金融教育センター(CARF)と東京経済研究センター(TCER)との共催で、緊急の討論会を開催することにいたしました。 今回の金融・資本市場の混乱は、アメリカ型の金融機関ビジネスモデルの在り方を根本から問い直す事態に発展すると同時に、その実体経済への影響も深刻化の一途を辿っています。このような中、適切な政策対応や金融システムの再構築は、一刻の猶予も許されない状況にあると言えます。 今回の緊急セミナーでは、植田和男教授より、今回の金融危機 の問題の所在を簡単に整理していただいた後、参加者による討論を行うことで、適切な政策対応や金融システムのあり方に関して議論を深めていこうと考えています。ご関心をお持ちの各界の皆様のご参加を心よりお待ち申し上げております。

日時

2008年11月20日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Shin-ichi Fukuda/福田慎一(University of Tokyo)

Infrequent Changes of Policy Target:Robust Optimal Monetary Policy under Ambiguity [PDF]

Abstract

In many countries, the monetary policy instrument sometimes remains unchanged for a long period and shows infrequent responses to exogenous shocks. The purpose of this paper is to provide a new explanation on why the central bank's policy instrument remains unchanged. In the following analysis, we explore how uncertainty on the private agents' expectations affects robust optimal monetary policy. We apply the Choquet expected decision theory to a new Keynesian model. A main result is that the policymaker may frequently keep the interest rate unchanged even when exogenous shocks change output gaps and inflation rates. This happens because a change of the interest rate increases uncertainty for the policymaker when how the private agents' expectations are formed is not well known. To the extent that the policymaker has uncertainty aversion, it can therefore be optimal for the policymaker to maintain an unchanged policy stance for some significant periods and to make discontinuous changes of the target rate. Our analysis departs from previous studies in that we determine an optimal monetary policy rule that allows time-variant feedback parameters in a Taylor rule. We show that the calibrated optimal stop-go policy rule can predict actual target rates of FRB and ECB reasonably well.

日時

2008年11月27日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Takatoshi Ito/伊藤隆敏(University of Tokyo)

Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture (joint with Yuko Hashimoto)[PDF]

Abstract

This paper examines reactions of the yen/dollar exchange rate to macroeconomic statistical announcements using high-frequency data collected from the real trading platform. It investigates the exchange rate returns in reaction to a surprise component of various Japanese macroeconomic announcements. Tankan survey (a short-term business survey conducted by Bank of Japan) and GDP forecast were found to have consistently large impacts on the exchange rate returns. Price indices such as CPI and PPI reports were also found to have significant effects on the returns. On the other hand, Trade Balance announcement had little impact on the returns-which is contrast to findings of the U.S. news release on returns. We also examine the impacts of surprise components of news indicators on transactions. The number of deals increases about 15-30 minutes after the macroeconomic announcements. The transaction responses prominently to Nonfarm Payroll, CPI, Business condition indicators, and partially to Tankan and Retail sales.

日時

2008年12月4日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Shinichi Nishiyama/西山慎一(Georgia State University)

Designing the Optimal Social Security Pension System [PDF]

Abstract

We extend a standard overlapping-generations general-equilibrium model with idiosyncratic working ability shocks to design the optimal social security pension system. There are two main features in our approach. First, we keep track of individual social security wealth explicitly so that we can evaluate a wide range of policies, including "private accounts," seamlessly. Second, we express our social security benefit function with two key parameters-one for intragenerational income redistribution and another for intergenerational income transfers. We find that the system would be optimal if benefits were proportional to individual social security wealth but those were on average less than actuarially fair.

日時

2008年12月11日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Makoto Watanabe(Universidad Carlos III de Madrid)

Liquidity Constraints in a Monetary Economy [PDF]

Abstract

This paper presents a microfounded model of money which has a consumption and an investment market. We consider an economy in which only part of the returns of investment can be pledged. A liquidity constraint arises when the pledgeable part of the returns are not enough to pay for investment costs. We show that when the liquidity constraint is binding, agents may make a cash downpayment and money can perform two roles - as a provider of liquidity services and exchange services. The liquidity constraint constitutes a channel though which under-investment occurs even at low inflation rates. Our main contribution is to provide a simple framework using a standard monetary-search approach that allows us to study the issue of liquidity and its effect on investment.

