Workshops

2009年4月9日（木 Thursday）16:50-18:30

塩路悦朗(Etsuro Shioji) （一橋大学(Hitotsubashi University）)

Uncertainty shocks and financial intermediation in a dynamic general equilibrium model: a Markovian Jump Linear Quadratic Approach [PDF]

This paper develops a new framework for analyzing the effects of an uncertainty shock on macroeconomic activities in a dynamic general equilibrium setting. It extends a relatively new solution method called the Markovian Jump Linear Quadratic (MJLQ) approach to solve for a dynamic equilibrium outcome for an economy with imperfect competition and externalities. In the model developed in this paper, increased uncertainty about the firm productivity induces contraction of financial intermediation and thus reduction in productive activities.

2009年4月16日（木 Thursday）16:50-18:30

Yuki Teranishi （日本銀行（Bank of Japan）)

Global Liquidity Trap (joint with Ippei Fujiwara and Nao Sudo)

In April 2009, Japan, United Kingdom, and United State have already hit the virtual zero lower bounds on the nominal interest rates and Euro and Canada have almost exhausted rooms of cutting the policy rates. This historical event puts us a big question of what the monetary policies can do.
We think of the optimal monetary policy under a situation where central banks simultaneously conduct zero interest rate policies. In particular, we investigate how the central banks should terminate the zero interest rate policies. Our conclusions are that history-dependent policies remain optimal in the exit from the zero interest rates; however, the optimal exit policies substantially become complicated and di?er from ones where only one country conducts the zero interest rate policy, and policy rate changes in leaving from the zero interest rate policies become more volatile under uncertainty than under certainty. Welfare analysis reveals that the commitment policies still achieve much smaller loss than the discretionary policies do under the simultaneous zero interest rate policies.

2009年4月23日（木 Thursday）16:50-18:30
※金融センター・ワークショップと共催

櫻川昌哉 （Masaya Sakuragawa） （慶應義塾大学(Keio University)）

Bubble Cycles [PDF]

We develop a simple model that explains episodes on bubbles that occurred in the past Japan and the recent United States. The basic idea is that the self-fulfilling change in the saving rate leads to bubble-induced business cycles with co-movement between bubbles and investment. We have a counter-intuitive implication of the stimulus package of fiscal expansion in the bubbly economy.

2009年4月30日（木 Thursday）16:50-18:30

楡井誠 （Makoto Nirei） （一橋大学(Hitotsubashi University)）

Distributional test for endogenous effects: A case of lumpy investments (joint with Chaoqun Lai) [paper]

This paper studies the effect of strategic complementarity among firms' lumpy investments on the fluctuations of aggregate investments. We investigate an extensive panel data set on Italian manufacturing firms.We first show that the fraction of firms that experience a large Investment rate in a region-year is distributed exponentially. Secondly, we estimate the degree of the strategic complementarity within a region directly by estimating the firm's decision on lumpy investments. We propose a simple sectoral model which is capable of generating the exponential distribution for the aggregate fluctuations that arise from the strategic complementarity among firms' lumpy investments. We argue that the shape and magnitude of the aggregate fluctuations observed in the data are consistent with the degree of strategic complementarity that is identified at the micro-level in the same data.

2009年5月7日（木 Thursday）18:00-20:00　※時間にご注意下さい。

発表者：宇南山卓（神戸大学）
討論者： 岩本康志、チャールズ・ホリオカ、菅野雅明、 桑原廣美、大貫裕二、林文夫、永山貞則 （敬称略）
家計調査の課題と改善に向けて[PDF] [slides]

2009年5月14日（木 Thursday）16:50-18:30　

伊藤宏之 (Hiroyuki Ito)（Portland State University）

The Emerging Global Financial Architecture: Tracing and Evaluating the New Patterns of the Trilemma's Configurations (joint with Joshua Aizenman and Menzie D. Chinn) [PDF]

