※ 2012年3月7日現在の予定です。
本年度終了分：
| 日時 | April 21, 2011 (Thursday) 12:00-13:00 *Macro Brown Bag Seminar ※開始時間が変更いたしましたのでご注意下さい。 |
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| 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 | Martin Berka (Massey University)
What determines European real exchange rates? (joint with Michael B. Devereux) [PDF] |
| Abstract | We study a newly constructed panel data set of relative prices for a large number of consumer goods among 31 European countries over a 15 year period. The data set includes eurozone members both before and after the inception of the euro, floating exchange rate countries of western Europe, and emerging market economies of Eastern and Southern Europe. We find that there is a substantial and continuing deviation from PPP at all levels of aggregation, both for traded and non-traded goods, even among eurozone members. Real exchange rates exhibit two clear properties in the sample; a) they are closely tied to GDP per capita relative to the European average, at all levels of aggregation and for both cross country time series variation, b) they are highly positively correlated with cross country and time series variation in the relative price of non-traded goods. We then construct a simple two-sector endowment economy model of real exchange rate determination which exhibits these two properties, calibrated to match the data. Simulating the model using the historical relative GDP per capita for each country, we find that for most countries, there is a very close fit between the actual and simulated real exchange rate. |
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※下記セミナーは中止となりましたのでご注意下さい。/ Seminar Cancelled |
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| 報告 | James M. Nason (Federal Reserve Bank of Philadelphia)
TBA |
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※下記のセミナーは開催中止となりましたのでご注意下さい。/ Seminar Cancelled |
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| 報告 | Jang-Ting Guo (University of California, riverside)
TBA |
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| 日時 | May 19, 2011 (Thursday) 16:50-18:30 |
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| 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 | 黒川義教 (Yoshinori Kurokawa） (Tsukuba University)
Import Variety and Skill Premium in a Calibrated General Equilibrium Model: The Case of Mexico (joint with Manoj Atolia) [PDF] |
| Abstract | It can be theoretically shown that imports of new foreign varieties - the extensive margin - can be a possible source of increased skill premium in wages. No past studies, however, have quantified how much of the increase in skill premium can be accounted for by the increase in the extensive margin. This paper now formulates a static applied general equilibrium model and then calibrates it to the Mexican input-output matrix for 1987. In the calibrated model, our numerical experiments show that the extensive margin growth in Mexican manufactured imports from the U.S. can account for 6-13 percent of the actual increase in skill premium in Mexico from 1987 to 1994. |
| 日時 | May 26, 2011 (Thursday) 16:50-18:30 |
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| 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 | 敦賀貴之 (Takayuki Tsuruga） (Kyoto University)
Bank Overleverage and Macroeconomic Fragility (joint with Ryo Kato) |
| Abstract | This paper develops a dynamic general equilibrium model that explicitly includes a banking sector with a maturity mismatch. We demonstrate that, despite the perfect competition in the banking sector, rational banks take on excessive risks systemically, resulting in overleverage and inefficiently high crisis probabilities. The model accounts for the banks' rational over-optimism regarding future capital prices which arises from pecuniary externalities on their own solvency. Using the model as an example, we introduce MSR (marginal systemic risk) as a general measure to assess the macroeconomic exposure to systemic risks. |
| 日時 | June 2, 2011 (Thursday) 16:50-18:30 |
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| 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 | Nan Li (Ohio State University)
Knowledge Linkages and Multi-Sector Firm Innovations (joint with Jie (April) Cai) [PDF] |
| Abstract | Using cross-sector patent citations, we develop a novel measure characterizing the generality or applicability of different technologies. We find scale dependence in firms' innovation and sectoral entry decisions; that is, the new technologies that larger firms innovate tend to be pioneering, younger, and less general, while smaller firms self- select into more general and established sectors. Controlling for firm size, firms with a product mix of higher generality innovate more quickly in both existing and new sectors. We then develop a multi-sector firm innovation model which allows for heterogeneous cross-sector knowledge spillovers and fixed sectoral R&D costs. The model generates sequential sectoral entry, which helps to explain many empirical regularities regarding innovation and firm dynamics. It also explains the skewed concentration of firms across sectors and the sector size distribution observed in the data. Fixed R&D costs function as entry barriers and lead to incomplete knowledge circulation across sectors, disproportionally decreasing the size of sectors with more applicable knowledge. This R&D resource misallocation has a large negative impact on growth. |
