東北大学現代経済学研究会
2009年度記録
| 日時 |
4月23日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
胡 云芳 氏 （東北大学大学院国際文化研究科准教授） |
| 論題 |
Trade Liberalization and Specialization with Endogenous Physical and Human Capital (with Taiji Furusawa) |
| 要
旨
|
The paper analyzes the human capital acquisition through education in relation to the physical capital accumulation in the context of a continuous-time overlapping generation-model, where heterogeneous agents in every generation choose the length of schooling at the beginning of their lives. The agents' decisions on schooling depend on whether or not the wage difference between skilled and unskilled labor is large enough to justify the costly education. The difference in the wage rates, in turn, depends on the amount of capital the country has accumulated. We argue that individuals may stop acquiring the human capital if the country opens to trade with the rest of the world when the capital accumulation is premature. |
| 日時 |
4月30日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
藤本 淳一 氏 （東京大学大学院経済学研究科講師） |
| 論題 |
The Value of Uncertainty Under Limited Commitment |
| 要
旨
|
In this paper, I analyze a simple financial contracting problem between a risk-neutral financial intermediary and a risk-averse household, where the household receives an endowment that grows over time, and is unable to commit to the contract. I argue that in this environment, the presence of uncertainty in the household's endowment may improve the household's welfare by relaxing its commitment problem and thus enabling the contract to achieve more efficient allocations. I analytically and numerically examine the conditions under which this is true, and show that it requires sufficiently rapid growth of endowment. This result suggests that a slowdown in growth may have a disproportionately large effect on welfare, which has potentially important practical implications, for example, for developing countries. |
| 日時 |
5月21日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
佐々木 勝 氏 （大阪大学社会経済研究所准教授） |
| 論題 |
Unemployment and Workplace Safety in a Search and Matching Model |
| 要
旨
|
Are recessions really good for workplace safety? This paper develops a model with search to consider the determinant of workplace safety and then investigates a relationship between unemployment and the incidence of work-related injury. There is a view that the rate of work-related injury is pro-cyclical according to Arai and Thoursie (2005), Ruhm (2000) and Boone and van Ours (2006). However, the data from several countries do not necessarily support this view. This paper considers an alternative approach to support the counter-cyclical variants in the rate of work-related injury in which a firm chooses the optimal input for workplace safety. |
| 日時 |
5月28日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
鈴木 純一 氏 （Assistant professor, University of Toronto） |
| 論題 |
Land Use Regulation as a Barrier to Entry: Evidence from the Texas Lodging Industry |
| 要
旨
|
This paper examines the impacts of land use regulation on the intensity of competition among hotels. In the U.S., local governments regulate private land use mainly through zoning. By creating a barrier to entry and lessening competition in local business markets, their regulation has the potential to generate a distortion. This paper assesses the empirical relevance of this hypothesis using microdata on midscale Texas chain hotels and land use regulation data collected from their local municipalities. I construct a dynamic entry-exit model of midscale hotel chains. By endogenizing their entry decisions, the model explicitly considers hotel chains’ reactions to the stringency of land use regulation. Reduced form regressions indicate that local markets under stringent regulation tend to undergo fewer entries. To identify the extent to which high entry cost due to stringent land use regulation explains this negative correlation, I estimate structural parameters of the entry model by using a recently developed simulation-based algorithm. To verify the robustness of my results, I also employ a bound estimator that is consistent under weak conditions. Estimation results indicate that imposing stringent regulation increases cost enough to affect hotel chains’ entry decisions. Although they are the immediate payers of the increased entry cost, incumbents shift about the half of their cost increase onto consumers by exploiting their increased market power. |
| 日時 |
6月18日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
近藤 絢子 氏 （大阪大学社会経済研究所講師） |
| 論題 |
Female Labor Market Conditions and Family Formation |
| 要
旨
|