Using the indexes we developed (Aizenman, Chinn, and Ito, 2008) to measure the degree of the three policy choices countries make with respect to the trilemma: exchange rate stability, monetary independence, and capital account openness, we investigate the normative questions pertaining to the trilemma, that is, how the policy choices among the three trilemma policies affect output growth volatility, inflation rates, and the volatility of inflation, with focus on developing economies. Some key findings for developing countries include: (i) greater monetary independence can dampen output volatility while greater exchange rate stability implies greater output volatility, which can be mitigated by reserve accumulation; (ii) greater monetary autonomy is associated with a higher level of inflation while greater exchange rate stability and greater financial openness could lower the inflation level; (iii) a policy pursuit of stable exchange rate while financial development is at the medium level can increase output volatility, and while greater financial openness with a high level of financial development can reduce output volatility, greater financial openness with a low level of financial development can be volatilityincreasing; (iv) net inflow of portfolio investment and bank lending can increase output volatility and higher levels of short-term debt or total debt services can increase both the level and the volatility of inflation.

2009年5月19日（火　Tuesday）16:50-18:30　※曜日にご注意下さい。
*Micro Workshopと共催

鈴木通雄 (Michio Suzuki)（日本銀行金融研究所(Institute for Monetary and Economic Studies, Bank of Japan)）

Occupational mobility and consumption insurance

2009年5月21日（木 Thursday） 16:50-18:30
※ Presentation in Japanese ※

池田新介 (Shinsuke Ikeda) （大阪大学(Osaka University)）

Time preference induced by risk aversion (Joint with Keiichi Tanaka)

2009年6月4日（木 Thursday）16:50-18:30

大津敬介（Keisuke Otsu） （上智大学(Sophia University)）

International business cycle accounting: the case of Japan and the U.S. 1980-2008 [PDF]

It is well known that replicating bilateral international business cycle comovements across countries with the two-country international real business cycle model is challenging. In this paper, I apply the business cycle accounting method a la Chari, Kehoe and McGrattan (2007) to a two-country setting and quantitatively account for the impacts of the disturbances in the labor, investment, resource, efficiency, and international markets on business cycle comovements between Japan and the U. S. I show that the disturbances in the U.S. labor market, Japanese production efficiency and international relative prices are important in accounting for the recent business cycle correlation patterns between Japan and the U.S. over the 1980-2008 period.

2009年6月11日（木 Thursday）16:50-18:30
※ Presentation in Japanese ※

脇田成(Shigeru Wakita) （首都大学東京(Tokyo Metropolitan University)）

Monetary Policy in Japan Reconsidered: A Regime-switching VAR Analysis" (joint with Hirokuni Iiboshi and Masanobu Umeda) [paper]

Using a regime-switching VAR, this paper investigates the effect of monetary policy in Japan. Unlike previous studies, this paper considers more than two regimes and introduces into the VAR analysis standard variables such as the money supply and price level. Based on the standard procedure, the independent regime for a quantitative easing policy is identified when the policy effect is insignificant.

2009年6月18日（木 Thursday）16:50-18:30

Kajal Lahiri （University at Albany: SUNY）

※発表中止/Schedule Cancelled※

2009年6月25日（木 Thursday）16:50-18:30

敦賀貴之(Takayuki Tsuruga) （関西大学(Kansai University)）

The Law of One Price without the Border: the Role of Distance versus Sticky Prices(joint with M. J. Crucini and M. Shintani) [PDF]

We examine the role of nominal price rigidities in explaining the deviations from the Law of One Price (LOP) across cities in Japan. Focusing on intra-national relative prices isolates the border effect and thus enables us to extract the pure effect of sticky prices. A two-city model with nominal rigidities and transportation costs predicts that the variation of LOP deviations is lower for goods with less frequent price adjustment after controlling for the distance separating the cities. Using retail price data for individual goods and services collected in Japanese cities, we find strong evidence supporting this prediction. Adapting the Engel and Rogers (1996) regression framework to our theoretical setting, we quantify the separate roles of nominal rigidities and trade costs (proxied by distance) in generating LOP variability. Our estimates suggest that the distance equivalent of nominal rigidities can be as large as the 'width' of the border typically found in the literature on international LOP deviations. The findings point to both the utility of the regression framework in identifying qualitative effects (i.e., sign of a coefficient) and the challenges interpreting their quantitative implications.