日時

2008年12月16日(火 Tuesday)15:30-19:30(時間変更・報告が追加されました)
※金融政策研究会と共催  
※日時と場所にご注意下さい

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

スケジュールが変更になりました。

(1)Virgiliu Midrigan(New York University)

Temporary Price Changes and the Real Effects of Monetary Policy(joint with Patrick J. Kehoe) [PDF]

(2)Andrew Levin(Federal Reserve Board)

Reconsidering the Microeconomic Foundations of Price-Setting Behavior(joint with Tack Yun) [PDF]

Abstract

(1) In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and take one of two shortcuts when confronted with the data: drop temporary changes from the data or leave them in and treat them as permanent. We provide a menu cost model that includes motives for both types of price changes. Since this model accounts for the main regularities of price changes, its predictions for the real effects ofmonetary policy shocks are useful benchmarks against which to judge existing shortcuts. We find that neither shortcut comes close to these benchmarks. For monetary policy analysis, researchers should use a menu cost model like ours or at least a third, theory-based shortcut: set the Calvo model's parameters so that it generates the same real effects from monetary shocks as does the benchmark menu cost model. Following either suggestion will improve monetary policy analysis.
(2) Although the Dixit-Stiglitz aggregator is the workhorse specification of monopolistic competition, this framework and related variants are fundamentally inconsistent with a key stylized fact from empirical studies of consumer behavior and product marketing, namely, that the price elasticity of demand for a given brand is primarily determined by the extensive margin (i.e., changes in the number of customers purchasing that product) rather than the intensive margin (i.e., changes in the specific quantity purchased by each individual customer). In this paper, we analyze household scanner data to confirm the salient empirical results, and we then proceed to formulate a new dynamic general equilibrium framework that captures both the intensive and extensive margins of demand. Our theoretical framework involves a two-dimensional product space and incomplete household information, giving rise to an equilibrium price distribution with customer search. Assuming uniform distributions for the individual-specific search costs and for the firm-specific productivity shocks, we obtain analytical expressions for the equilibrium price distribution and the optimal price-setting behavior of each producer, and we show that the implications of the model are consistent with the key stylized facts. Finally, we discuss how this new approach holds substantial promise for future research on price-setting behavior, not only in enhancing the linkages between micro data and macro models but in building stronger connections to ongoing research in marketing and consumer behavior.

日時

2008年12月18日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Tomoo Kikuchi(National University of Singapore)

Risk Aversion and Endogenous Credit Cycles in a Small Open Economy

Abstract

日時

2009年1月19日(月 Monday)12:00-13:30 *Macro Brown Bag Seminar
※日時と場所にご注意下さい。

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

Chikako Baba(馬場千佳子)(University of Wisconsin-Madison)

Understanding Law of One Price Deviations: Local Distribution Services and Price Discrimination [PDF]

Abstract

The deviation from the law of one price is often attributed to local non-traded inputs and price discrimination in local markets. This paper empirically measures the signi ̄cance of these factors using panel data of disaggregated regional consumer price in Japan. Under imperfect competition, retailers charge the marginal cost of distribution and set an optimal markup that depends on local demand elasticity. In order to measure the diRerence in local demand elasticity, I estimate the price and income elasticity using the Almost-Ideal Demand System (AIDS) with multiple-stage budgeting. The diRerence in the demand elasticities across cities arises from diRerences in the local expenditure pattern, which may re°ect local characteristics such as taste or demography. With about 200 consumer goods, the empirical models show that a part of the price diRerence is accounted for by local distribution costs and local demand elasticities, as the theory predicts. However, those two factors explain only 3 % of the observed price dispersion. These  ̄ndings suggest that deviations from the LOP are not fully explained by diRerences in cost and demand, and eRorts to explain these deviations need to be based on other factors.

日時

2009年2月5日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Kiminori Matsuyama/松山公紀(Northwestern University)

Endogenous Productivity Differences and Patterns of International Capital Flows [slides]

Abstract

日時

2009年2月6日(金 Friday)12:10-13:40 *Macro Brown Bag Seminar
※日時と場所にご注意下さい。

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

Daehee Jeong (Texas A&M University)

Does Ambiguity Matter? An Estimation of Asset Pricing Models with a Multiple-Priors Recursive Utility[PDF]

