Workshops

Macroeconomics Workshop 2010

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

※ 2011年3月22日現在の予定です。

本年度終了分:

日時 April 8, 2010 (Thursday) 16:50-18:30
場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Karen Lewis (University of Pennsylvania (Wharton))

Stock Market Listing and Business Cycles with Heterogeneous Firms (joint with Fabio Ghironi)

Abstract

日時 April 15, 2010 (Thursday) 16:50-18:30
場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

藤原一平 (Ippei Fujiwara) (Bank of Japan)

Can News Be a Major Source of Aggregate Fluctuations?A Bayesian DSGE Approach (joint with Yasuo Hirose and Mototsugu Shintani) [PDF]

Abstract

We examine whether the news shocks, as explored in Beaudry and Portier (2004), can be a major source of aggregate .uctuations. For this purpose, we extend a standard dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003, 2007) by allowing news shocks on the total factor productivity, and estimate the model using Bayesian methods. Estimation results on the U.S. and Japanese economies suggest that (1) news shocks play a relatively more important role in the U.S. than in Japan; (2) a news shock with a longer forecast horizon has larger effects on nominal variables; and (3) the overall effect of the total factor productivity on hours worked becomes ambiguous in the presence of news shocks.

日時 April 22, 2010 (Thursday) 16:50-18:30
場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

今井亮一 (Ryoichi Imai) (九州大学(Kyushu University))

A Search Model of the Resale Market

Abstract

日時

May 13, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

中嶋智之(Tomoyuki Nakajima) (Kyoto University)

Constrained Inefficiency and Optimal Taxation with Uninsurable Risks (joint with Piero Gottardi and Atsushi Kajii) [PDF]

Abstract

When individuals.labor and capital income are subject to uninsurable idiosyncratic risks, should capital and labor be taxed, and if so how? In a two period general equilibrium model with production, we .rst show that reducing investment is welfare improving if households are homogeneous enough ex ante. On the other hand, when the degree of heterogeneity is sufficiently high a welfare improvement is achieved by increasing investment, even if the investment level is already higher than at the efficient allocation obtained when full insurance markets were available. Consequently, the optimal capital tax rate might be negative. We derive a decomposition formula of the effects of the tax which allow us to determine how the sign of optimal tax on capital and labor depends both on the nature of the shocks and the degree of heterogeneity among consumers as well as on the way in which the tax revenue is allocated.

日時

May 20, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

小枝淳子 (Junko Koeda) (University of Tokyo)

The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective (joint with Ryo Kato) [paper]

Abstract

Using a macroeconomic perspective, we examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. Many macro-finance models assume that policy shocks are homoskedastic, while observed policy shock processes are significantly time varying and persistent. We allow for this key feature by constructing a no-arbitrage GARCH affine term structure model, in which monetary policy uncertainty is modeled as the conditional volatility of the error term in a Taylor rule. We find that monetary policy uncertainty increases the medium- and longer-term spreads in a model that incorporates macroeconomic dynamics.

日時

May 27, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

陣内 了 (Ryo Jinnai) (Texas A&M)

Intangible Capital, Asset Prices, and Business Cycles [PDF]

Abstract

This paper demonstrates that a seemingly natural single innovation to an otherwise standard macroeconomic model simultaneously explains the origin of a news shock and the origin of the long-run risk. The innovation is a two-stage product cycle: i.e., when a new product is created with research and development (R&D), it is innovative and is produced monopolistically; but it is matured stochastically and after which time it is produced competitively. An important assumption is that an innovative product is a seed of new products in the sense that expert knowledge about it is essential for R&D. I interpret an innovation in the R&D sector-speci.c productivity shock as a news shock. The model replicates empirical responses recently found by Sims (2009) including a seemingly puzzling stock market appreciation happening with an investment slump on impact of the shock. The same shock is also the origin of the long-run risk. Equipped with a recursive utility, the model generates a large equity premium with a low and stable risk-free rate. Importantly, these results are robust to the value of intertemporal elasticity of substitution while most existing long-run risk models depend on an empirically controversial parametric assumption that the intertemporal elasticity of substitution is greater than 1. Simulated business cycle moments are in line with the data including those of R&D spending and factor shares.

