Macroeconomics Workshop 1999

第１回日時：
4月22日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
藤原 賢哉氏 Fujiwara, Kenya（神戸大学大学院経営学研究科)
『銀行の経営組織と貸出行動』
報告要旨：
80年代後半に実施された銀行の経営組織改革、特に事業部制の導入に関して、審査部の独立性という観点から、不良債権問題との関連性について検証すると共に、当時の支店表彰制度のあり方や問題点についても言及する。

日時：
4月29日（木）
祝日休講

日時：
5月6日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
今井 亮一氏 Imai, Ryoichi（名古屋商科大学)
"On-the-Job Search with Heterogeneous Agents"
報告要旨：
This paper considered a job-seearch model where people are ex-ante heterogeneous. Each agent is endowed　with a quality which is ditributed over a certain range. If a match pattern is not in the CORE, any agent can block it. Then, in equilibrium (or in the core), for example, the richest man is married with the most beautiful woman, the second richest man is with the second most beautiful woman,and so on. This case is called as the "positivemating". This theory is easily applied to other contexts: Workers and firms, professors and universities, and so on.

日時：
5月13日（木） 4:50-6:30pm (TCER定例研究会との共催）
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
渡辺　努氏 Watanabe, Tsutomu（一橋大学経済研究所)
"Asymmetric Effects of Monetary Policy: Japanese Experience in the 1990s"(with Ryo Kato and Takashi Ui)
ML>報告要旨：
We construct a competitive bank loan market model where the marginal monitoring cost is assumed to increase as the firm's net worth decreases. Using the model, we show that the effectiveness of monetary policy through the so-called balance sheet channel becomes weaker as borrowers net worth decreases. We test and confirm this prediction by estimating a bank loan rate equation using the Japanese data.

日時：
5月20日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
広田 真一氏 Hirota, Shin'ichi（早稲田大学商学部)
"Does Credit Market Competition Destroy Lending Relationships?: Evidence from the Japanese Main Bank System"
報告要旨：
This paper empirically examines whether or not financial market competition destroys the value of lending relationships. To attain this aim, we focus on the typical example of lending relationships, the main bank relationships in Japan. Our empirical results suggest that the role of the main bank in lowering the agency costs of debt has not been reduced by the deregulation.

日時：
5月27日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
青木 正直氏 Aoki, Masanao（UCLA)
"Stochastic Views on Diamond Search Model: Asymmetrical Cycles and Fluctuations"
（with Yoshimasa Shirai）
報告要旨：
This paper abandons one of the simplifying assumptions in the standard formulation of search models by assuming that the number of economic agents in the model is large but finite. We show that in models with several locally stable equilibria asymmetric cycles exist, and derive variances of the fraction about locally stable equilibria in stationary states.

日時：
6月3日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
新豊 直輝氏 Shintoyo, Naoki（東京大学大学院経済学研究科)
『企業内訓練と外部労働市場』
報告要旨：
本論文では、労働移動が容易になるような環境変化を労働者の就職確率の上昇と捉え、これを労働市場の流動化と呼ぶことにする。そして、この労働市場の流動化が労働者の訓練や失業に与える効果を分析する。同じような労働市場の変化でも、企業内訓練が内部労働市場の条件によって規定されるか外部労働市場の条件に規定されるかによって、まったく別の効果が生じることが明らかになる。

日時：
6月10日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
大瀧 雅之氏 Otaki, Masayuki（東京大学社会科学研究所)
Presentation in Japanese
"On the Theory of Effective Demand: A Neoclassical Interpretation"
報告要旨：
An effective-demand theory, which entirely excludes any ad-hoc price rigidity, is constructed. When worker refers to his lifetime utility at the current participation decision, he is reluctant to getting nominal wage cut in proportion to price level. Thus, the nominal wage becomes sticky without any exogenous rigidity such as menu cost. Since the derived effective demand bears positive exterenality under monopolistic competition, the model not only provides a rigorous dynamic microeconomic foundation for the multiplier process, but also exibits some welfare-improving effect of aggregate-demand-managing policies.

日時：
6月17日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
二神 孝一氏（大阪大学経済学研究科) Presentation in Japanese
"Commodity Taxation and Economic Growth"
報告要旨：
This paper sheds light on the theory of optimal taxation from the view point of growth theories.