2009年7月2日（木 Thursday）16:50-18:30

川口大司（Daiji Kawaguchi） (一橋大学(Hitotsubashi University))

Minimum Wage in Deflationary Economy: Experience of Japan, 1994-2003 (joint with Ryo Kambayashi and Ken Yamada) [PDF]

Median nominal wage started to fall after 1999 in Japan because of severe recession, while the statutory minimum wage had steadily increased during the period. Using large sample micro data of two government surveys, we examine the e ect of minimum wage on wage distribution and employment in an unusual event of deation. The compression of lower tail female wage distribution is almost all explained by increase in the real value of minimum wage. Higher minimum wage decreases employment of middle-aged female workers, but the mechanical e ect of employment loss on wage compression is found to be minimal. This paper adds another evidence to the literature that minimum wage is an important determinant of lower tail wage distribution.

2009年7月16日（木 Thursday）16:50-18:30

Kanda Naknoi （Purdue University）

Micro-estimates of exchange rate pass-through (ERPT) yield elasticities well outside the range of values predicted by theory. We provide a multi-country quadratic utility model that allows us to examine how export prices are affected by movements in own-currency and cross-currency exchange rates. Own-currency appreciations move firms along a linear demand curve while cross-currency appreciations shift the position of that demand curve. Both affect the firm's elasticity of demand and therefore the degree to which exchange rate movements affect prices. When ownand cross-currency exchange rates are correlated, as when the euro rises in value against both the dollar and the yen, this yields EPRT elasticities that match facts. The model also yields testable predictions for how firms respond to cross-currency exchange rate shocks even when there is no movement in the own exchange rate.

2009年7月23日（木 Thursday）16:50-18:30

北川 章臣（Akiomi Kitagawa） (東北大学(Tohoku University))

Hiring Policies, Worker Employability, and Labor Market Performance [PDF]

This paper extends Shapiro and Stiglitz (1984)'s efficiency wage model to explore the possible interaction between firms' hiring policy and outsiders' employability. Specifically, firms determine their hiring policies, based on the accepted view about the employability of outsiders, whereas outsiders decide whether or not to maintain their employability, given firms' hiring policies. Such an interaction is responsible for the unconditional existence of the ``no-second-chance'' equilibrium, in which firms believe that outsiders are no longer employable, and thus choose to fill their vacancies exclusively with new entrants into the labor market, which discourages outsiders from making efforts to preserve their employability. On the other hand, the ``second-chance'' equilibrium, in which firms believe that outsiders are still employable, and thus choose to fill some vacancies with them, exists only when the labor demand is sufficiently active. Outsiders are motivated to preserve their employability if and only if there is a good chance of being re-hired and making a good living again, which entails a sufficiently high demand for labor.

2009年7月27日（月 Monday）12:00-13:10 *Macro Brown Bag Seminar

Yasuo Terajima (Bank of Canada)

Real Effects of Price Stability with Endogenous Nominal Indexation (joint with Cesaire Meh and Vincenzo Quadrini) [PDF]

We study a model with repeated moral hazard where financial contracts are not fully indexed to indexation because nominal prices are observed with delay as in Jovanovic & Ueda (1997). More constrained firms sign contracts that are less indexed to the nominal price and, as a result, their investment is more sensitive to nominal price shocks. We also find that the overall degree of nominal indexation increases with the uncertainty of the price level. An implication of this is that economies with higher price-level uncertainty are less vulnerable to a price shock of a given magnitude, that is, aggregate investment and output respond to a lesser degree.

2009年7月30日（木 Thursday）16:50-18:30
※マクロファイナンス・金融&国際金融ワークショップと共催

西山慎一（Shin-ichi Nishiyama） (Bank of Canada)

How Important are Financial Shocks for the Canadian Business Cycle? [PDF]

In this paper, we investigated the importance of financial shocks for the Canadian business cycle employing the financial friction DSGE framework following Bernanke, Gertler, and Gilchrist (1999) with an extension of small-open economy feature. In particular, we explored the importance of external finance premium shock and aggregate net worth shock. In order to identify financial shocks in the model, we utilized financial data in estimating our model. Our variance decomposition results showed that external finance premium shock to account about 7.5% and aggregate net worth shock to account about 5.6% of the variance of the business fixed investment in Canada. Also, our historical decomposition results and smoothing of the various financial variables showed that data on corporate leverage ratio to be particularly useful in identifying the financial shocks in the model. Finally, when the financial shocks were present in the model, relative importance of the investmentspecific technology shock was substantially subdued that it accounted for only 17% of the variance of the business fixed investment - much lower than the results reported in the former empirical studies.