日時

June 3, 2010 (Thursday)16:50-18:30

※ UTIPE Distinguished Research Seminar Seriesと共催
場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

北尾早霧 (Sagiri Kitao) (Federal Reserve Bank of New York)

A Life Cycle Model of Trans-Atlantic Employment Experiences (joint with Lars Ljungqvist and Tom Sargent)

Abstract

To understand trans-Atlantic employment experiences in the post-World War II era, we build an overlapping generations model that features ex ante heterogeneity in the form of two types of workers, high school and college graduates, who differ in the skill acquisition technologies that shape their long-run career decisions. Search frictions in the labor market affect short-run employment outcomes. The model emphasizes labor supply responses near the beginning and end of life and whether unemployment spells and early retirements are financed by an individual's savings or by public benefit programs. In Europe and America, people are ex ante identical, but a minimum wage and government institutions that mandate employment protection and provide a social safety net differ across the two continents. Increases in minimum wages in Europe explain why youth unemployment has risen more in Europe than in the U.S. A world-wide increase in the risk of human capital depreciation at times of involuntary job destructions causes long-term unemployment to erupt in Europe, mostly among older workers, but leaves U.S. unemployment unaffected. Increased probabilities of skill losses at times of involuntary job separation interact with workers' subsequent decisions to invest in human capital in ways that generate age-dependent increases in autocovariances of income shocks like those observed by Moffitt and Gottschalk (1995).

日時

June 10, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

向山敏彦 (Toshihiko Mukoyama) (University of Virginia)

Understanding the Welfare Effects of Unemployment Insurance Policy in General Equilibrium [PDF]

Abstract

This paper analyzes the welfare effects of the change in unemployment insurance benefits in three general equilibrium incomplete market models. In particular, it decomposes the total effect for each individual into different factors. In all of the models that I consider, the consumers face an uninsurable unemployment risk, can save in a interest-bearing asset, and face a borrowing constraint. I find that (i) in the models that are calibrated to the U.S. economy, the welfare benefit of having access to unemployment insurance above the current U.S. level is very limited, (ii) the changes in equilibrium prices tend to create a conflict of interest between poor and rich consumers, (iii) considering the endogenous reaction of the equilibrium unemployment rate to unemployment insurance benefit is important when considering the welfare effect of the change in equilibrium prices, and (iv) an unanticipated change in unemployment insurance benefits involves implicit transfers. Details of the model matter substantially in shaping the total welfare outcome, both through the direct effect on individuals and through the general equilibrium effect.

日時

June 22, 2010 (Tuesday) 16:50-18:30 ※ UTIPE Distinguished Research Seminar SeriesMicroworkshop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 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

清滝信宏 (Nobuhiro Kiyotaki)(Princeton University)

Financial Intermediation and Credit Policy in Business Cycle Analysis [PDF] [slides]

Abstract

We develop a canonical framework to think about credit market frictions and aggregate economic activity in the context of the current crisis. We use the framework to address two issues in particular: first, how disruptions in financial intermediation can induce a crisis that affects real activity; and second, how various credit market interventions by the central bank and the Treasury of the type we have seen recently, might work to mitigate the crisis. We make use of earlier literature to develop our framework and characterize how very recent literature is incorporating insights from the crisis.

日時

June 24, 2010 (Thursday) 12:00-13:00  ※UTIPE Distinguished Research Seminar Seriesと共催, Macro Brown Bag Seminar

※時間にご注意下さい。

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Bo Sun (Federal Reserve Board)

Asset Returns with Earnings Management [PDF]

Abstract

The paper investigates stock return dynamics in an environment where executives have an incentive to maximize their compensation by artificially inflating earnings. A principal-agent model with financial reporting and managerial effort is embedded in a Lucas asset-pricing model with periodic revelations of the firm's underlying profitability. The return process generated from the model is consistent with a range of financial anomalies observed in the return data: volatility clustering, asymmetric volatility, and increased idiosyncratic volatility. The calibration results further indicate that earnings management by individual firms does not only deliver the observed features in their own stocks, but can also be strong enough to generate market-wide patterns.

日時

June 24, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Makoto Saito (Hitotsubashi University)

Can cross-border financial markets create good collateral in a crisis? (joint with Shiba Suzuki and Tomoaki Yamada) [PDF]

Abstract

In this paper, we explore whether markets can create endogenously good collateral in a crisis by analyzing a simple model where a country-specific catastrophic shock is shared between two countries in the presence of solvency constraints. In this model, due to severe solvency constraints, realized catastrophic shocks cannot be covered fully by ex ante arrangements. However, most uninsured shocks can be financed ex post by the collateral asset created endogenously through the simultaneous expansion of financial balance sheets in both countries. A nondamaged country finances risky loans by issuing relatively safe bonds to a damaged country. Such safe bonds in turn serve as high quality collateral on which a damaged country issues risky bonds (loans) to finance uncovered losses without violating solvency constraints. The above bilateral lending works to achieve almost perfect insurance outcomes.

