マクロ経済学ワークショップ 2019
Macroeconomics Workshop
- ※ 2020年2月21日
- ※ 特に表記のない限りセミナー発表は英語で行われます（Unless otherwise mentioned, presentations are in ENGLISH）。
2019年度予定
| 日時 | April 4, 2019 （木 Thursday） 10:25-12:10
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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 第１セミナー室 |
| 報告 | 小林 照義 (Teruyoshi Kobayashi) (Kobe University)
Uncovering the network dynamics in financial markets |
| Abstract |
| 日時 | April 18, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | Francesco Zanetti (University of Oxford) Search Complementarities, Aggregate Fluctuations, and Fiscal Policy |
| Abstract | We develop a quantitative business cycle model with search complementarities in the inter-firm matching process that entails a multiplicity of equilibria. An active equilibrium with strong joint venture formation, large output, and low unemployment coexists with a passive equilibrium with low joint venture formation, low output, and high unemployment. Changes in fundamentals move the system between the two equilibria, generating large and persistent business cycle fluctuations. The volatility of shocks is important for the selection and duration of each equilibrium. Sufficiently adverse shocks in periods of low macroeconomic volatility trigger severe and protracted downturns. The magnitude of government intervention is critical to foster economic recovery in the passive equilibrium, while it plays a limited role in the active equilibrium. |
| 日時 | April 25, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | Francisco Ruge-Murcia (McGill University)
Asset Prices in a Small Production Network [paper] |
| Abstract | This paper constructs an asset-pricing model where firms in heterogeneous sectors interact with each other in a network as producers and consumers of materials and investment goods. Idiosyncratic sectoral shocks are transmitted through the network with the dynamics being affected by the heterogeneity in production functions and capital adjustment costs. The model is estimated using sectoral and aggregate U.S. data. Results show that 1) shocks to the primary sector account for a substantial part of the equity premium in all sectors because their volatility is much higher than that of shocks to the other sectors, and 2) the model endogenously generates volatility clusters despite the fact that shocks are conditional homoskedatic. These results depend crucially on the presence of network effects. |
| 日時 | May 9, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
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| Abstract |
| 日時 | May 16, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | 矢野誠 (Makoto Yano) (Research Institute of Economy, Trade and Industry (RIETI) )
Two-Dimensional Chaosand Industrial Revolution Cycles1 (joint with Yuichi Furukawa) [paper] |
| Abstract | Many issues in cycles and fluctuations cannot be explained without multiple state variables. Time needed for innovation is one such issue. This study uncovers, and provides a new characterization for, ergodic chaos with two state variables and builds a model of innovation highlighting time in innovation and intellectual property protection. We demonstrate that the explosive industrial takeoffs and Kondratieff's long waves over the past two centuries and a half may be explained as a single equilibrium phenomenon. Time in innovation tends to stabilize chaotic innovation dynamics. Intellectual property protection is a necessary condition for chaotic takeoffs from the no-innovation phase. |
| 日時 | May 23, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | 脇 雄一郎 (Yuichiro Waki) (Aoyama Gakuin University)
Fiscal Forward Guidance: A Case for Selective Transparency (joint withIppei Fujiwara) [paper] |
| Abstract | Should the fiscal authority use forward guidance to reduce future policy uncertainty perceived by private agents? Using dynamic general equilibrium models, we examine the welfare effects of announcing future fiscal policy shocks and show that selective transparency is desirable — announcing future policy shocks that are distortionary can be detrimental to ex ante social welfare, whereas announcing non-distortionary shocks generally improves welfare. Sizable welfare gains are found with constructive ambiguity regarding the timing of a tax increase in a realistic fiscal consolidation scenario. However, being secretive about distortionary shocks is time inconsistent, and welfare loss from communication may be unavoidable. |
| 日時 | May 29, 2019 （水 Wednesday） 10:25-12:10※日時・場所に注意 |
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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）2階 小島コンファレンスルーム |
| 報告 | 松山公紀 (Kiminori Matsuyama) (Northwestern University)
"Reconsidering the Market Size Effect in Innovation and Growth" |