Slack labor market conditions for women relative to men increase marriage rates for young women. One concern is that this increase may be from marginal marriages due to some females lowering their reservation match quality, and so lead to future divorces and possibly to increases in female headship and poverty. This paper examines the long-term consequences of such marriages using data from the Survey of Income and Program Participation and the Panel Study of Income Dynamics. I find that the marriages induced by relatively poor economic conditions for women reflect shifts in the timing of marriage among young women who would eventually marry anyway. Labor market conditions at age 18-20 do not affect the fraction of women who will marry by age 30. Further, labor market conditions at marriage are uncorrelated with the probability of divorce or with spouses' characteristics, and marrying young in response to labor market shocks does not significantly affect a woman's fertility or labor supply. These findings are consistent with a model in which economic conditions affect women's search intensity without affecting their reservation match quality. |
| 日時 |
6月25日（木） 16:20-17:50 |
| 場所 |
経済学研究科第21演習室（文科系総合研究棟10階）いつもと開催場所が異なります！ご注意ください！ |
| 報告者 |
宮脇 幸治 氏 （日本大学人口研究所PD） |
| 論題 |
Bayesian Estimation of Demand Functions under Block Rate Pricing |
| 要
旨
|
This article proposes a Bayesian estimation method of demand functions under block rate pricing, focusing on increasing one. Under this pricing structure, price changes when consumption exceeds a certain threshold and the consumer faces a utility maximization problem subject to a piecewise-linear budget constraint. We apply the so-called discrete/continuous choice approach to derive the corresponding demand function. Taking a hierarchical Bayesian approach, we implement a Markov chain Monte Carlo simulation to estimate the demand function. Moreover, a separability condition is explicitly considered to obtain proper estimates. We find, however, that the convergence of the distribution of simulated samples to the posterior distribution is slow, requiring an additional scale transformation step for parameters to the Gibbs sampler. The model is also extended to allow random coefficients for panel data and spatial correlation for spatial data. These proposed methods are applied to estimate the Japanese residential water and electricity demand function. |
| 日時 |
7月2日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
中島 賢太郎 氏 （東北大学大学院経済学研究科准教授） |
| 論題 |
Measuring Economic Localization: Evidence from Japanese Firm-level Data (with Yukiko Umeno Saito and Iichiro Uesugi) |
| 要
旨
|
本稿は，ミクロ立地データと呼ばれる企業立地についてのポイントデータを用いて日本における 製造業の集積動向について分析したものである．80 万社以上に及ぶ日本の企業データと Duranton and Overman (2005, Review of Economic Studies) による手法を用いて分析した結果，日本の製造業において過半数の企業が 5% の信頼レベルで集積していることが示され，またその範囲は 40km 程度と非常に狭い範囲であることなどが示された．また，得られた結果は先行研究におけるイギリスの結果と酷似していることが示された． |
| 日時 |
7月16日（木） 14:40-16:10 いつもと開催時間が異なります！ご注意ください！ |
| 場所 |
経済学研究科第21演習室（文科系総合研究棟10階）いつもと開催場所が異なります！ご注意ください！ |
| 報告者 |
Vu Tuan Khai 氏 （成蹊大学経済学部助教） |
| 論題 |
Shocks and Incomplete Exchange Rate Pass-through in Japan: Evidence from an Open Economy DSGE Model |
| 要
旨
|
This paper proposes a new way to evaluate significance of incompleteness of exchange rate pass-through, on both export and import sides, on responses of macroeconomic variables to both external and internal disturbances. Our approach involves Bayesian estimation of a relatively small scale open economy New Keynesian model which features incomplete nominal exchange rate pass-through. This model is estimated using the Japanese data. It is found that pass-through is indeed incomplete, on both the export and import side of the Japanese economy. In response to a shock to the foreign exchange market which lowers the value of the yen by 1%, export prices increase by about 0.5%, while import price increases are slightly larger. This limits the influence of monetary policy on both kinds of prices. |
| 日時 |
7月23日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
村田 安寧 氏 （日本大学総合科学研究科准教授） |
| 論題 |
Trade, wages, and productivity |
| 要
旨
|
We develop a new general equilibrium model of monopolistic competition with heterogeneous firms, variable demand elasticity and multiple asymmetric regions, in which trade integration induces wage and productivity changes. Using Canada-US interregional trade data, we structurally estimate a theory-based gravity equation system featuring endogenous wages and productivity. Given the estimated parameter values, we first decompose ‘border effects’ into a ‘pure’ border effect, relative and absolute wage effects, and a selection effect. We then quantify the impacts of removing the trade distortions generated by the Canada-US border on regional market aggregates such as wages, productivity, markups, the mass of varieties produced and consumed, as well as welfare. Last, we extend the counterfactual analysis to the firm level by generating productivity distributions and their changes via simulation. |
| 日時 |
10月15日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
石川 城太 氏 （一橋大学大学院経済学研究科教授） |
| 論題 |
Environmental Standards under International Oligopoly (with Toshihiro Okubo) |
| 要
旨
|