日時

July 1, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Kozo Ueda (Bank of Japan)

Policy Commitment and Market Expectations: Survey Based Evidence under Japan's Quantitative Easing Policy (joint with Yoshiyuki Nakazono)

Abstract

Using the survey on interest rate and in.ation expectations, we evaluate the e?ect of Japan.s quantitative easing policy from March 2001 to March 2006. We focus on the CPI commitment policy, under which the Bank of Japan promised to keep their accommodative policy until the CPI in.ation rate became stably zero or higher. We .nd that for the short- to medium-term interest rates, the CPI commitment policy lowered interest rate expecta- tions by about 0.5 percent points given the same level of in.ation expectations. Market participants expected a rise in the interest rates when in.ation expectations exceeded a threshold of about 0 percent.

日時

July 20, 2010 (Tuesday) 12:00-13:40, 16:50-18:30
※ 日時・会場にご注意下さい。
UTIPE Frontier Economic Lecture Seriesと共催

場所 12:00-13:40      東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
         in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
16:50-18:30      東京大学大学院経済学研究科 学術交流棟 (小島ホール)2階 小島コンファレンスルーム
         in Kojima Conference Room on the 2nd floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Jaume Ventura (CREI, Universitat Pompeu Fabra)

12:00-13:40 Bubbles and the Current Crisis [PDF]
16:50-18:30 Economic Growth and Bubbles [PDF]

Abstract

日時

July 21, 2010 (Wednesday) 10:00-11:40, 12:00-13:40
※ 日時にご注意下さい。

UTIPE Frontier Economic Lecture Seriesと共催

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Jaume Ventura (CREI, Universitat Pompeu Fabra)

10:00-11:40 Bubbles and Capital Flows [PDF]
12:00-13:40 Interpreting Recent Economic Developments [PDF]

Abstract

日時 July 27, 2010 (Tuesday) 12:00-13:00
UTIPE Frontier Economic Lecture Seriesと共催、 Macro Brown Bag Seminar

※日時にご注意下さい。
場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Junsang Lee (Australian National University)

Search-Theoretic Money, Capital and International Relative Prices [PDF]

Abstract

日時

October 7, 2010 (Thursday) 16:50-18:30

※ 会場が変更されましたのでご注意下さい。
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 3st floor of the Economics Research Building [Map]
報告

Minchung Hsu (GRIPS)

The Provision of Public Universal Health Insurance: Impacts on Private Insurance, Asset Holdings and Welfare (joint with Junsang Lee) [PDF]

Abstract

This paper aims to investigate impacts of public provision of universal health insurance (UHI) in an environment with household heterogeneity and financial market incompleteness. Various UHI polices with both distortionary (payroll-tax) and nondistortionary (lump-sum tax) financing methods are compared to address the tradeoff between risk sharing and tax distortion as well as corresponding welfare implications. We undertake a dynamic equilibrium over-lapping-generations model with endogenous insurance purchasing and labor supply decisions to perform quantitative analyses. We find clear crowding out effects on asset holdings and private health insurance (PHI) purchases. The redistribution effects on welfare across generations and across wealth groups are investigated. We also identify the distortion caused by the payroll tax financing of the UHI, which reduces labor supply, further crowds out PHI and asset holdings and a welfare loss. When we compare UHI policies with various expenditure coverage rates, our result suggests that a lower coverage rate (50%) than the rates in most OECD countries may lead social welfare gains.

日時

October 14, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Hyeok Jeong (GRIPS)

Complementarity and Transition to Modern Economic Growth  (joint with Yong Kim) [PDF]

Abstract

The Thai Socio-Economic Survey suggests that new labor market entrants increas- ingly enter occupational categories with high and positive productivity growth (modern sector), but continue to enter occupational categories with zero productivity growth (tra- ditional sector). Workers appear to stick to their choice of entry between these two sectors throughout their work careers. We postulate that the transition from the traditional to modern sector is gradual because sector-speci.c work experience complements labor. We measure the technology parameters of each sector and the partition of the economy consis- tent with the identifying assumption of each sector (i.e. presence of productivity growth), by implementing a structural estimation on individual earnings equations. We verify the dual partition and sector speci.c complementarity do indeed exist. We then build a model of sectoral choice which simulates well the observed transition dynamics of workers across sectors at the estimated parameters.