| Abstract | In the standard R&D-based endogenous growth model, a larger country innovates more and grows faster. Because of the homotheticity of preferences, however, it does not matter whether the large market size is due to a large population size or a high per-capita expenditure. In this paper, we develop a balanced growth model of innovation with nonhomothetic preferences, containing the standard model as a limit case. We show, among others, that, holding the aggregate market size fixed, a country with higher per capita expenditure and a smaller population size innovates more and grows faster under the empirically relevant cases. |
| 共催 | 主催：Tokyo Workshop on International and Development Economics (TWID) |
| 日時 | May 31 2019 （金 Friday）9:00-10:30 ※日時に注意 |
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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）2階 小島コンファレンスルーム |
| 報告 | Francesco Bianchi (Duke University) The Origins and Effects of Macroeconomic Uncertainty (joint with Howard Kung and Mikhail Tirskikh) [paper] |
| Abstract | We construct and estimate a dynamic stochastic general equilibrium model that features demand- and supply-side uncertainty. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand-side and supply-side uncertainty imply large contractions in real activity and an increase in term premia, but supply-side uncertainty has larger effects on inflation and investment. We introduce a novel analytical decomposition to illustrate how multiple distinct risk propagation channels account for these differences. Supply and demand uncertainty are strongly correlated in the beginning of our sample, but decouple in the aftermath of the Great Recession. |
| 日時 | May 31 2019 （金 Friday）9:00-10:30 ※日時に注意 |
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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 第１セミナー室 |
| 報告 | Giancarlo Corsetti (Cambridge University)
The Elusive Gains from Nationally-Oriented Monetary Policy (joint with Martin Bodestein and Luca Guerrieri) |
| Abstract | The consensus in recent macro literature is that gains from international monetary cooperation are likely to be small. While this irrelevance result holds for economies which are close to “internal” and “external balance,” we show that the welfare costs and incentives to move away from cooperation can be very large when assessed conditionally on empirically-relevant dynamic developments of the economy. Using the workhorse two-country, two-good monetary model with nominal rigidities, we find that, in bond economies, the temptation to pursue non-cooperative, nationally-oriented policies is primarily driven by the emergence of global imbalances, i.e. large net foreign assets positions. Under complete markets, the temptation to deviate from cooperation is increasing in the trade-offs between inflation and unemployment, as is the case when price and wage rigidities translate into large and divergent real wage distortions. Quantitatively, the conditional costs of nationally-oriented policies can climb to several times the costs associated with business cycle fluctuations. We also show that flexible inflation targeting comes close to replicating the cooperative policies, and thus it is just as fragile. |
| 日時 | May 31 2019 （金 Friday） 10:30-12:10 ※日時に注意 |
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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 第１セミナー室 |
| 報告 | Bin Wei (Federal Reserve Bank of Atlanta) The Two-Pillar Policy for the RMB (joint with Urban J. Jermann, and Vivian Z. Yue) [paper] |
| Abstract | We document stylized facts about China’s recent exchange rate policy for its currency, the renminbi (RMB). Our empirical findings suggest that a “two-pillar policy” is in place, aiming to balance RMB index stability and exchange rate flexibility. We then develop a tractable no-arbitrage model of the RMB under the two-pillar policy. Using derivatives data on the RMB and the U.S. dollar index, we estimate the model to assess financial markets’ views about the fundamental exchange rate and sustainability of the policy. Our model is able to predict the modification of the two-pillar policy in May 2017, when a discretion-based “countercyclical factor” was introduced for the first time. We also examine the model’s ability to forecast RMB movements. |
| 日時 | June 6, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | Daniel Barczyk (McGill University) Save, Spend or Give? A Model of Housing, Family Insurance, and Savings in Old Age (joint with Sean Fahle Matthias Kredler) [paper] |
| Abstract | We propose that interactions among old-age risks, housing, and family insurance are key for understanding the economic behavior of the elderly. Empirically, we find that homeownership reduces dis-saving while increasing the likelihood and persistence of informal care from children, which in turn protects bequests by preventing nursing home entry. Nonetheless, elderly parents and the childless display strikingly similar savings and bequests. Additionally, we calculate that one-fourth of transfers from retired parents to children flow before death. We build a dynamic model featuring strategic interactions between imperfectly-altruistic parent and child households, a housing choice, and long-term-care risk. The model successfully rationalizes our empirical findings. Homes are valuable for inducing care from children, accounting for 10% of ownership. Although the childless have no altruistic motive for saving, they resemble parents because they lack family insurance and thus have a stronger precautionary motive. Parents withhold most transfers until death for strategic reasons. |