2009年8月11日（火 Tuesday）12:00-13:10 *Macro Brown Bag Seminar

大垣昌夫 (Masao Ogaki) （Ohio State University）

Purchasing Power Parity and the Taylor Rule [PDF]

In the Kehoe and Midrigan (2007) model, the persistence parameter of the real exchange rate is closely related to the measure of price stickiness in the Calvo-pricing model. When we employ this view, Rogo 's (1996) 3 to 5 year consensus half-life implies that rms update their prices every 18 to 30 quarters on average. This is at odds with most estimates from U.S. aggregate data when single equation methods are applied to the New Keynesian Phillips Curve (NKPC), or when system methods are applied to Dynamic Stochastic General Equilibrium (DSGE) models that include the NKPC. It is well known, however, that there is a large degree of uncertainty around the consensus half-life of the real exchange rate. To obtain a more ecient estimator, this paper develops a system method that combines the Taylor rule and a standard exchange rate model to estimate half-lives. We use a median unbiased estimator for the system method with nonparametric bootstrap con dence intervals, and compare the results with those from the single equation method typically used in the literature. Applying the method to the real exchange rates of 18 developed countries against the U.S. dollar, we nd that most of the half-life estimates from the single equation method fall in the range of 3 to 5 years with wide con dence intervals that extend to positive in nity. In contrast, the system method yields median-unbiased estimates that are typically shorter than one year with much sharper 95% con dence intervals, most of which range from 3 quarters to 5 years. These median unbiased estimates and the lower bound of the con dence intervals for the half-lives of real exchange rates are consistent with most estimates of price stickiness using aggregate U.S. data for the NKPC and DSGE models.

2009年10月8日（木 Thursday）16:50-18:30
※会場が変わりましたのでご注意下さい※

作道真理（Mari Sakudo） (Development Bank of Japan)

Bagging and Forecasting in Nonlinear Dynamic Models

Nonlinear dynamics is essential in many studies of time-series data. This paper proposes new variants of point forecast estimators in Markov switching models (Hamilton, 1989) utilizing bagging (Breiman, 1996), and applies them to study real GNP in the U.S. The empirical and Monte Carlo simulation results on out-of-sample forecasting show that the bagged forecast estimators outperform the benchmark forecast estimator by Hamilton (1989) in the sense of the prediction mean squared error. The Monte Carlo experiments present that interactions between a Markov process for primitive states and an innovation a ect the relative performance of the bagged forecast estimators, and that e ectiveness of the bagging does not die out as sample size increases.

2009年10月13日（火　Tuesday）16:50-18:30
※Micro Workshop と共催

上東貴志（Takashi Kamihigashi) （Kobe University）

Rational Asset Price Bubbles in Small Open Economies

This paper examines the possibility of rational asset price bubbles in small open economies. Our model is similar to the Lucas asset price model except that the economy may be partially or completely open. There are good, asset, and loan markets, and we consider all possible cases depending on whether each market is open or closed. We show that bubbles are possible if and only if the good market and at least one of the asset and loan markets is open. We characterize the response of an economy with a positive bubble to an unanticipated introduction of a restriction on loan supply or asset ownership.

2009年10月15日（木 Thursday）16:50-18:30

Mathias Hoffmann (University of Zurich)

Emerging from the War: Current Accounts, Real Interest Rates and the International Business Cycle, 1885-1939 (joint with Ulrich Woitek)

We study the dynamics of international business cycles, capital ows and interest rates in the UK, the United States and the Emerging Periphery (Australia, Canada, Japan, Norway and Sweden) during the Classical Gold Standard and in the Interwar Period. We report three stylized facts: relative to the period before 1913, the interwar period is characterized by i) a marked decrease in the volatility of current accounts (relative to the volatility of GDP), ii) a general decline the correlation of net exports with output and iii) a drop in the correlation between output and the real interest rate. These patterns suggest that the world economy of the interwar period displayed important features that also characterize modern day emerging economies. We use the prism of the intertemporal approach to the current account to inter- pret these patterns in the data. The intertemporal approach provides a surprisingly good characterization of current accounts and business cycles under both the Classical Gold Standard and during the Interwar period. Specically, the three stylized facts seem consistent with an intertemporal model in which the transmission mechanism is funda- mentally stable between the two periods but in which global shocks become more volatile and country-specic shocks more persistent.