日時

October 21, 2010 (Thursday) 16:50-18:30

※ UTIPE Distinguished Research Seminar Seriesと共催
場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Jing Han (Chinese University of Hong Kong)

Handling Non-Invertibility: Theories and Applications (joint with Bill Dupor) [PDF]

Abstract

Existing research provides no systematic, limited information procedure for handling non-invertibility, despite the well-known inference problem it causes as well as its presence in many types of dynamic systems. Non-invertibility means that structural shocks cannot be recovered from a history of observed variables. It arises from a form of delayed responses due to, among other things, time-to-plan, sticky information or news shocks. Structural VARs rule out non-invertibility by assumption. Inference about structural responses can, in turn, be incorrect. We develop a four-step proce1 dure to partially, and sometimes fully, identify structural responses whether or not non-invertibility is present. Our method combines structural VAR restrictions, e.g. re1 cursive identification, with "agnostic" identification, e.g. sign restrictions and bounds on forecast error contributions. In two model-generated examples, our procedure re1 covers the structural responses where structural VARs cannot. Also, we apply our procedure to real world data. We show that non-invertibility is unlikely in Fisher's (2006) study of technology shocks in the U.S.

日時

November 4, 2010 (Thursday) 16:50-18:30

UTIPE Distinguished Research Seminar Seriesと共催
場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

Yulei Luo (the University of Hong Kong)

Signal Extraction and Rational Inattention (joint with Eric Young) [paper]

Abstract

In this paper we examine the implications of two theories of informational frictions, signal extraction (SE) and rational inattention (RI), for optimal decisions and economic dynamics within the linear-quadratic-Gaussian (LQG) setting. We first show that if the variance of the noise and channel capacity are fixed exogenously in the SE and RI problems, respectively, the two environments lead to different policy and welfare implications. We also find that if the signal-to-noise ratio in the SE problem is fixed, the two theories generate the same policy implications in the univariate case, but different policy implications in the multivariate case. These results are robust to the presence of correlation between structural shocks and noise shocks, and the presence of the risk-sensitivity preference. Furthermore, in the multivariate case we show that under RI, the agent's preferences, budget constraint, and information-processing constraints jointly determine the conditional variance of the state and the Kalman gain, whereas under SE they are determined by the exogenously given variance of the noise and the budget constraint; in other words, RI provides a microfoundation for the imprecise observations and noise in the SE problem.

日時

November 18, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

工藤教孝 (Noritaka Kudoh) (Hokkaido University)

Beauty Contests and Asset Prices under Asymmetric Information (joint with Ryuichiro Ishikawa) [PDF]

Abstract

In this paper, we study a dynamic Gaussian financial market model in which the traders form higher-order expectations about the fundamental value of a single risky asset. Rational uninformed traders are introduced into an otherwise standard differential information economy to investigate the impact of asymmetric information. In a two-period economy, there is a unique linear equilibrium; beauty contests under asymmetric information do not introduce excess volatility driven by self-fulfilling multiple equilibria. Under certain conditions, there is a nonmonotonic relationship between price volatility and the proportion of uninformed traders.

日時

November 25, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

宮本弘曉 (Hiroaki Miyamoto) (International University of Japan)

Productivity Growth, On-the-Job Search, and Unemployment (joint with Yuya Takahashi) [PDF]

Abstract

This paper studies the impact of long-run productivity growth on job finding and separation rates, and thus the unemployment rate, using a search and matching model. We incorporate disembodied technological progress and on-the-job search into the endogenous job separation model of Mortensen and Pissarides (1994). The incorporation of on-the-job search allows faster growth to reduce unemployment by decreasing the separation rate and inducing job creation. We demonstrate that introducing on-the-job search substantially improves the ability of the Mortensen and Pissarides model to explain the impact of growth on unemployment. Our quantitative analysis shows that our model increases the magnitude of the negative impact of growth on unemployment compared to the standard matching model with disembodied technological progress.

日時

December 2, 2010 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

三野和雄 (Kazuo Mino) (Kyoto University)

Globalization and Volatility under Alternative Trade Structures (joint with Yunfang Hu) [PDF]

Abstract

This paper explores a dynamic two-country model with production externalities
in which capital goods are not traded and international lending and borrowing are allowed. Unlike the integrated world economy model based on the Heckscher-Ohlin setting, our model yields indeterminacy of equilibrium under a wider set of parameter values than in the corresponding closed economy model. Our finding demonstrates that the assumption on trade structure would be a relevant determinant in considering the relation between globalization and economic volatility.