| 日時 | June 13, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | Mi Luo (Emory University)
Evolution of Wealth Distribution and Social Mobility in the U.S. (joint with Jess Benhabib and Alberto Bisin) |
| Abstract | We extend the framework in Benhabib, Bisin and Luo (2019) to a nonstationary setup to understand mechanisms driving the rapid increase in wealth inequality and relatively stable intergenerational mobility of wealth in the U.S. We consider four factors driving the changes: heterogeneous labor income, heterogeneous returns, increasing saving rates with wealth, as well as different paths in taxes for labor income versus capital income. We highlight the different effects of labor and capital income taxes on the changes on wealth inequality. |
| 日時 | June 20, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | Nathaniel A. Throckmorton (William & Mary)
The Zero Lower Bound and Estimation Accuracy (joint with Tyler Atkinson and Alexander W. Richter) [paper] |
| Abstract | During the Great Recession, many central banks lowered their policy rate to its zero lower bound (ZLB), creating a kink in the policy rule and calling into question linear estimation methods. There are two promising alternatives: estimate a fully nonlinear model that accounts for precautionary savings effects of the ZLB or a piecewise linear model that is much faster but ignores the precautionary savings effects. This paper compares the accuracy of the two methods using artificial datasets. We find the predictions of the nonlinear model are typically more accurate than the piecewise linear model, but the differences are usually small. There are far larger gains in accuracy from estimating a richer, less misspecified piecewise linear model. |
| 共催 | 主催：Tokyo Workshop on International and Development Economics (TWID) |
| 日時 | June 26, 2019 （水 Wednesday） 16:50-18:35 ※日時に注意 |
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| 場所 | 本セミナーはZoomを使ったオンラインでの開催(事前登録制）となります。詳細は本ウェブサイト上の説明をご確認ください。 This seminar is held online using Zoom (registration is required). Please read the instruction above for details. |
| 報告 | Samuel Kortum (Yale University)
"Firm-to-Firm Trade: Imports, Exports, and the Labor Market” (joint with Jonathan Eaton and Francis Kramarz) |
| Abstract |
| 日時 | June 27, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | Saleem Bahaj (Bank of England)
Central Bank Swap Lines: Evidence on the Effects of the Lender of Last Resort (joint with Ricardo Reis) [paper] |
| Abstract | Theory claims that central-bank lending programs put ceilings on private lending rates, reduce ex post funding risk, and encourage ex ante investment. Testing for these effects is challenging. Most programs either have long precedents or were introduced in response to large shocks with multiple effects. Swap lines between advanced-economy central banks are a significant new policy through which a source central bank provides source-currency credit to recipient-country banks using the recipient central bank as the monitor and as the bearer of the credit risk. This paper shows that, in theory, the swap lines should put a ceiling on deviations from covered interest parity, lower average market funding costs, and increase in ows from recipient-country banks into assets denominated in the source-country's currency. Empirically, these are tested using di erence-in-di erence strategies that exploit variation in the terms of the swap line over time, variation in the central banks that have access to the swap line, variation in the exposure of di erent securities to foreign funding, and variation in banks' exposure to dollar funding risk. The evidence suggests that the lender of last resort is very e ective. |
※Master's Thesis Presentations ※ We can print your thesis paper to be distributed at the seminar venue if needed. Please send an electronic file of it to CIRJE at cirje [at mark] e.u-tokyo.ac.jp, so that CIRJE can duplicate it. You can also bring its hardcopy directly to the CIRJE office on the 6th floor of Economics Research Annex (Kojima Hall).The submission deadline is (please be punctual): by 4:30pm, July 3 (Wednesday) |
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| 場所 | We can print your thesis paper to be distributed at the seminar venue if needed. Please send an electronic file of it to CIRJE at cirje [at mark] e.u-tokyo.ac.jp, so that CIRJE can duplicate it. You can also bring its hardcopy directly to the CIRJE office on the 6th floor of Economics Research Annex (Kojima Hall).