| 日時 | June 7, 2011 (Tuesday) 12:00-13:00 *Macro Brown Bag Seminar ※日程が変更いたしましたのでご注意下さい。/ Schedule Changed |
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| 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)
Leveraged purchases of government debt and deflation |
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| 日時 | June 16, 2011 (Thursday) 16:50-18:30 |
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| 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 | 小林慶一郎 (Keiichiro Kobayashi） (Hitotsubashi University)
The Diamond-Rajan Bank Runs in a Production Economy [PDF] |
| Abstract | To analyze the macroeconomic consequences of a systemic bank run, we integrate the banking model `a la Diamond and Rajan (2001a) into a simplified version of an infinite-horizon neoclassical growth model. The banking sector intermediates the collateral-secured loans from households to entrepreneurs. The entrepreneurs also deposit their working capital in the banks. The systemic bank run, which is a sunspot phenomenon in this model, results in a deep recession through causing a sudden shortage of the working capital. We show that an increase in the probability of occurrence of the systemic run can persistently lower output, consumption, labor, capital and the asset price, even if the systemic run does not actually occur. This result implies that the slowdown of economic growth after the financial crises may be caused by the increased fragility of the banking system or the raised fears of recurrence of the systemic runs. |
| 日時 | June 23, 2011 (Thursday) 11:45-12:50 ※日時にご注意下さい。 ※ 金融センター特別セミナーと共催 |
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| 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）2階 コンファレンスルーム
in Conference Room on the 2nd floor of the Economics Research Annex (Kojima Hall) [Map] |
| 報告 | Anil Kashyap (University of Chicago Booth School of Business)
On Macro-prudential Financial Regulation ※資料は当日配布されます。 |
| 概要 | ※学外で参加ご希望の方は、下記Webサイトよりお申し込みください。 https://um.e.u-tokyo.ac.jp/carf/ ※詳細はこちらをご参照下さい。 |
| 日時 | July 7, 2011 (Thursday) 16:50-18:30 |
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| 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 | 廣瀬康生 (Yasuo Hirose)
(Keio University)
Changes in the Federal Reserve Communication Strategy: A Structural Investigation（joint with Takushi Kurozumi）[PDF] |
| Abstract | This paper structurally investigates the changes in the Federal Reserve'communication strategy during the 1990s by analyzing anticipated and unanticipated disturbances to a Taylor rule. The anticipated monetary policy disturbances are identified by estimating a medium-scale dynamic stochastic general equilibrium model with the term structure of interest rates, using the U.S. data that includes bond yields. The estimation results show that the Fed made its future policy actions unanticipated for market participants until the mid-1990s, but thereafter, the Fed tended to coordinate market expectations about future policy actions. This finding suggests that the changes in the Fed's communication strategy are consistent with the rise of the academic views on central banking as management of expectations. The inclusion of bond yields in the data for estimation is indispensable to the finding because the yields contain crucial information on the expected future path of the federal funds rate. Moreover, it is demonstrated that the presence of bond yields data generates a substantial contribution of monetary policy disturbances to business cycles. |
| 日時 | July 14, 2011 (Thursday) 16:50-18:30 |
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| 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 | 八木橋毅司 (Takeshi Yagihashi) (Old Dominion University)
Are DSGE Approximating Models Invariant to Shifts in Policy?: A Credit Channel Experiment [PDF] |
| Abstract | This paper discusses whether the parameter invariance problem, as stated in the Lucas (1976), applies to the standard new Keynesian DSGE model if the model misspecification occurs in the credit channel. I simulate a monetary policy shift driven by a change in the target inflation and examine whether the approximating model can serve as a useful guide for policymakers even if the parameters fail to remain strictly invariant. First, this paper finds that the parameter invariance problem is large in magnitude under the misspecification considered. Second, it finds that the additional welfare loss arising from the parameter change is small. Third, the potential gain from using a better approximating model with credit channel is found to be large and hence credit channel should not be omitted from future model development. |
| 日時 | July 21, 2011 (Thursday) 16:50-18:30 |
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| 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 | 杉本佳亮 (Yoshiaki Sugimoto) (Kagawa University)
Economic Growth with Locked-in Childbirth: From Under- to Over-Investment in Education (joint with Masao Nakagawa) |