Abstract

This paper considers continuous time asset pricing models with stochastic differential utility incorporating decision makers' concern with ambiguity on true probability measure. In order to identify and estimate key parameters in the models, we use a novel econometric methodology developed recently by Park (2008) for the statistical inference on continuous time conditional mean models. The methodology only imposes the condition that the pricing error is a continuous martingale to achieve identification, and obtain consistent estimates, of parameters. Under a representative agent setting, we empirically evaluate alternative preference specifications including a multiple-prior recursive utility. Our empirical findings are summarized as follows: Relative risk aversion is estimated around 2-5 with ambiguity aversion and 6-14 without ambiguity aversion. Related, the estimated ambiguity aversion is both economically and statistically significant and including the ambiguity aversion clearly lowers relative risk aversion. The elasticity of intertemporal substitution (EIS) is higher than 1, around 2-5 with ambiguity aversion, and quite high without ambiguity aversion. The identification of EIS appears to be fairly weak, as observed by many previous authors, though other aspects of our empirical results seem quite robust.

日時

2009年2月12日(木 Thursday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

Nao Sudo(Bank of Japan)

Accounting for Oil Price Variation and Weakening Impact of the Oil Crisis [PDF]

Abstract

Recent empirical studies reveal that the oil price-output relationship is weakening in the US. Oil price-output correlation is less negative, and output reduction in response to oil price rise is more moderate after mid 1980s. In contrast to the conventional view that there have been changes in the economic structures that have made output less responsive to oil price shocks, we show that what have changed are the sources of oil price variation. We develop a DSGE model where oil price and US output are endogenously determined by the exogenous movements of US TFP and the oil supply. Having no changes in economic structure, our model yields dynamics of the oil price and output that show a weakening in the oil price-output relationship. There are changes in the way that the exogenous variables evolve. Two changes are important. First, oil supply variation has become moderate in recent years. Second, oil supply shortage is no longer followed by a large decline in TFP. We show that less volatile oil supply variation results in less negative oil price-output correlations, and a smaller TFP decline during oil supply shortfall implies a smaller output decline during oil price increases.

日時

※ 2009年1月 修士論文報告会 Master's Thesis Presentations※

場所 全日程とも東京大学大学院経済学研究科棟 新棟3階 第3教室
All the presentations will be made in the Lecture Hall No.3 on the 3rd floor of the Economics Research Building
発表者の方へ

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8日(木)発表者=1月  7日(水)朝9:00(必着)まで

1月15日(木)発表者=1月14日(水)朝9:00(必着)まで

1月22日(木)発表者=1月21日(水)朝9:00(必着)まで

日時

2009年1月8日(木 Thursday) 16:50−17:30 

報告

名護充明(Readers: 伊藤(隆)、福田、市村)

人民元切り上げ後の東アジアの為替政策

日時

2009年1月8日(木 Thursday) 17:40−18:20 

報告

武田元彦(Readers: 岩本、井堀、神野)

地方交付税におけるソフトな予算制約問題の再検証:地方交付税による自治体救済は生じていたか

日時

2009年1月15日(木 Thursday) 16:50−17:30 

報告

鶴岡昌徳(Readers: 市村、伊藤(隆)、福田)

JGBmarketにおける非効率生について

日時

2009年1月15日(木 Thursday) 17:40−18:20 

報告

内藤佑介(Readers: 伊藤(隆)、福田、市村)

Does Inflation Targeting Help Anchor Inflation Expectations Against Macroeconomics Shocks? -Empirical results derived from a VAR analysis in Japan, US, and UK-

日時

2009年1月22日(木 Thursday) 16:50−17:30 ※時間変更

報告

チョウ テイ(Readers: 植田、加納、伊藤)

中国の為替政策

日時

2009年1月22日(木 Thursday) 17:40−18:20 ※時間変更

報告

リ フイユ(Readers: ブラウン、林、エステバン)

Indivisible Labour Supply and Precautionary

日時

2009年3月6日(金 Friday)16:50-18:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

國枝卓真(Takuma Kunieda)(龍谷大学(Ryukoku University))

Financial Globalization and Inequality [Paper] [slides]

Abstract

This paper investigates how financial globalization and financial development affect income inequality within a country. We demonstrate that when a country is financially closed to the world market, the Gini coefficient is monotonically decreasing with respect to the degree of financial development, whereas when a country becomes so small due to financial globalization that financial development in the country does not affect the world interest rate, the Gini coefficient is monotonically increasing with respect to the degree of financial development. A simple quantitative analysis for the Gini coefficients shows that income inequality in the United States is negatively affected by its financial development. In the United States, income inequality has widened since the late-1970s probably due to financial globalization and financial development.