The submission deadline is (please be punctual): by 4:30pm, July 3 (Wednesday)
You MUST attend an official oral examination in addition to this master thesis presentation: for details, please see the schedule to be distributed by the Graduate Office when you submit your thesis. Presenters can use equipment such as a computer and a pointer in a locker in the seminar venue on the presentation day: make sure they should be back into place after use.
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| 日時 | Master's Thesis presentations July 4, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | 10:25-10:55 GONG Xinying （Reader: 渡辺）
10:55-11:25 GAO Yun （Readers： 青木、植田、中嶋）
11:25-11:55 WANG Yang （Readers: 岡崎、青木、宮尾）
11:55-12:25 YAN Han （Readers: 岡崎、宮尾、谷本） |
| 日時 | July 11, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | Satoshi Tanaka (Queensland University)
Earnings Growth, Job Flows and Churn (joint with Lawrence F Warren and David Wiczer) |
| Abstract | Using matched employer-employee data, we study the relationship between firmlevel worker ows and workers' earnings growth when they switch from one firm to another. We estimate how employers' net job ow and churn rates a ect workers' earnings when they transition from job to job. We find that job destruction at the origin leads to lower earnings growth and job creation at the destination leads to higher earnings growth, both immediately and in terms of the present discounted value of the match. These findings contravene some important predictions of job search theory, particularly that the recruitment motive behind wage posting in many directed search frameworks predicts high wages but not high wage growth for recruits to growing firms. Aggregating, the findings suggest that 10% of wage growth in job-to-job transitions is due to the e ect of job reallocation. |
| 日時 | July 18, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | Alexis Akira Toda (University of California, San Diego) Pareto Extrapolation: Bridging Theoretical and Quantitative Models of Wealth Inequality (joint with Emilien Gouin-Bonenfant) [paper] |
| Abstract | We propose a new, systematic approach for analyzing and solving heterogeneous-agent models with fat-tailed wealth distributions. Our approach exploits the asymptotic linearity of policy functions and the analytical characterization of the Pareto exponent to correct for the truncation error when computing the wealth distribution as well as aggregate quantities. Our algorithm is more transparent, efficient, and accurate with zero additional computational cost. Moreover, the performance is robust to the grid choice unlike in existing methods, which suffer from significant truncation error when the wealth distribution is fat-tailed. As an application, we solve a heterogeneous-agent model that features persistent earnings and investment risk, borrowing constraint, portfolio decision, and endogenous Pareto-tailed wealth distribution. We find that the introduction of a 1% wealth tax (with extra tax revenue used as consumption rebate) decreases wage by 6.5%, welfare (in consumption equivalent) by 7.7%, and total tax revenue by 0.72%. |
| 日時 | August 22, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | 清滝信宏 (Nobuhiro Kiyotaki) (Princeton University) |
| Abstract | We develop a model of banking panics which is consistent with two features of the data: First, banking crises are usually preceded by credit booms. Second, nonetheless, credit booms often do not result in crises. That is, in the language of Gorton and Ordonez (2019), there can be "bad booms" as well as "good booms". We then study macro-prudential regulation in this kind of environment. We consider how the optimal policy weighs the benefits of preventing a crisis against the costs of stopping a good boom and analyze the features of optimal regulation. We show, for example, that countercyclical capital buffers are a critical feature of a successful macro-prudential policy. |
| 共催 | 政策評価教育研究センター(CREPE) |
| 日時 |
September 2, 2019 （月 Monday） 16:00-17:30 ※日時に注意 |
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| 場所 | Paul Cashin (International Monetary Fund) |
| 報告 | This paper reviews the role of inflation expectations for the case of Japan. The key characteristics of Japanese inflation expectations are set out, in particular the expectation formation process for households and firms. Using a procedure implemented in recent Reserve Bank of New Zealand research, we investigate the movement of inflation expectations following changes in monetary policy in Japan, using Nelson Siegel curves. For robustness, we complement the analysis with further measures of anchored inflation expectations. Results show that while Japanese inflation expectations have not achieved the 2 percent target set by the Bank of Japan, there are signs of better anchoring of inflation expectations. |
| 日時 | September 26, 2019 （木 Thursday） 10:25-12:10 |