| Abstract | This research argues that a quantitative change in the irreversibility of fertility decisions triggers the transition from under- to over-investment in education in the growth process. In the early stage of economic development, parents place greater importance on the quantity than the quality of children. The resulting large sunk cost of child rearing makes unaffordable education investment for children who are unexpectedly competent. Hence, a population control policy that lessens the sunk cost promotes growth process and prevents the emergence of a poverty trap. In the later stage, by contrast, the quantity of children is locked into a small size, leading to over-investment in education. An expansion of childcare will promote the accumulation of aggregate human capital and improve the welfare of future generations. |
| 日時 | July 28, 2011 (Thursday) 16:50-18:30 |
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| 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 | 平田 渉 (Wataru Hirata) (Bank of Japan)
Reconciling the Relevance of Labor Market Institutions in Search and Matching Models with International Data [paper] |
| Abstract | This paper examines whether the search and matching frictions in the New Keynesian framework can account for cross-country differences in cyclical properties of labor markets. Our particular focus is the joint effect of two labor market institution variables: employment protection and replacement income of unemployed workers. We first document an empirical regularity that higher degrees of employment protection and/or lower replacement rates raise the standard deviation of real wages relative to unemployment in OECD members. However, there is a positive correlation between employment protection and replacement rates implying that the net effect of a systematic change in these two institution variables could be ambiguous. Then we show that a model of search and matching friction is broadly consistent with the stylized fact: in the model, higher firing costs and/or lower replacement rates generate higher volatility of real wages relative to unemployment. Although the model is not able to generate enough variation in the relative standard deviation observed in the data, we find that a good part of this feature arise from increases in real wage volatility which is tightly linked with the volatility of the labor market tightness. |
| 日時 | August 2, 2011 (Tuesday) 12:00-13:10 *Macro Brown Bag Seminar ※日時にご注意下さい。 |
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| 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 | Richard A. Braun (Federal Reserve Bank of Atlanta)
Some Unpleasant Properties of Log-linearized Solutions When the Nominal Interest Rate is Zero (joint with Lena Koerber and Yuichiro Waki)
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| 日時 | October 6, 2011 (Thursday) 16:50-18:30 |
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| 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 | Doowon Lee (Yonsei University)
The Possibility of Transferring the Korean Economic Development Model to Developing Countries: Focusing on Sub-Saharan African Countries (joint with Sohee Yu) |
| Abstract | This paper covers the issue of transferring the Korean economic development model to 24 Sub-Saharan African countries. Korea's past policies are compared to African countries' present policies based on physical and human capital investments, government expenditure, and open door policy. In terms of saving and investment ratios, today's African countries are investing more than Korea did. African countries' education level in terms of literacy and enrollment ratios are mostly higher than Korea's past level. African governments are spending less on economic affairs than Korea did in the past. However, government spending on education is higher in African countries than in Korea. African countries today are much more open than Korea used to be. In conclusion, African countries today are investing no less than Korea did in every aspect quantitatively. However, their investment have problems in terms of quality and structure. |
| 日時 | October 13, 2011 (Thursday) 16:50-18:30 |
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| 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 | SaangJoon Baak (Waseda University)
Expectation formation functions and price dynamics: an application to the U.S. hog market |
| Abstract | This paper explores the dynamics of the U.S. hog market with three different dynamic models that are distinguished only by their assumptions with regard to the market participants' expectations of future prices. The first model assumes that all the producers in the market have rational expectations. The second model assumes that a constant fraction of the producers have static expectations. The third model, the main focus of the paper, assumes producers choose either rational expectations or static expectations every year based on the past performances of the two different types of expectations. Empirical tests such as log-likelihood ratio type specification tests of GMM estimations and one-step ahead forecasts with the annual data covering 1945-2007 indicate that the third model best captures the movements of the price and quantity data in the hog market, even though the empirical value added by the third model over the second is not great. Simulation experiments illustrate that the market will reach a steady state in the framework of the first and the second model if external shocks are zero. In contrast, in the framework of the third model, the market never reaches a steady state but generates cyclical or chaotic movements of the price depending on the value of the intensity of choice. |