日時

December 9, 2010 (Thursday) 16:20-18:30  
※ 時間にご注意下さい。

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告1

Ayse Imrohoroglu (University of Southern California)
Firm Level Productivity, Risk, and Return (joint with Selale Tüzel)[PDF]

(Abstract)

This paper documents a strong link between firm level total factor productivity (TFP) and several firm characteristics such as size, book to market ratio, investment, and hiring rate. TFP is positively and monotonically related to contemporaneous stock returns and negatively related to future excess returns and ex-ante discount rates. Low productivity firms on average earn 5% annual premium over high productivity firms in the following year and the premium is countercyclical. We interpret the spread in the average returns across these portfolios as the risk premia associated with the higher risk of low productivity firms. A production-based asset pricing model with aggregate and idiosyncratic shocks is shown to be able to account for most of these stylized facts quantitatively.

報告2

Selahattin Imrohoroglu (University of Southern California)

Will a Growth Miracle Reduce Debt in Japan? (joint with Nao Sudo) [PDF]

(Abstract)

Japan has the highest debt to GDP ratio among the developed nations. In addition,
the population is projected to age rapidly over the next few decades, which will significantly increase the ratio of government expenditures to GDP. In this paper, we explore the e¤ect of economic growth driven by total factor productivity on Japanese debt in the face of higher future social security expenditures. Our main finding is that a decade of unprecedentedly fast growth of total factor productivity, at an average of 6% per year, is needed in order for Japan to eliminate its debt. Therefore, absent a drastic cut in government expenditures, our results suggest that the policy makers may well focus on growth-inducing policies such as lower distorting taxation and structural reforms that incentivize the entrepreneurial activity and innovation to drive a decade of miraculous growth.

日時

February 10, 2011 (Thursday) 16:50-18:30

※ UTIPE Distinguished Research Seminar Seriesと共催

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告 Rochelle Edge (Board of Governors of the Federal Reserve System)

General-Equilibrium Effects of Investment Tax Incentives (joint with Jeremy Rudd) [paper]

Abstract

This paper develops a new-Keynesian model with nominal depreciation allowances to consider the effects of temporary tax-based investment incentives on capital spending and real activity. In particular, we investigate the effects of a temporary expensing allowance on investment in partial and general equilibrium and challenge the conventional view, advanced by Auerbach and Summers (1979) and Judd (1985), that partial-equilibrium analyses overstate the calculated impact of such policies. We also explore two additional questions. First, we investigate a claim noted by Auerbach and Summers and analyzed by Christiano (1984) that such incentives can be destabilizing. Second, we consider the relative impact of two types of tax-based investment incentives: a temporary partial-expensing allowance and a temporary reduction in capital taxes.

 

日時

February 24, 2011 (Thursday) 16:50-18:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告 Thomas Lux  (University of Kiel)

Explaining and Forecasting the Psychological Component of Economic Activity

[1] paper
[2] Lux, Thomas (2009): "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Journal of Economic Behavior & Organization, 72, 638-655.

Abstract

[1]

We use weekly survey data on short-term and medium-term sentiment of German investors to estimate the parameters of a stochastic model of opinion dynamics. The bivariate nature of our data set also allows us to explore the interaction between the two hypothesized opinion formation processes, while consideration of the simultaneous weekly changes of the stock index DAX enables us to study the influence of sentiment on returns within a behavioral model of boundedly rational traders. Technically, we extend the maximum likelihood framework for parameter estimation in agent-based models introduced by Lux (2009a) by generalizing it to bivariate and trivariate settings. As it turns out, short-term sentiment is governed by strong social interaction with abrupt changes of direction while medium-term sentiment is a slowly moving process with more moderate social interaction. The trivariate model can potentially predict stock returns out-of-sample on the base of medium-run sentiment at least if an apparently spurious influence from short-run sentiment is discarded.