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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 第１セミナー室 |
| 報告 | Shigeru Fujita (Federal Reserve Bank of Philadelphia) Elasticities of Labor Supply and Labor Force Participation Flows (joint with Isabel Cairó and Camilo Morales-Jiménez) [paper] |
| Abstract | Using a representative-household search and matching model with endogenous laborforce participation, we study the interactions between extensive-margin labor supplyelasticities and the cyclicality of labor force participation flows. Our model successfullyreplicates salient business-cycle features of all transition rates between three labor mar-ket states, the unemployment rate, and the labor force participation rate, while usingvalues of elasticities consistent with micro evidence. Our results underscore the impor-tance of the procyclical opportunity cost of employment, together with wage rigidity,in understanding the cyclicality of labor market flows and stocks. |
| 日時 | October 3, 2019 （木 Thursday） 10:25-12:10 |
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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 第1セミナー室 |
| 報告 |
松田 一茂 (Kazushige Matsuda) (Hitotsubashi University)
Optimal Timing of College Subsidies: Enrollment, Graduation, and the Skill Premium [paper] |
| Abstract | In the United States, half of college enrollees drop out before earning a bachelor’s degree. This paper examines the effect of a college subsidy scheme, in which the subsidy amount varies across years in college, on college dropout and wage inequality. I find that by increasing college subsidies from freshmen to seniors, the number of college graduates increases. In addition, the skill premium decreases more than the case in which the total budget for current constant subsidies is increased by 50%. The scheme is welfare improving, despite the fact that enrollment decreases. |
| 日時 | October 10, 2019 （木 Thursday） 16:50-18:35 |
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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 小島コンファレンスルーム |
| 報告 | Raphaël Frank (Hebrew University of Jerusalem) Labor Scarcity and the Adoption of Labor Saving Technologies (joint with Oded Galor) |
| Abstract | 共催 | 主催：Tokyo Workshop on International and Development Economics (TWID) |
| 日時 | October 17, 2019 （木 Thursday） 13:15-14:45
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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 第1セミナー室 |
| 報告 | Mathias Hoffmann (University of Zurich) Growing Like Germany: Local Public Debt, Local Banks, Low Private Investment (joint with Iryna Stewen and Michael Stiefel) |
| Abstract | Germany’s current account surplus reflects low private investment. We argue that two structural factors—the local fragmentation of Germany’s banking system and the role of local public banks in local public finance— interacted with fiscal austerity are driving down the country’s private investment rate. Local banks dominate lending to small and medium firms in Germany and local public banks also have an explicit mandate to lend to the local public sector. Over the last decade, fiscal consolidation at the state and federal levels put pressure on the budgets of local governments which increasingly turned to local public banks for loans. With spreads on local government debt at all-time lows, local banks tried to break even by using their market power in geographically segmented lending markets to charge higher rates on their small-andmedium sized enterprise (SME) customers. Using a unique data set of more than 1m German firms over 2010-2016, we show that firms which depend on local banks face higher interest rates and have considerably lower investment if the local bank lends a lot to the local public sector. Aggregate private investment is around 1 percent of GDP lower due this crowding-out effect. |
共催 | 主催：Tokyo Workshop on International and Development Economics (TWID) |
| 日時 | October 24, 2019 （木 Thursday） 10:25-12:10 |
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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 第1セミナー室 |
| 報告 | YiLi Chien (Federal Reserve Bank of St Louis) The Determination of Public Debt under both Aggregate and Idiosyncratic Uncertainties (joint with Yi Wen) |