2009年10月22日（木 Thursday）16:50-18:30

John Coleman （Duke University）

Liquidity and Financial Intermediation (joint with Ravi Bansal and Christian Lundblad) [PDF]

In this paper, we examine how liquidity premia are affected by the supplies of various types of assets. Specifically, we examine how the supply of government debt affects the real interest rate and the liquidity premium in the economy. More importantly, we examine how the financial sector satisfies the demand for liquidity by transforming illiquid assets into liquid assets, and thereby how the private supply of liquid assets is affected by the supply of government debt. We also show that a rise in uncertainty (i.e., risk premia) hampers the ability of financial institutions to provide liquid assets, and hence may lead to a contraction in the supply of liquid assets in addition to a rise in the liquidity premium. Hence, this paper establishes a close connection between risk premia and liquidity premia. This feature arises naturally out of our model, and as well seems to be a reasonable characterization of current events. The end result is a general equilibrium model that endogenizes the supply of liquid assets and their rate of return. Using quarterly U.S. data from 1950 to 2008, we show that central predictions of the model find strong support in the data. 1

2009年10月29日（木 Thursday）16:50-18:30

Juanyi (Jenny) Xu （Hong Kong University of Science and Technology）

Oil Currency and the Dollar Standard: A Simple Analytical Model of an International Trade Currency (joint with Michael B. Devereux and Kang Shi) [PDF]

It is widely accepted that the US dollar is the central reference currency for international trade pricing in final goods. At the same time, the dollar is the main invoicing currency for primary commodities. This paper links these two observations within a stylized theoretical framework, and shows how this may be used to obtain a quantitative estimate of the gain to the US economy from the use of the US dollar as a reference currency. With dollar invoicing of primary commodities, US firms bear less exchange rate risk than foreign firms when facing primary commodity price shocks (even when commodity prices are fully flexible). As a result of this asymmetry, all firms in the world will set their export prices in US dollars. This implies a dollar standard in international goods pricing. The paper derives a simple analytical formula to calculate the gains to the representative US household from the dollar standard. We find that the gains are extremely small.

2009年11月5日（木 Thursday）16:50-18:30

鯉渕賢 (Satoshi Koibuchi) （Chiba University of Commerce）

佐藤清隆 (Kiyotaka Sato) （Yokohama National University）

清水順子 (Junko Shimizu) （Senshu University）

Determinants of Currency Invoicing in Japanese Exports: A Firm Level Analysis

This paper examines the firm-level pricing behavior of Japanese exports to present new evidence and determinants of invoice currency. We interviewed 23 major Japanese exporting firms to collect information on their currency invoicing behavior and also on their explicit policy/strategy of the choice of invoice currency. New findings of the destination breakdown share of currency invoicing are presented in four major exporting industries: automobile, electric machinery, general machinery and electronic component industries. We also propose six possible determinants of currency invoicing in Japanese exports: (i) intra- or inter-firm trade; (ii) cost of exchange rate hedging; (iii) the degree of market competition and differentiation of exporting products; (iv) the share of exporting products customarily traded in US dollars; (v) exports from Asian production base to the US market; (vi) explicit policy of choosing a specific currency for invoicing. By constructing a firm-level data set obtained from annual securities and financial reports of each sample firm, we conduct both cross-section OLS and probit estimation to empirically examine the determinants of currency invoicing at a firm-level export. Our novel findings are three-fold. First, importer's currency invoicing is prevalent in Japanese exports to developed countries. Since most exports of sample firms are destined for local subsidiaries that face severe competition in the local markets, Japanese parent firms have a strong tendency to take an exchange rate risk by invoicing in the importer's currency, which is consistent with the pricing-to-market (PTM) behavior discussed in the literature. Second, a large share of exports of electronics products that are customarily invoiced in US dollars promotes US dollar invoicing even in exports to non-US markets. Third, although Japanese firms have shifted their production bases to Asian countries, exports from these Asian bases tend to be invoiced in US dollars as long as the final destination market is the United States. Thus, exceptionally small share of domestic currency (yen) invoicing in Japanese exports even in the 2000s is largely due to the development of Japanese production and trade structure in Asia driven by Japanese electronics companies. As long as US dollar invoicing is prevalent in Asia, both Japanese and Asian firms take exchange rate risks against the US dollar. This aspect will have important implications for a new strategy of optimal exchange rate risk management and, hence, establishing regional currency arrangements such as a common currency basket in East Asia.