| 日時 | October 20, 2011 (Thursday) 16:50-18:30 |
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| 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 | 西山慎一 (Shin-ichi Nishiyama) (Tohoku University)
How Bad was Lehman Shock?: Estimating a DSGE model with Firm and Bank Balance Sheets in a Data-Rich Environment (with H. Iiboshi, T. Matsumae, and R. Namba) [PDF] |
| Abstract | Recent financial crisis in the U.S. which was precipitated by so-called `Lehman Shock' has clearly exemplified that a deterioration of the balance sheet condition, especially those of the financial sector, can cause a deep and long-lasting recession of the economy. In modeling Lehman Shock, this paper embeds both corporate sector and banking sector balance sheets to the stylized DSGE model. We follow Bernanke, Gertler, and Gilchrist (1999) in embedding the corporate sector balance sheet, while we follow Gertler and Kiyotaki (2010) in embedding the banking sector balance sheet to the model. In our empirical analysis, we focus on the identification and estimation of the banking sector net worth shock, which is regarded as a proxy for Lehman Shock in this paper. In order to assess the impact of Lehman Shock reliably, we estimate the model using Data-Rich estimation method proposed by Boivin and Giannoni (2006). According to our preliminary estimation results, Lehman Shock turned out to be the worst banking sector net worth shock in past 25 years. However, the shock seems to have been successfully countered by TARP and the recessionary effect directly caused by Lehman Shock seems to be over. |
| 日時 | October 27, 2011 (Thursday) 16:50-18:30 |
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| 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 | 渡部和孝 (Wako Watanabe) (Keio University)
Public Capital, Deposit Insurance and the Risk-Shifting Incentive: Evidence from the Regulatory Responses to the Financial Crisis in Japan (joint with Brahim Guizani) [PDF] |
| Abstract | Using option pricing based models, we computed the actuarially fair deposit insurance premium and the market value of assets and asset volatility for Japanese banks as implied by their stock prices. The findings based on these variables suggest that banks shift risks to the deposit insurer who charges them risk insensitive premiums. Well-designed regulatory policies in response to the crisis, however, effectively restrained banks' risk-shifting. Not only did the introduction of the prompt corrective action discipline the fully insured banks, but also large-scale public capital infusions successfully deleverage poorly capitalized banks that tended to increase risk-taking, which mitigated their risk-shifting |
| 日時 | November 10, 2011 (Thursday) 16:50-18:30 |
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| 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 | Kosuke Aoki (University of Tokyo)
Bubbles, Banks, and Financial Stability (joint with Kalin Nikolov) [PDF] |
| Abstract | This paper asks two main questions: (1) What makes some asset price bubbles more costly for the real economy than others? and (2) When do costly bubbles occur? We construct a model of rational bub- bles under credit frictions and show that when bubbles held by banks burst this is followed by a costly nancial crisis. In contrast, bubbles held by ordinary savers have relatively muted e ects. Banks tend to in- vest in bubbles when nancial liberalisation decreases their pro tability. |
| 日時 | November 17, 2011 (Thursday) 16:50-18:30 |
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| 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 | Tack Yun (Seoul National University)
Transmission Mechanisms of the Public Debt [PDF] ※UTIPE Distinguished Research Seminar Series funded by Global 30 と共催 |
| Abstract | The first part of this paper is devoted to present some empirical evidence on the empirical IS curve that relates the aggregate demand to the real anticipated interest rate and the ratio of the public debt to GDP. The result of the empirical analysis is in favor of the presence of an empirical IS curve in which the aggregate demand is significantly affected by both the real anticipated interest rate and the public debt-to-GDP. In particular, the empirical finding on negative debt-elasticities of the aggregate demand in the empirical IS curve suggests the modification of the criteria used for the conventional distinction between non-Ricardian and Ricardian regimes. While the conventional distinction tells that the Taylor principle delivers an explosive dynamics of equilibrium path in a non-Ricardian regime with an exogenous primary surplus process, the estimated empirical IS curve indicates that a unique local equilibrium path requires the Taylor principle even with non-Ricardian regime in the presence of negative debt-elasticities of the aggregate demand. Furthermore, since the main modelling point of this paper is that the IS curve is the key equation for the transmission of the public debt, a goal of this paper is to see a variety of alternative theoretic mechanisms that might help include the public debt into the IS curve. As a result, a set of different models are discussed in this paper: Sovereign-risk based channel or Risk-premium (financial friction) based channel, Modified liquidity-effect channel, and Market-segmentation (in market for government securities) channel. |