| Abstract | We analyze the Ramsey planner’s decisions to finance stochastic public expenditures under incomplete insurance markets for idiosyncratic risk. We show that whenever the market interest rate lies below the time discount rate, the Ramsey planner has a dominating incentive to increase debt to meet the private sector’s demand for full self-insurance, regardless of the relative size of aggregate shocks. However, if the full self-insurance Ramsey allocation is impossible to achieve (in the absence of government debt limits), an interior or bounded Ramsey equilibrium may not exist. The strong incentives for the Ramsey planner to smooth both individual consumption and income taxes imply that (i) when state-contingent bonds are available, the Ramsey equilibrium is characterized by full self-insurance and constant taxes in the long run, unless an upper government debt limit binds; and (ii) when state-contingent debt is not available, the government’s attempt to balance the competing incentives between tax smoothing and consumption smoothing—even at the cost of extra tax distortion—implies not only a bounded stochastic unit root component in optimal taxes but also a sufficiently high level of public debt such that the probability of staying at the full self-insurance allocation is strictly positive (unless a government borrowing limit exists and is binding). Therefore, adding a liquidity premium into the value of government bonds via incomplete financial markets can bring the theory of public finance into closer conformity with realty. |
| 日時 | October 31, 2019（木 Thursday） 10:25-12:10
Speaker Changed 発表者が変更いたしました。 |
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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 第1セミナー室 |
| 報告 | Katrin Tinn (McGill University) Evolution of New Industries and Takeover Dynamics |
| Abstract | This paper models innovation dynamics in the presence of uncertainty about the entrepreneurs’ business skills. In my setting, innovation is defined in the Aghion-Howitt sense of product quality improvement and is not sufficient to allow a firm to become an incumbent, as the firm’s consumers may prefer a less innovative product if it is sufficiently cheaper, if its design is more appealing, or if its marketing channels are more efficient. These three kinds of product differentiation depend on decisions made by the entrepreneur along the product's route to market. I show that uncertainty about the entrepreneur's business skills- in my model, ability to produce at a lower cost - can explain patterns associated with new industry dynamics, such as entries and exits at the initial stage and start-up takeover waves. Uncertainty about business skills can further give a rationale for innovation slowdowns and negative stock price reactions following takeover announcements. |
| 日時 | November 28, 2019 （木 Thursday） 10:25-12:10 |
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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 第1セミナー室 |
| 報告 | 高山直樹 (Naoki Takahashi) (Hitotsubashi University） Rational Expectations Models with Higher Order Beliefs [paper] |
| Abstract | This paper develops a general method of solving rational expectations models with higher order beliefs. Higher order beliefs are crucial in an environment with dispersed information and strategic complementarity, and the equilibrium policy depends on infinite higher order beliefs. It is generally believed that solving this type of equilibrium policy requires an infinite number of state variables (Townsend, 1983). This paper proves that the equilibrium policy rule can always be represented by a finite number of state variables if the signals observed by agents follow an ARMA process, in which case we obtain a general solution formula. We also prove that when the signals contain endogenous variables, a finite-state-variable representation of the equilibrium may not exist. The key innovation in our method is to use the factorization identity and Wiener filter to solve signal extraction problems conditional on infinite signals. This method can be used in a wide range of applications. |
| 日時 | Deccember 5, 2019 （木 Thursday） 10:30-12:00 ※時間・会場に注意 |
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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）2階 小島コンファレンスルーム |
| 報告 | José A. Scheinkman (Columbia University, Princeton University and NBER） When a Master Dies: Speculation and Asset Float |
| Abstract | The death of an artist constitutes a negative supply shock to his future production. Intuition would thus suggest that this supply shock reduces the future auction volume of this artist. In finance terms, this supply shock reduces this artist’s float. If collectors have heterogeneous beliefs and speculate about fundamental value, a reduction in float may increase subsequent volume and prices (Hong et al., 2006). Since collectors cannot sell short, prices overweigh optimists’ beliefs and reflect a speculative bubble. The size of the bubble and trading volume are therefore proportional to the asset’s float, so that a negative supply shock increases prices and volume. We find strong support for this prediction in the data. |
| 共催 | 主催；CARF特別セミナー(CARF Special Seminar) |
| 日時 | December 12, 2019 （木 Thursday） 10:25-12:10 |
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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 第1セミナー室 |
| 報告 | Xavier Ragot (Sciences-Po) Social preferences, and the optimal dynamics of public debt and taxes (joint with François Le Grand) |