2009年11月13日（金 Friday）15:40-16:50, 16:50-18:00 ※日時にご注意下さい
※The Sixth Joint conference of Seoul National University and University of Tokyo, Issues of Economic Policy: Past and Presentと共催

(1) 15:40-16:50 Dong-Hyun Ahn （Seoul National University）

Sign switching correlations of cross-country interest rates: Theory and Evidence

(2) 16:50-18:00 Yasuyuki Sawada （University of Tokyo）

Did the Financial Crisis in Japan Affect Household Welfare Seriously? (joint with Kazumitsu Nawata, Masako Ii, and Jeong-Joon Lee）

2009年11月26日（木 Thursday）16:50-18:30

Gianluca Violante （New York University）

Frictional Wage Dispersion in Search Models: A Quantitative Assessment (joint with Andreas Hornstein, Per Krusell and Giovanni L. Violante) [PDF]

In a large class of search models we derive a tight prediction for a measure of frictional wage dispersion-the mean-min wage ratio- that depends on statistics of labor market turnover (unemployment inflow and outflow rates, job-to-job transitions) and preference parameters (discount rate, value of non-market time), but is independent of the wage offer distribution. For plausible parameterizations of preferences, the observed magnitude of worker flows implies that in the basic search model, and in most of its extensions, frictional wage dispersion is very small. Notable exceptions are some of the most recent models of on-the-job search, where sizeable frictional wage dispersion can coexist with observed labor market transitions. Because of its broad applicability, our new metric allows us to rationalize the diverse empirical findings in the large literature estimating structural labor-market models with frictions. Our findings are also relevant for business-cycle studies, as they reveal that search models face a trade-off between frictional wage dispersion in the cross-section and cyclical unemployment fluctuations in the time-series.

2009年12月3日（木 Thursday）16:50-18:30

Ayse Imrohoruglu （University of Southern California） * Schedule Changed *

Agricultural Productivity and Growth in Turkey

2009年12月10日（木 Thursday）16:50-18:30

Ricardo Lagos （New York University）

Liquidity, Asset Prices, and Monetary Policy in an Exchange Economy [paper1] [paper2]

2009年12月17日（木 Thursday）16:50-18:30

田中隆一（Ryuichi Tanaka） （Tokyo Institute of Technology）

Industry Choice and the Returns to Education (joint with Katsuya Takii, Osaka University)

This paper examines the relationship between the return to college and the industry choice of college graduates. We construct a version of the Roy's model, and estimate the probability of industry choice and the returns to college using the Japanese Employment Status Survey from 1982 to 2002. We find that, after correcting the self-selection biases, the returns to college are small in a financial sector and a government sector, although college graduates are more likely to find their jobs in these sectors than high school graduates. We investigate potential causes of this seemingly inefficient allocation of workers across industries.

2010年1月20日（水 Wednesday） 12:00-13:00
※マクロファイナンス・金融&国際金融ワークショップと共催

松本哲人 （Akito Matsumoto) （International Monetary Fund）

"International Risk Sharing During the Globalization Era" (joint with Bob Flood and Nancy Marion)
[link to the paper]

2010年1月28日（木 Thursday） 12:00-13:30

Mauro Gallegati （Universita Politecnica delle Marche）

The Asymmetric Effect of Diffusion Processes: Risk Sharing and Contagion [PDF]

In this paper we provide a general characterization of diffusion processes, allowing us to analyze both risk-sharing and contagion effects at the same time. We illustrate the relevance of our theory with reference to the subprime mortgage crisis and more in general to the processes of securitization and interbank linkages. We show that interdependencies in real and financial assets are beneficial from a social point of view when the economic environment is favorable and detrimental when the economic environment deteriorates. In the latter case, private incentives are such that too many linkages are formed, with respect to what is socially desirable. The risk of contagion increases the volatility of the outcome and thus reduces the ability of the financial networks to provide risk-sharing.