We explore the effects of domestic environmental standards when a domestic firm and a foreign rival produce imperfect substitutes and compete in the domestic market. We focus on a situation under which the standard drives the foreign product out of the domestic market, because it does not meet the standard. Such prohibitive standards may induce the foreign firm to produce an environmentally friendly good through R&D or licensing, but do not guarantee an improvement in environment. In the case of licensing, the foreign government may intervene to manipulate rent-shifting. The shifted rent could exceed the license fees. |
| 日時 |
10月29日(木）
14:40-17:50 （第１報告：14:40-16:10； 第２報告：16:20-17:50） |
| 場所 |
経済学研究科第401演習室 (文科系総合研究棟４階) |
| 報告者 | 溝渕 英之 氏 （慶應義塾大学産業研究所） |
| 論題 | Measuring Productive Efficiency of Labour: Baumol’s Disease Revisited |
| 要旨 | We introduce two theoretical measures for labour productivity growth. One is formulated based on the distance function and the other is on the profit function. Both measures are intended to captures the change in productive efficiency of labour, which could attribute the technological progress or the growth in capital services. We show that two theoretical measures coincide with the indexes which are computable from observable prices and quantities. By applying these indexes to industry data of the US during 1970-2005, labour productivity growth are compared over periods and across industries. We revisit the hypothesis of Baumol’s disease throughout the observations on the trend of industry labour productivities in service sector. |
| 報告者 |
鈴木 通雄 氏 （日本銀行金融研究所） |
| 論題 |
Consumption Smoothing without Secondary Markets for Small Durable Goods
|
| 要
旨 |
The purpose of this paper is to study whether trade frictions in durable goods markets help account for the patterns of household consumption expenditures observed in the Consumer Expenditure Survey (CEX), namely that the response of durable goods expenditures to income shocks is 78 percent larger than that of nondurable goods and the variance of the idiosyncratic part of log durable goods expenditures is four times as high as that of log nondurable goods expenditures. To do so, I develop a model with a continuum of households that purchase durable as well as nondurable goods. The key assumption is that durable goods cannot be rented or sold after purchase. By comparing stationary distributions of the model with and without trade frictions, I find that trade frictions are crucial in accounting for the expenditure patterns observed in the data. |
| 日時 |
11月12日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
田中 隆一 氏 （東京工業大学社会理工学研究科准教授） |
| 論題 |
Industry Choice and the Returns to Education (with Katsuya Takii) |
| 要
旨
|
This paper examines the relationship between the return to college and the industry choice of college graduates. We construct a version of the Roy's model, and estimate the probability of industry choice and the returns to college using the Japanese Employment Status Survey from 1982 to 2002. We find that, after correcting the self-selection biases, the returns to college are small in a financial sector and a government sector, although college graduates are more likely to find their jobs in these sectors than high school graduates. We investigate potential causes of this seemingly inefficient allocation of workers across industries. |
| 日時 |
11月19日（木） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
生藤 昌子 氏 （大阪大学社会経済研究所講師） |
| 論題 |
Internal vs. External Habit Formation in a Growing Economy with Overlapping Generations (with Kazuo Mino) |
| 要
旨
|
This paper explores the roles of internal and external habit formation in a simple model of endogenous growth with overlapping generations. We show that, in contrast to the case of representative agent economy, the internal and external habit persistence may produce qualitatively different effects on the steady-state characterization as well as on transition dynamics in an overlapping generations economy. We also confirm that whether the habit stock takes subtractive or multiplicative form in the utility function may be critical for the effects of consumption habits. |
| 日時 |
11月26日(木）
14:40-17:50 （第１報告：14:40-16:10； 第２報告：16:20-17:50） |
| 場所 |
経済学研究科第401演習室 (文科系総合研究棟４階) |
| 報告者 | 今 喜史 氏 （東京大学大学院経済学研究科博士課程） |
| 論題 | Intersectoral Linkage of Labor Markets of Tradeables and Nontradeables Sector |
| 要旨 | Based on a search-matching model of a small open economy with nontradeables sector, this paper analyzes how rising job destruction rate in one sector affect the equilibrium rate of unemployment through its impacts on labor markets of each sector. If job destruction rate rises in tradeables sector, sectoral unemployment rates rise in both tradeables and nontradeables sector because the undermined bargaining position of workers in tradeables sector spills over to nontradeables sector. We can also show that when the job destruction rate in the nontradeables sector is sufficiently high, sectoral unemployment rate is higher, and equilibrium wage is lower in nontradeables sector than in tradeables sector. |
| 報告者 |
手島 健介 氏 （京都大学経済研究所/メキシコ自治工科大学(ITAM)経済研究所） |
| 論題 |
Import Competition and Innovation at the Plant Level: Evidence from Mexico.