| Abstract | This paper studies the optimal dynamics of public debt and taxes after macroeconomic shocks, to stabilize the economy while managing inequalities. Such an analysis relies on the Social Welfare Function used by the governments, which weights the welfare of the different agents. We first develop a general theory to estimate the Social Welfare Functions from the observed inequality and fiscal systems, using fiscal tax, labor tax, consumption taxes, transfers and public debt. Then for any Social welfare Functions, we derive optimal path of public debt and taxes, after both a technology shock and a public spending shock. The optimal time-profile of public debt depends on the persistence of these shocks. In addition, the capital tax appears to be very volatile. |
| 日時 | December 19, 2019 （木 Thursday） 10:25-12:10 |
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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 第1セミナー室 |
| 報告 | 原 千秋 (Chiaki Hara) (Kyoto University) Implied Ambiguity: Mean-Variance Inefficiency and Pricing Errors |
| Abstract | We study the optimal portfolio choice problem for an ambiguity-averse investor. We identify necessary and sufficient conditions for a given portfolio to be optimal for some ambiguity-averse investor. We define the implied ambiguity of a portfolio as the smallest ambiguity aversion coefficient with which the portfolio is optimal. We show that there are one-to-one relations between the implied ambiguity, the Sharpe ratio, and the pricing errors when the portfolio is taken as the pricing portfolio. Based on the U.S. equity market data, we assess how much ambiguity-averse the representative investor is and which stocks he perceives as having more ambiguous returns than others. |
| 日時 | December 26, 2019 （木 Thursday） 10:25-12:10 |
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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 第1セミナー室 |
| 報告 | Kai Jackie Zhao (University of Connecticut) How Important Is Health Inequality for Lifetime Earnings Inequality? (joint with Roozbeh Hosseini and Karen Kopecky) |
| Abstract | We study the impact of poor health on lifetime earnings inequality. First, using a dynamic panel data approach, we provide empirical evidence that negative health shocks reduce earnings. The effect is primarily driven by the participation margin and is concentrated in less educated and poor health individuals. Next, we build a dynamic, general equilibrium, lifecycle model that is consistent with these findings. Working-age individuals in the model have heterogeneous and risky health profiles. They choose to either work, or not work and apply for social security disability insurance (SSDI). Health impacts individuals' productivity, SSDI access, disutility from work, mortality, and medical costs. Calibrating the model to the U.S, we find that in an economy where all individuals receive the average health profile the variance of log lifetime earnings is 25 percent lower (at age 65) and 23 percent lower (at age 75) relative to the benchmark. The most important factor accounting for the decline is the fact that the removal of health inequality reduces lower-productivity individuals' access to SSDI and, consequently, increases their labor supply. |
| 日時 | January 15, 2020 （水 Wednesday） 10:25-12:10 |
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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 第1セミナー室 |
| 報告 | Francesco Zanetti (Unversity of Oxford) State Dependence of Fiscal Multipliers: The Source of Fluctuations Matters |
| Abstract | We develop a mode with state-dependent fiscal multipliers in a framework featuring interaction between three empirically relevant goods market frictions: idle productive capacity, unsatisfied demand and price rigidity. Our key novel finding is that the source of economic fluctuations determines the cyclicality of fiscal multipliers. Policies that stimulate aggregate demand, such as government spending and consumption tax cuts, have multipliers that are large in demand-driven recessions, but small and possibly negative in supply-driven downturns. On the other hand, policies that boost aggregate supply, such as cuts in taxes on labor income, firms' payroll and sales, are ineffective in demand-driven recessions, but powerful if the downturn is driven by supply factors. Spending austerity, implemented by a reduction in government consumption, can be the policy with the largest multiplier in severe supply-side recessions and demand-driven booms, provided elasticities of labor demand and supply are sufficiently low. |
| 日時 | February 5, 2020 （水 Wednesday） 10:25-12:10 ※日時、会場に注意 |
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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）2階 第3セミナー室 |
| 報告 | Leonardo Martinez (International Monetary Fund) Constrained efficient borrowing with sovereign default risk (with Juan Carlos Hatchondo and Francisco Roch) |