日時：
6月24日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
Hak K. Pyo氏（東京大学日本経済研究センター・ソウル大学) Presentation in English
"A Test of the Convergence Hypothesis by Rates of Returns to Capital: Evidence from OECD countries"(with Kwang-Hee Nam)
報告要旨：
While the Convergence Hypothesis implies that poor countries or regions tend to grow faster than rich ones, it can be reformulated such that poor countries or regions tend to have higher rates of return on their capital than rich ones but their rates of return would ultimatel y decline and converge to the level of rich ones. We test this reformulated convergence Hypothesis by estimating Harberger's before-tax gross rates of return on total capital from the data of OECD countries. The major finding is that the convergence hypothesis is accepted: there could be an outlier during a certain period but the rate of return on its capital eventually declines and converges to the steady -state level.

日時：
7月1日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
奥村 綱雄氏（ノースウェスタン大学) Presentation in Japanese
"On Money as a Signal"
報告要旨：
In a search-theoretic framework of exchange between agents of different types and wealth levels, this paper investigates the possibility that wealth(holdings of money) may serve as a signal in the marketplace that facilitates the identification of high-quality products when quality is uncertain. Such sign aling effects may lead to more unequal distributions of wealth than world otherwise arise and deteriorate the social welfare.

日時：
7月8日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
Douglas W. Diamond氏（シカゴ大学) Presentation in English
"Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking"
(with Raghuram G. Rajan)
報告要旨：
Both investors and borrowers are concerned about liquidity. We argue that finanial intermediation ca resolve these liquidity problems that arise in direct lending. Banks enable depositors to withdraw at low cost, as well as buffer firms from the liquidity needs of their investors. We show that the bank has to have a somewhat fragile capital structure, subject to bank runs, in order to perform these functions. A number of institutional features of a bank are therefore rationalized in the context of the functions it performs.

日時：夏休み臨時セミナー
8月17日（火） 4:00-6:00pm ※曜日と時間帯にご注意ください
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
Hyun Park氏（エセックス大学) Presentation in English
"On the Dynamics of Growth and Fiscal Policy with Redistributive Transfers"
(with A. Philippopoulos)
報告要旨：
This paper formalizes the effects of redistributive transfers on economic growth and the design of fiscal policies. The focus is on uniqueness and determinacy, and how this is affected by distributive and allocative activities on the part of the government.

日時：夏休み臨時セミナー
9月30日（木） 4:00-7:00pm ※曜日と時間帯にご注意ください
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
4:00-5:00pm 近藤 広紀氏（日本学術振興会特別研究員)
「中心-周辺地域モデルにおける所得格差，居住-就業人口配分および内生的経済成長」
要旨：中心-周辺地域からなる都市経済圏の内生的成長モデルを構築し，中心-周辺間の所得や地価の格差と，人口配分・通勤人口，そして経済圏全体の成長率の関係について理論的に考察する。
5:00-6:00pm 玉井 義浩氏（東京大学大学院経済学研究科）
"Storable Goods and Price Rigidity" (with K. G. Nishimura）
要旨：The purpose of this paper is to present another explanation of price rigidity based on intertemporal substitution in consumption.
6:00-7:00pm 宇南山 卓氏（東京大学大学院経済学研究科）
"Terms of Trade and Real Exchange Rate: The Blassa Samuelson Model Reconsidered"
要旨：We introduce product variety into the Balassa-Samuelson model to extend the model of real exchange rate determination.

日時：
10月14日（木） 4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
和田 賢治氏 Wada, Kenji（慶應義塾大学大学院経営管理研究科)
"Asset Pricing under Knightian Uncertainty"
要旨：
In this essay, I will propose a new measure for the Knightian uncertainty. As an application of this measure, I will show how much Knightian uncertainty is needed to solve the international risk premium puzzle between Japan and the U.S.

日時：
10月21日（木）4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
高木 信二氏 （大阪大学経済学部）
"Measuring the Impact of Monetary Union in Okinawa, 1958 and 1972: What Lessons Do We Learn for EMU?"
要 b旨：
Data from Okinawa's monetary union with the United States and with Japan in 1972 are used to obtain a quantitative indication of how monetary union might affect the behavior of nominal and real shocks across two economies.

日時：
10月28日（木）
休講（１１月１日に変更）

日時：
11月 1日（月） 臨時セミナー 5:00-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building2
報告：
Christopher D. Carroll氏（Johns Hopkins University）
"Saving and Growth with Habit Formation"
(a joint paper with Jody Overland and David Weil)
Abstract：
Saving and growth are strongly positively correlated across countries. Recent empirical evidence suggests that this correlation holds in large part because high growth leads to high saving, not the other way around.This evidence is difficult to reconcile with standard growth models, because forward-looking consumers with standard utility should consume more if they live in a fast-growing economy, in anticipation of higher future income. We show that if utility depends partly on how consumption compares to a 'habit stock' determined by past consumption,an otherwise-standard growth model can imply that increases in growth can cause increased saving.