|
| 要
旨 |
A key idea in the literature on trade and growth is that trade liberalization may affect plants' innovative activities through increased competition. Theoretical predictions remain ambiguous, however, and it has been difficult to investigate this relationship empirically because R&D expenditure data is rarely available at the plant level. This paper takes the advantage of a newly constructed combination of Mexican plant-level datasets to examine the extent to which tariff changes lead to changes in R&D through increased competition. The combined dataset has two unique features: it contains (1) the amount of R&D on product innovation and on process innovation, and (2) the trade-classification categories of plants' outputs and inputs, which allows me o construct plant-level tariff changes and to control for industry time effects. The degree of tariff reduction is not correlated with initial plant characteristics, suggesting that the tariff reduction is exogenous for plants. The key finding is that the reduction of tariff s of the goods produced by Mexican plants induced those plants to increase total R&D. This suggests that trade liberalization stimulates plants' innovative activities through increased competition. I also find that the pattern would not be discernible using the measures of plant behavior and trade exposure available in typical plant-level datasets--measured total factor productivity and industry-level average tariffs. Additional results using process R&D and product R&D expenditure information suggest that trade liberalization affects plants' capability through the effects of competition on plants' incentives to increase cost efficiency rather than through the effects on incentives to create new products or to upgrade quality. |
| 日時 |
12月10日(木）
14:40-17:50 （第１報告：14:40-16:10； 第２報告：16:20-17:50） |
| 場所 |
経済学研究科第401演習室 (文科系総合研究棟４階) |
| 報告者 | 砂田 充 氏 （公正取引委員会競争政策研究センター研究員） |
| 論題 | An Empirical Investigation of the Toho-Subaru Antitrust Case:A Merger Case in the Japanese Movie Theater Market |
| 要旨 | We introduce two theoretical measures for labour productivity growth. One is formulated based on the distance function and the other is on the profit function. Both measures are intended to captures the change in productive efficiency of labour, which could attribute the technological progress or the growth in capital services. We show that two theoretical measures coincide with the indexes which are computable from observable prices and quantities. By applying these indexes to industry data of the US during 1970-2005, labour productivity growth are compared over periods and across industries. We revisit the hypothesis of Baumol’s disease throughout the observations on the trend of industry labour productivities in service sector. |
| 報告者 |
石井 利江子 氏 （首都大学東京都市教養学部准教授） |
| 論題 | Why are ring bids round numbers? |
| 要旨 | This paper analyzes the way digits are arrayed in actual bids in public auctions for construction works in Okinawa Prefecture, where a bid rigging case was filed by the JFTC against a large number of firms. We measure the roundness level of bids, which is defined as the number of zeros in the tail-end digit of the bid. It is found that (1) there is a positive relationship between the roundness level of bids and the bid-reserve ratio, and (2) in the group of bids which are close to the reserve price, the winning bids tend to have a higher roundness level than the losing bids. We further discuss why the bidders choose a round number. Given that ring bidders submit a high bid, our reasoning is that the losing bids are round numbers because when the expectation of winning is low, bidders economize the cost of preparing a bid, and choose a round number which is close to the reserve price, and winning bids are round numbers because in the bid coordination process, the winner has to announce his bid to the losers, and therefore the winner chooses a round number in order to avoid a miscommunication. |
| 日時 |
12月17日(木）
14:40-17:50 （第１報告：14:40-16:10； 第２報告：16:20-17:50） |
| 場所 |