| 日時 | December 1, 2011 (Thursday) 16:50-18:30 |
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| 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 | 鯉渕賢 (Satoshi Koibuchi) (Chuo University)
Currency Invoicing Decision: New Evidence from a Questionnaire Survey of Japanese Export Firms (joint with Takatoshi Ito, Kiyotaka Sato and Junko Shimizu) [PDF] |
| Abstract | There have been only a few studies that empirically examine the firm's decision on price setting and/or currency invoicing in international trade. This paper is the first study that conducts the questionnaire survey with all manufacturing firms listed in Tokyo Stock Exchange concerning the choice of invoicing currency at a firm level. Questionnaires were sent out to 920 Japanese firms in September 2009 and 227 firms responded. We present the new firm-level evidence on the choice of invoicing currency by destination and by type of trading partner, and also the share of invoicing currency of Japanese production subsidiaries in Asia. By conducting cross-section analysis, we found the following evidences: (1) highly differentiated goods and/or strong competitiveness of the products promote Japanese yen invoicing in exports to all countries, (2) larger share of intra-firm trade promotes importer's currency invoicing in exports to advanced countries, and (3) the production-sales networks of Japanese firms whose Asian production subsidiaries export their final products to other countries/region promote US dollar invoicing in exports to Asian countries. |
| 日時 | December 8, 2011 (Thursday) 16:50-18:30 |
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| 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)
"On-the-Job Search, Endogenous Job Separation, and the Labor Market Dynamics: A Quantitative Assessment" (joint with Yuya Takahashi) [PDF] |
| Abstract | This paper re-visits the negative co-movement of unemployment and job vacancies over the business cycle by using a search and matching model. We develop an endogenous job separation model with on-the-job search and cyclical macroeconomic shocks. Incorporation of on-the-job search substantially improves the ability of the standard search and matching model with endogenous job separation to explain the cyclicality of labor market variables. Our model generates the pro-cyclicality of job vacancies and thus the negative co-movement of unemployment and job vacancies, which the standard endogenous separation model often fails to generate. Moreover, our model generates enough cyclical amplitude in the unemployment rate and the job finding rate to match what we observed in the data. |
| 日時 | December 15, 2011 (Thursday) 16:50-18:30 |
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| 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 | Martin Bodenstein (Federal Reserve Board, currently visiting Asian Development Bank)
Oil Efficiency, Demand, and Prices: a Tale of Ups and Downs (joint with Luca Guerrieri) [PDF] ※UTIPE Distinguished Research Seminar Series funded by Global 30 と共催 |
| Abstract | The macroeconomic implications of oil price fluctuations vary according to their sources. Our estimated two-country DSGE model distinguishes between country-specific oil supply shocks, various domestic and foreign activity shocks, and oil efficiency shocks. Changes in foreign oil efficiency, modeled as factor-augmenting technology, were the key driver of fluctuations in oil prices between 1984 and 2008, but have modest effects on U.S. activity. A pickup in foreign activity played an important role in the 2003-2008 oil price runup. Beyond quantifying the responses of oil prices and economic activity, our model informs about the propagation mechanisms. We find evidence that nonoil trade linkages are an important transmission channel for shocks that affect oil prices. Conversely, nominal rigidities and monetary policy are not. |
| 日時 | January 11, 2012 (Thursday) 12:00-13:00 ※日時にご注意下さい。 |
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| 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 | 松山公紀 (Kiminori Matsuyama) (Northwestern University)
Endogenous Ranking and Equilibrium Lorenz Curve Among (ex-ante) Identical Countries ※UTIPE Distinguished Research Seminar Series funded by Global 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 |
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| 日時 | January 12, 2012 (Thursday) 12:10-13:10 ※時間に注意 |
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| 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 | Yili Chien (Purdue University)
The Risk Premium and Long-Run Global Imbalances (joint with Kanda Naknoi) [PDF] ※UTIPE Distinguished Research Seminar Series funded by Global 30 と共催 |