Our analysis suggests that a likely major explanation of the subprime mortgage crisis is the process of securitization itself, in addition to the absence of transparency about the characteristics of the underlying assets that the multiple layers of financial intermediation fostered, as commonly claimed.

This may call for a different emphasis on the role of public intervention. While a goal to stabilize the economy in good times should be to disrupt the channels that bring contagion, that is a positive correlation in the returns, in a period of worsening economic conditions our analysis suggests regulatory intervention aimed at disconnecting the economy at crucial nodes. Moreover, we show that policy interventions should be aimed at rescuing institutions, but not their managers. Diminishing the cost of default actually increases the inefficiency due to the divergence between the social and the individual optimum.

2010年2月1日（月 Monday） 12:00-13:30
*UTIPE　Junior Research Seminar Seriesと共催
※　日時と場所にご注意下さい。

Xuan Tam （University of Virginia）

Long-Term Contracts in Unsecured Credit Markets [paper]

This paper studies the effectiveness of longer-term unsecured credit contracts in improving credit access, consumption smoothing, and welfare. I find that longer-term contracts result in higher average borrowing interest rates and hence lower levels of borrowing and fewer borrowers in the equilibrium. In addition, I show that longerterm contracts reduce consumer welfare. I also investigate the welfare implications of interest rate ceilings and show that imposing a modest interest rate cap under long-term contracts improves welfare.

2010年2月2日（火 Tuesday） 12:00-13:30
*UTIPE　Junior Research Seminar Seriesと共催
※　日時にご注意下さい。

Yi-Chan Tsai （Ohio State University）

News Shocks and Costly Technology Adoption [paper]

I study the macroeconomic response to news of future technological innovation under the assumption that firms cannot frictionlessly shift from existing capital stocks to new varieties associated with the impending advance in technology. Combining this new element with variable capital utilization and preferences designed to minimize wealth effects on labor supply, I develop a model that simultaneously accounts for four stylized facts: (1) slow diffusion of new technologies, (2) lumpiness in microeconomic investment, (3) stock prices leading measured productivity, and (4) comovement of consumption, investment and labor hours. On news of a coming technological innovation, firms begin to invest in new capital goods which will allow them to benefit from the innovation once it arrives. Because fixed costs lead some to delay adoption, there is slow diffusion of the new technology. At the firm level, investment in new technology follows an (S, s) rule, and at the aggregate level the model generates a hump-shaped investment pattern typical of the data. Moreover, the introduction of new capital causes the price of old capital to fall, leading stock prices to rise on news of the new technology. Finally, variable capital utilization slows the onset of diminishing returns to labor, so that work hours rise instantly, permitting rises in both consumption and investment.

2010年2月5日（金 Friday） 12:00-13:30
*UTIPE　Junior Research Seminar Seriesと共催
※　日時と場所にご注意下さい。

Huixin Bi （Indiana University)

Sovereign Default Risk Premia, Fiscal Limits and Fiscal Policy [paper]

We develop a closed economy model in order to study the interactions among sovereign risk premia, fiscal limits and fiscal policy. Default risk premia reflect the market's expectations about the ability and willingness of the government to service its debt. The government's ability arises endogenously from fiscal limits implied by Laffer curves, while the government's willingness is determined by the flexibility of its fiscal policy. The model rationalizes different sovereign ratings across developed countries. The distribution of fiscal limits is country specific and depends on the size of the government, the degree of the countercyclical policy responses, economic diversity and political uncertainty. The model also produces a nonlinear relationship between sovereign risk premia and the level of government debt. In recessions, the default risk premia of long-term bonds jump ahead of shortterm bonds and provide early warnings of sovereign defaults. The nonlinearity is consistent with the empirical evidence that once risk premia begin to rise, they do so rapidly. In addition, the model predicts substantial risk premia that are close to those observed, even when the probability of defaulting is remote. Risk premia carry substantial economic costs, lowering consumption and output for extended periods.