経済学研究科第401演習室 (文科系総合研究棟４階) |
| 報告者 | 土居 直史 氏 （東京大学大学院経済学研究科博士課程） |
| 論題 | Network Effect on Airport Users |
| 要旨 | 本研究は、空港利用者の増加によって航空需要が増加する効果（ネットワーク効果）を実証的に考察した。日本の航空旅客市場のデータを用いた2種類の推定を行った。第1に、ネットワーク効果の存在の検証として、旅客数を空港利用者数に回帰する誘導形推定を実施した。第2に、運賃やフライト数と比較したネットワーク効果の重要性を議論するため、航空需要モデルの推定を試みた。以上の推定より、(1)空港利用におけるネットワーク効果は存在し、(2)旅客需要へ無視できない影響を及ぼしうる、という結果を得た。これにより、航空政策決定時には、ネットワーク効果に起因する正の外部性に留意する必要が示唆される。ネットワーク効果の経路としては周辺サービス（空港への交通機関やターミナルビルの飲食店など）の充実が考えられるが、航空需要モデルの推定結果は、その仮説と整合的だった。 |
| 報告者 |
今井 晋 氏 (Queen's University) |
| 論題 | A Quantile-based Test of Protection for Sale Model (with Hajime Katayama and Kala Krishna) |
| 要旨 | This paper proposes a new test of the Protection for Sale (PFS) model by Grossman and Helpman (1994). Unlike existing methods in the literature, our approach does not require any data on political organization. We use quantile and quantile IV regressions to do so using the data from Gawande and Bandyopadhyay (2000). Surprisingly, the results do not provide any evidence favoring the PFS model. We also explain why previous work may have inadvertently found support for it. |
| 日時 |
1月9日（土） 16:20-17:50 |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 |
及川 浩希 氏 （早稲田大学政治経済学術院助教） |
| 論題 |
Uncertainty-Driven Growth |
| 要旨
|
In this paper, I present a model in which uncertainty raises growth. The mechanism for this is learning by doing in the research sector: firms undertake research to reduce uncertainty, which results in social knowledge accumulation that improves the productivity of future research. The model explains the positive correlation between TFP growth and dispersion in manufacturing industries. The model also fits aggregate TFP behavior in U.S. manufacturing during the last two decades. |
| 日時 |
1月14日(木）
14:40-17:50 （第１報告：14:40-16:10； 第２報告：16:20-17:50） |
| 場所 |
経済学研究科第401演習室 (文科系総合研究棟４階) |
| 報告者 | 渡部 和孝 氏 （慶応義塾大学商学部准教授） |
| 論題 | Regulatory Remedies for Banking Crises: Lessons from Japan (with Linda Allen and Suparna Chakraborty) |
| 要旨 | In this paper, we utilize a hand gathered, bank specific database covering the period 1993 to 2007 to empirically examine the reactions of individual Japanese banks to governmental policies designed to end Japan’s financial crisis. Our unique database allows us to examine the composition of Japanese bank lending across three sectors (commercial and industrial lending, residential real estate and non-residential real estate), as well as aggregate lending activity. Our empirical results suggest that substantial risk-based capital infusions (similar to the 2009 stress tests in the US) were effective at stimulating aggregate bank lending activity, whereas regulatory forbearance (in the form of changes in accounting valuation procedures) had only allocative effects on bank lending activity. Our analysis indicates that across the board capital infusions (similar to the TARP capital infusions in October 2008) were ineffective in impacting bank lending activity during the Japanese financial crisis. Moreover, we find that regulatory capital was a binding constraint on Japanese banks, inducing some to switch their charter and abandon their international operations in order to reduce their capital requirements. We draw parallels to the public policy programs implemented in the US during the 2007-2009 financial crisis and conclude that policies must be substantial in size and risk targeted to be effective. |
| 報告者 |
加納 隆 氏 (東京大学大学院経済学研究科講師) |
| 論題 | Business Cycle Implications of Internal Consumption Habits for the New Keynesian Models (with Jim Nason) |
| 要旨 | This paper studies the implications of internal consumption habit for propagation and monetary transmission in New Keynesian dynamic stochastic general equilibrium (NKDSGE) models. We use Bayesian methods to evaluate the role of internal consumption habit in NKDSGE model propagation and monetary transmission. Simulation experiments show that internal consumption habit often improves NKDSGE model fit to output and consumption growth spectra by dampening business cycle periodicity. Nonetheless, habit NKDSGE model fit is vulnerable to nominal rigidity, the choice of monetary policy rule, the frequencies used for evaluation, and spectra identified by permanent productivity shocks. |