| Abstract | We solve a quantitative Eaton-Gersovitz sovereign default model with long-term debt and constrained efficient borrowing, i.e., with a Ramsey government that decides the future borrowing path taking as given future (ex-post optimal) default decisions. The Ramsey government improves upon the Markov government because the Ramsey government takes into account how borrowing decisions in period t affect the borrowing sets in periods before t. We show that compared with the Markov condition, the optimality condition for the Ramsey government can be written with only one additional state variable. We use the Ramsey condition to solve for the constrained efficient borrowing path. Simulations show that more than 80\% of the default risk would be eliminated by a Ramsey government, with small reductions in indebtedness. We also find that the Ramsey government does not promote a less procyclical fiscal policy and may even buy back debt in bad times. A debt ceiling could be as successful in reducing the default risk and would achieve 60\% of the welfare gain that the Ramsey planner achieves. In addition, starting with high initial debt, compared with a Markov government, a Ramsey government has a higher probability of completing a successful deleveraging (without defaulting) even though it chooses weaker austerity. These findings underscore the importance of governments' efforts to constrain fiscal policies with fiscal rules. |
| 日時 | February 20, 2020 （木 Thursday） 13:00-14:30 |
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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 第1セミナー室 |
| 報告 | Jón Steinsson (University of California, Berkeley) Women, Wealth Effects, and Slow Recoveries (joint with Masao Fukui and Emi Nakamura) [paper] |
| Abstract | Business cycle recoveries have slowed in recent decades. This slowdown comes entirelyfrom female employment: as women’s employment rates converged towards men’s over thepast half-century, the growth rate of female employment slowed. We ask whether this slow-down in female employment caused the slowdown in overall employment during recent busi-ness cycle recoveries. Standard macroeconomic models with “balanced growth preferences”imply that this cannot be the cause, since the entry of women “crowds out” men in the labormarket almost one-for-one. We estimate the extent of crowd out of men by women in the labormarket using state-level panel data and find that it is small, contradicting the standard model.We show that a model with home production by women can match our low estimates of crowdout. This model—calibrated to match our cross-sectional estimate of crowd out—implies that70% of the slowdown in recent business cycle recoveries can be explained by female conver-gence. |
※ 2020年1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 。 ２．発表は基本的に日本語で行われますが、希望により英語の発表も可能です。 |
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| 発表者の方へ | 印刷をご希望の方には、CIRJEにて印刷し、当日会場にて配布いたします。下記の期日までに最終稿のファイルまたはハードコピーをご提出ください。
発表論文提出期限（厳守）： 1月 9日（木）発表者＝1月 8日（水）昼12:00（必着）まで 1月16日（木）発表者＝1月15日（水）昼12:00（必着）まで
提出先：学術交流棟（小島ホール）６階 CIRJE（cirje [at mark]e.u-tokyo.ac.jp）
Your thesis paper is distributed at the seminar venue. Please send an electronic file of it to CIRJE at cirje [at mark] e.u-tokyo.ac.jp, so that CIRJE can duplicate it. You can also bring its hardcopy directly to the CIRJE office on the 6th floor of Economics Research Annex (Kojima Hall).
The submission deadline is (please be punctual): January 9 (Thursday)… by 12:00pm, January 8 (Wednesday)
Make sure that
Those who missed the deadline or those who would like to revise the thesis paper after the submission, are required to make 15 hardcopies of it and bring them to the seminar venue on the presentation day. You need to attend an official oral examination in addition to the presentations below: for details, please see the schedule to be distributed by the Graduate Office when you submit your thesis. Speakers can use equipment such as a computer and a pointer in a locker in the seminar venue during your presentation: make sure to return them after use. |
| 日時 | January 9, 2020 （木 Thursday） 10:25-11:55 |
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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 第1セミナー室 |
| 報告 | 10:25-10:55 御子柴みなも （Readers： 楡井 , 北尾, 植田） The Rise of Long Term Care Needs and The Decline in Social Mobility
10:55-11:25 鈴木徳馬 （Readers： 楡井 北尾 (植田 ）） R&D Tax Credit and Declining Business Dynamism
11:25-11:55 伊豫部羽人 （Readers： 植田 中嶋 （楡井）） Endogenous Fertility and its Efficiency |
| 日時 | January 16, 2020 （木 Thursday） 10:25-11:55 |
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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 第1セミナー室 |
| 報告 | 10:25-10:55 坂本健介 （Readers： 楡井 福田 (植田）） Risk-taking and Competition on Financial Networks
10:55-11:25 Zhaowei Li （Readers： 新谷 中島（植田）） Effects of Monetary Policy: Evidence from Japan |
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