| Abstract | Our paper investigates whether the valuation effect caused by a large risk premium and a low risk-free rate can help to explain the enormous US current account and trade deficit observed in the past decade. To answer this question, we set up an endowment growth model in which investors are endowed with heterogeneous trading technologies. In our model, the average US investors load up more aggregate risk by investing in a risky asset abroad and issuing a risk-free asset. Thanks to the large risk premium as well as the low risk-free rate, the US can sustain a long-run trade deficit even as a debtor country. Quantitatively, we find that the valuation effect caused solely by the high risk premium and the low risk-free rate in our model, which is calibrated to match the external assets and liabilities of US economy, can account for more than half of the observed trade deficit and current account deficit. Our results suggest that the current US trade deficit might not necessarily lead to net export increases or dollar depreciation in the future. |
| 日時 | February 23, 2012 (Thursday) 16:50-18:30 |
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| 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 | Ippei Fujiwara (Australian National University)
Macroeconomics and Finance: How Dynamic Macroeconomic Models Treat Finance ※UTIPE Distinguished Research Seminar Series funded by Global 30 と共催 |
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| 日時 | ※ 2012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)。 |
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| 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。
※ 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19日（木）発表者＝1月18日（水）朝9:00（必着）まで 1月26日（木）発表者＝1月25日（水）朝9:00（必着）まで 2月2日（木）発表者＝2月1日（水）朝9:00（必着）まで 2月9日（木）発表者＝2月8日（水）朝9:00（必着）まで
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| 日時 | 2012年1月19日（木 Thursday）16:50-17:30 |
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| 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 | 松本英彦 （Readers：伊藤（隆）、植田、青木） Fire Sale : Externality and Policy Intervention |
| 日時 | 2012年1月19日（木 Thursday）17:30-18:10 |
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| 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 | Xia, JingJing （Readers：伊藤（隆）、植田、福田） Contagion Effect in European Sovereign Debt Crisis |
| 日時 | 2012年1月19日（木 Thursday）18:10-18:50 |
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| 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 | 小野原佑 （Readers：福田、加納（隆）、藤本（淳）） 協調的投資と複数プロジェクト |
| 日時 | 2012年1月26日（木 Thursday）17:30-18:10 |
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| 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 | リョウゲン （Readers：青木、渡辺、市村） Optimal Fiscal and Monetary Policy under Financial Intermediation |
| 日時 | 2012年1月26日（木 Thursday）18:10-18:50 |
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| 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 | 松岡佑和 （Readers：青木、渡辺、市村） Fiscal policy under low wealth effect on labor |
| 日時 | 2012年2月2日（木 Thursday）16:50-17:30 |
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| 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 | 金山貴博 （Readers：植田、加納（隆）、青木） フィリップ曲線のフラット化に関する考察 |
| 日時 | 2012年2月2日（木 Thursday）17:30-18:10 |
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| 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 | 澤田尚吾 （Readers：植田、伊藤（隆）、加納（隆）） 小国開放経済とノイズトレーダー及び税制 |
| 日時 | 2012年2月2日（木 Thursday）18:10-18:50 |
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| 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 | 筒井泰治 （Readers：加納（隆）、植田、小枝） A Time-Varying Parameter VAR Approach to New Keynesian Phillips Curves |
| 日時 | 2012年2月2日（木 Thursday）18:50-19:30 |
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| 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 | 松本梓 （Readers：大橋、福田、青木） 「追い貸し」：識別法の頑健性と、企業の退出に与える影響 |
| 日時 | 2012年2月9日（木 Thursday）16:50-17:30 |
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| 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 | 猪俣洋彰 （Readers：沈、林、藤本（淳）） Empirical Analysis on Japanese Unemployment Insurance System |
| 日時 | 2012年2月9日（木 Thursday）17:30-18:10 |
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| 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 | 五十嵐康之 （Readers：吉川、青木、市村） TFP変化率と経済成長率の因果関係に関する研究 |
| 日時 | 2012年2月9日（木 Thursday）18:10-18:50 |
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| 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 | 荒田禎之 （Readers：吉川、渡辺、青木） Income Distribution among Individuals and the Effects of Economic Interactions |
| 日時 | March 6, 2012 (Tuesday) 16:50-18:30 ※曜日にご注意下さい。 |
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| 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 | Michael Funke (Hamburg University)
The signaling channel of central bank interventions [PDF] ※UTIPE Distinguished Research Seminar Series funded by Global 30 と共催 |
| Abstract | This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the signalling channel. The theoretical premise of the model is that interventions convey signals that communicate information about the exchange rate objectives of central bank. The model is used to analyse the impact of Japanese FX interventions during the period 1999 -2011 on the yen/US dollar dynamics. |