 

日時

2011年2月28日(月 Monday) 12:00-13:15
※ 日時にご注意下さい。
 
Microworkshop と共催

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告

大垣昌夫(Masao Ogaki) (Keio University)

Cultures, Worldviews, and Intergenerational Altruism (joint with Kohei Kubota, Charles Yuji Horioka, Akiko Kamesaka, and Fumio Ohtake)

Abstract

This presents empirical evidence concerning effects of cultural differences on parents' attitudes toward children from unique U.S. and Japanese survey data. These data sets have been collected by Osaka University, and contain questions concerning worldviews and religions, hypothetical questions about parental behavior, and questions about socioeconomic variables. The data show that U.S. parents tend to be tougher than Japanese parents toward young children. Our empirical evidence indicates that people who are confident about issues related to worldviews tend to show tough attitudes toward their children. Our evidence also suggests that contents of worldview beliefs held by parents affect parent's attitudes toward children. Because U.S. parents are much more confident than Japanese parents in worldview issues, this cultural difference helps explain why U.S. parents are much tougher than Japanese.



日時

※ 2011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)。

発表者の方へ

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のうえ、設置・片づけは最初と最後の発表者が各自で行って下さい。(プロジェクターは会場に備え付けられています。)
  

発表論文提出期限:

1月13日(木)発表者=1月12日(水)朝9:00(必着)まで

1月20日(木)発表者=1月19日(水)朝9:00(必着)まで

1月27日(木)発表者=1月26日(水)朝9:00(必着)まで

日時

2011年1月13日(木 Thursday)16:50-17:30

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall)
報告

濱賢太郎 (Readers:岩本、玄田、大湾)

景気後退がもたらすマッチングの質としての労働意識への持続的影響

日時

2011年1月13日(木 Thursday)17:30-18:10

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall)
報告

田中智章 (Readers:岩本、林、井堀)

地方政治過程の経済分析

日時

2011年1月13日(木 Thursday)18:10-18:50

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall)
報告

三木陽介 (Readers:岩本、林、井堀)

地方交付税の市町村単位における客観的基準による配分方式について

日時

2011年1月20日(木 Thursday)16:50-17:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
 ※会場にご注意下さい

in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

オウ セツ(Readers:伊藤(隆)、植田、福田)

Central Bank Credibility

日時

2011年1月20日(木 Thursday)17:30-18:10

場所 東京大学大学院経済学研究科棟 3階 第3教室
※会場にご注意下さい

in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

アリウィジット ソンポン(Readers:植田、伊藤(隆)、加 納(隆))

The effect of macroeconomic environment and natural disaster on microfinance institutions

日時

2011年1月20日(木 Thursday)18:10-18:50

場所 東京大学大学院経済学研究科棟 3階 第3教室
 ※会場にご注意下さい

in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

岡地迪尚(Readers:植田、伊藤(隆)、加納(隆))

Housing Price and Monetary Policy

日時

2011年1月20日(木 Thursday)18:50-19:30

場所 東京大学大学院経済学研究科棟 3階 第3教室
 ※会場にご注意下さい

in Lecture Hall No.3 on the 3rd floor of the Economics Research Building
報告

三澤宏明(Readers:植田、伊藤(隆)、加納(隆))

代表的通貨危機モデルと2008年危機

日時

2011年1月27日(木 Thursday)17:30-18:10

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall)
報告

猪野明生 (Readers:福田、藤本(淳)、加納(隆))

The role of public information in demand deposit contracts

日時

2011年1月27日(木 Thursday)18:10-18:50

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall)
報告

イク カビン (Readers:伊藤(元)、植田、福田)

China's Exchange Rate Policy: Current Account Surplus and Lessons from Japan

日時

March 17, 2011 (Thursday) 16:50-18:30 !Seminar Cancelled!

※下記のセミナーは中止となりましたのでご注意下さい。

場所 東京大学大学院経済学研究科 学術交流棟 (小島ホール)1階 セミナー室
in Seminar Room on the 1st floor of the Economics Research Annex (Kojima Hall) [Map]
報告 Jose Scheinkman  (Princeton University)

Cream skimming in financial markets (joint with Patrick Bolton and Tano Santos) [PDF]

Abstract

 We propose a model where agents choose to become entrepreneurs or informed dealers in financial markets. Agents incur costs to become dealers and develop skills for valuing assets. The financial sector comprises a transparent exchange, where uninformed agents trade, and an opaque over-the-counter (OTC) market, where dealers offer attractive terms for the best assets. Dealers provide incentives for entrepreneurs to originate good assets, but the opaqueness of the OTC market allows dealers to extract rents. By siphoning out good assets, the OTC market lowers the quality of assets in the exchange. In equilibrium, dealers' rents are excessive and attract too much talent to Finance.