2010年2月10日（水 Wednesday） 12:00-13:10 *Macro Brown Bag Seminar
※　日時にご注意下さい。※Schedule Changed.

John Stachurski （Kyoto University）

Value function iteration using Monte Carlo (joint with Jenö Pál) [PDF]

※ 2010年1-2月　修士論文報告会 Master's Thesis Presentations ※

１．下記の予定は変更の可能性もありますのでご注意下さい

（Please note that the schedule below might be changed)。

２．発表は基本的に日本語で行われます

（Presentations are basically in Japanese)。

配布資料の印刷をご希望の方は、下記の期日までにセンター研究支援室の田中(kimiko[at mark]e.u-tokyo.ac.jp)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 学術交流棟（小島ホール） ６階）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。

※※　ミクロ経済学ワークショップを履修しているが、スケジュールの都合で修士論 文の発表がマクロ経済学ワークショップで行われる学生は、ミクロ経済学ワーク ショップで発表したものとみなし、ミクロ経済学ワークショップの単位を認定し ます。

※　印刷物は会場に届けられます。

※　パソコン・ポインターはセミナー室ロッカー内の機器をご使用下さい。（プロジェクターは会場に備え付けられています。） 　　　　　
設置、片づけは参加者の学生が各自で行ってください。

発表論文提出期限：

1月14日（木）発表者＝1月13日（水）朝9:00（必着）まで

1月21日（木）発表者＝1月20日（水）朝9:00（必着）まで

1月28日（木）発表者＝1月27日（水）朝9:00（必着）まで

2月4日（木）発表者＝2月3日（水）朝9:00（必着）まで

2010年1月14日（木　Tuesday）16:50-17:30

小寺寛彰 （Readers：澤田、Braun、市村）

Why is structure transformation in India so slow? −A dynamic general equilibrium analysis―

2010年1月14日（木　Tuesday）17:30-18:10

菊池信義　（Readers：市村、澤田、玄田）

学習指導要領改訂の効果の推定

2010年1月14日（木　Tuesday）18:10-18:50

高橋主光　（Readers：玄田、澤田、大湾）

日本における少年犯罪の決定要因に関する実証分析

2010年1月14日（木　Tuesday）18:50-19:30

田中万理　（Readers：澤田、市村、玄田）

Protection or Flexibility?: Dynamic Structural Estimation on Japanese Labor Market

2010年1月21日（木　Tuesday）16:50-17:30

山元武　（Readers：福田、藤本（淳）、加納）

名目預金契約による銀行システムの安定性について

2010年1月21日（木　Tuesday）17:30-18:10

吉田素規　（Readers：伊藤（正）、市村、加納）

マクロ金融政策の有効性−構造VARによる再検証

2010年1月21日（木　Tuesday）18:10-18:50

リ　テンショ　（Readers：澤田、市村、伊藤（元））

The Impact of subsidies to the purchase of durable goods - An evidence from the Sichuan Earthquake Research−

2010年1月28日（木　Tuesday）16:50-17:30

横溝弥彦　（Readers：玄田、大橋、矢坂）

労働力の産業間移動−農業の労働生産性と零細農家−

2010年1月28日（木　Tuesday）17:30-18:10

塚本浩太　（Readers：岩本、大橋、玄田）

献血の経済的インセンティブに関する実証分析

2010年1月28日（木　Tuesday）18:10-18:50

河野愛一朗　（Readers：大橋、岩本、金本）

近接地域に複数の空港が存在する環境における旅客の航空便選択の分析

2010年1月28日（木　Tuesday）18:50-19:30

山本航　（Readers：井堀、岩本、藤原）

世代間所得移転の動機についての研究

2010年2月4日（木　Tuesday）16:50-17:30

チョウ　テイ　（Readers：植田、伊藤（隆）、加納）

FDIと中・日米貿易

2010年2月4日（木　Tuesday）17:30-18:10

白石耕祐　（Readers：伊藤（隆）、福田、加納）

The optimal scale and portfolio of foreign reserves