日時：
11月 4日（木）4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
坪内　浩氏 Tsubouchi, Hiroshi（一橋大学経済研究所）
"Dynamic Stability of Households' Asset Holding under Imperfect Capital Market"
（不完全な金融市場における家計の資産保有の動学的安定性）
要旨：
本論文においては、heterogeneousな家計の動学的な消費行動と資産の蓄積行動を考察するとともに、最近10年間について家計がConsumption Smoothingを行う機会があったかどうかを検証する。

日時：
11月 １１日（木）4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
John Driffill氏（東京大学日本経済国際共同研究センター／Univ. of London)
"A Structural Economic Model for Monetary Transmission in Germany"
(with Andreas Beyer)
Abstract:
The purpose of this exercise is to develop one or more small macroeconomic models for the German economy that both have a reasonably coherent theoretical structure and also are consistent with the data. The starting point is a recent paper by Beyer("Monetary Transmission in Germany: Evidence from a Structural Econometric Model", University of Copenhagen, Institute of Economics, Discussion Paper 98-05) in which a structural vector equilibrium correction model is estimated. This model has excellent statistical properties, but interpretation remains somewhat difficult, the author's heroic efforts not withstanding. The variables in the model are log real GDP, log real money stock, log inflation, a short-term interest rate, and a long term interest rate. Data are quarterly, for 1975-1996. The initial aim is to develop a small theoretical model consistent with Beyer's 1998 estimated model. If necessary, it is intended to estimate and test alternative empirical models.

The seminar presentation on 11 November 1999 will represent a report on work in progress rather than a completed paper. (A written draft will be circulated.)

日時：
11月 １8日（木）4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
Martin Schulz氏（東京大学／Freie Universitat Berlin）
"Sound Signaling: A Rule for the Bank of Japan"
Abstract:
Inflation Targeting at the Bank of Japan
Monetary Policy Rules are often seen only as a tool to restrict unreliable central banks with a poor inflation record. Central banks with a good inflation record even suspect that restricting rules could become an obstacle to necessary adaptations of policy to a changing world, and that discretionary policy offers a much more flexible, and therefore more reliable set of instruments in the long-run. In contrast, this paper will argue that a carefully chosen policy rule does not inevitably lead to stricter policy restrictions than the Bank of Japan (BOJ) has already committed itself to. Instead, an inflation targeting rule could enable the BOJ to stabilize expectations in financial markets with a growing numbers of increasingly independent participants (especially foreign corporations, and Japanese non-bank financial corporations) by better communicating its understandings and actions.

日時：
11月 25日（木）4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
小川　一夫氏（大阪大学社会経済研究所）
"Bank Lending in Japan: Its Determinants and Macroeconomic Implications"
Abstract:
We examine the role of bank loans in the Japanese economy by analyzing the by analyzing the lending behavior of banking firms and the investment behavior of non-financial firms. As for the banks' behavior, we construct a dynamic model of lending and test a variety of behavioral hypotheses on the bank's loan supply based on the panel data set over 1976 to 1995. Our main finding is that the lending behavior is quite different by types of banks and of borrowers. For regional banks the bank loans are sensitive to deposits, indicating that they face imperfections in capital market. For major banks such as city banks, real estate plays a vital role as collateral in loan contracts. We also find that loans to small and/or non-manufacturing firms are more dependent on real estate as collateral and sensitive to the deposit growth. It is inferred that real estate functions as a device to reduce the agency cost stemming from the asymmetric information between borrowers and banks.
We also find that expenditure on fixed investment is much more sensitive to bank loans for small firms than for large firms. Our simulation exercises demonstrate that cut of loan supply is largely responsible for the stagnancy of investment in the downturns after the burst of the bubble and the financial turmoil in 1997. To sum up,lending channel is indeed important in Japan in propagating the shocks in the asset markets to the real economy.

日時：
12月 2日（木）4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
青木　正直氏（UCLA）
"A Share Market with Many Types of Participants: An Example of Computational Aspects of Economic Modelling"
Abstract:
This paper considers a market in which shares of a single asset is traded by agents with many strategies. The market behavior is examined by regarding clusters of agents with same trading rules as random combinatorial partitions of agents by types. The equilibrium distribution is shown to be the Ewens sampling formula. When agents are positively correlated, it is shown that a small number of groupings such as two types of agents dominate the markets. Distributions for large price difference or return are shown to be power-laws.

日時：
12月 9日（木）4:50-6:30pm
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
星　岳雄氏（UC San Diego）
"The Japanese Banking Crisis: Where Did It Come From and How Will It End?"(joint with Anil Kashyap)
Abstract:
We argue that the deregulation leading up to the Big Bang has played a major role in the current banking problems. This deregulation allowed large corporations to quickly switch from depending on banks to relying on capital market financing. We present evidence showing that large Japanese borrowers, particularly manufacturing firms, have already become almost as independent of banks as comparable U.S. firms. The deregulation was much less favorable for savers and consequently they mostly continued turning their money over to the banks. However, banks were also constrained. They were not given authorization to move out of traditional activities into new lines of business. These developments together meant that the banks retained assets and had to search for new borrowers. Their new lending primarily flowed to small businesses and became much more tied to property than in the past. These loans have not fared well during the 1990s. We discuss the size of the current bad loans problem and conclude that it is quite large (on the order of 7% of GDP). Looking ahead, we argue that the Big Bang will correct the aforementioned regulatory imbalances. This will mean that banks will have to fight to retain deposits. More importantly, we expect even more firms to migrate to capital market financing. Using the U.S. borrowing patterns as a guide, we present estimates showing that this impending shift implies a massive contraction in the size of the Japanese banking sector.

日時：
12月13日（月）5:00-6:30pm
臨時セミナー ※ 時間帯にご注意下さい
場所：
東京大学経済学部5階　視聴覚教育研究室
at the audiovisual room on the 5th floor of Econ. Building
報告：
Harald Uhlig氏(CentER, Tilburg University, and CEPR)
"What are the effects of monetary policy on Output?
Results from an agnostic identification procedure"
Abstract
This paper proposes to estimate the effects of monetary policy shocks by a new "agnostic" method, imposing sign restrictions on the impulse responses of prices, nonborrowed reserves and the federal funds rate in response to a monetary policy shock. No restrictions are imposed on the response of real monetary policy shocks have an ambiguous effect on real GDP. Otherwise, the results found in the empirical VAR literature so far are largely confirmed. The results: even though prices move only gradually in response to a monetary policy shock, these shocks may well be close to neutral.

※ 12月16日（木）休講（12月13日（月）に振り替え）

日時：
12月21日（火）12:00-1:10pm
臨時セミナー ※ Lunch Seminar: 時間と場所にご注意下さい
場所：
東京大学経済学部７階　第１共同研究室
at the meeting room No.1 on the 7th floor of Econ. Building
報告：
清滝 信宏氏（London Shool of Economics）
"Inside Money and Liquidity"(joint work with John Moore)

大学院修士論文報告会
日時：
1月20日（木）
場所：
東京大学経済学部７階　第１共同研究室
at the meeting room No.1 on the 7th floor of Econ. Building
報告：
4:00-4:40PM 飯田泰之 "On the Product Smoothing Model of Inventory: Seasonal and Non-seasonal Fluctuation"
4:45-5:25PM 陳　寿一 「人的資本を中心とした経済成長理論とその時系列分析」
5:30-6:10PM 塚田道行 「銀行経営の規律づけと預金保険制度の関連について」
6:15-6:55PM 古川尚史 「不可逆性を有する投資の企業行動と集計」

大学院修士論文報告会
日時：
１月２７日（木）
場所：
東京大学経済学部７階　第１共同研究室
at the meeting room No.1 on the 7th floor of Econ. Building
報告：
4:00-4:40PM 山根慶一　「政治経済モデルにおける官僚制の影響」
4:45-5:25PM 森谷純子　「国際資本移動の規制に関する研究」
5:30-6:10PM 荒木美奈子「先物取引における証拠金規制が与える影響についての実証研究」
6:15-6:55PM 島根良枝　「"国民消費財構想"の検討」
7:00-7:40PM 川出真清「閾値を伴う社会資本蓄積と直接投資による内生成長理論」

大学院修士論文報告会
日時：
２月 ３日（木）
場所：
東京大学経済学部７階　第１共同研究室
at the meeting room No.1 on the 7th floor of Econ. Building
報告：
4:00-4:40PM 橋本 守 「金融仲介機関の自己資本とモニタリング機能がマクロ経済に与える影響」
4:45-5:25PM 出口陽一 「銀行の倒産・救済政策に関する研究」
5:30-6:10PM 両角良子 「多角化･分社化･エージェンシーコストと経済成長」
6:15-6:55PM 川原正則 「金融不安定性仮説の現代的考察」
7:00-7:40PM 小松　真 「セーフティーネットの再構築」