| 日時 |
1月15日（金） 16:20-17:50 |
| 場所 |
経済学研究科第402演習室（文科系総合研究棟４階）(普段と会場が異なります！ご注意ください) |
| 報告者 |
河崎 亮 氏 （日本学術振興会/東京工業大学） |
| 論題 |
Dynamics, stability, and foresight in the Shapley-Scarf housing market (with Yoshio Kamijo) |
| 要
旨
|
While most of the literature starting with Shapley and Scarf (1974) have considered a static exchange economy with indivisibilities, this paper studies the dynamics of such an economy. We find that both the dynamics generated by competitive equilibrium and the one generated by the weak dominance relation, converge to a set of allocations we define as strictly stable, which we can show to exist. Moreover, we show that even when only pairwise exchanges between two traders are allowed, the strictly stable allocations are attained eventually if traders are sufficiently farsighted. |
| 日時 |
1月28日（木） 16:20-17:50 |
| 場所 |
経済学研究科第8演習室（経済学研究科棟1階）(いつもと開催場所が異なります！ご注意ください！) |
| 報告者 |
福田 慎一 氏 （東京大学大学院経済学研究科教授） |
| 論題 |
Infrequent Changes of the Policy Target:Robust Optimal Monetary Policy under Ambiguity |
| 要
旨
|
In many countries, the monetary policy instrument sometimes remains unchanged for a long period and shows infrequent responses to exogenous shocks. The purpose of this paper is to provide a new explanation on why the central bank’s policy instrument remains unchanged. In the analysis, we explore how uncertainty on the private agents’ expectations affects robust optimal monetary policy. We apply the Choquet expected decision theory to a new Keynesian model. A main result is that the policymaker may frequently keep the interest rate unchanged even when exogenous shocks change output gaps and inflation rates. This happens because a change of the interest rate increases additional uncertainty for the policymaker. To the extent that the policymaker has uncertainty aversion, it can therefore be optimal for the policymaker to maintain an unchanged policy stance for some significant periods and to make discontinuous changes of the target rate. Our analysis departs from previous studies in that we determine an optimal monetary policy rule that allows time-variant feedback parameters in a Taylor rule. We show that if the policymaker has small uncertainty aversion, the calibrated optimal stop-go policy rule can predict actual target rates of FRB and ECB reasonably well. |
| 日時 |
2月12日（金） 9:30-11:00 |
| 場所 |
経済学研究科第401演習室 （文科系総合研究棟４階） |
| 報告者 |
Quoc Hung Nguyen 氏 （Hong Kong Institute for Monetary Research） |
| 論題 |
Housing Investment: What makes it so volatile? Theory and Evidence from OECD Countries |
| 要
旨
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This paper explains how recent mortgage market innovations have introduced greater volatility in the housing market. The paper begins by presenting two stylized facts for OECD countries that models with perfect credit markets fail to reconcile: (i) housing investment is about five times as volatile as GDP, and (ii) housing investment is more volatile in economies that have more mortgage market innovations. The paper then explains these facts by developing a DSGE model where households face a credit constraint and housing plays a collateral role for borrowing. This housing collateral constraint creates an endogenous link between the housing market and borrowing capacity, a link that amplifies the response of housing demand to shocks, hence, explaining the high volatility of housing investment. Moreover, innovations in the mortgage markets intensify the collateral role of housing and strengthen the endogenous link, therefore, enhancing housing investment volatility. Finally, calibrated models with a housing collateral constraint can explain 80 to 90 percent of housing investment volatility in the UK economy. |
| 日時 |
3月5日(金）
14:40-17:50 （第１報告：14:40-16:10； 第２報告：16:20-17:50） |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 | 大津 敬介 氏 （上智大学国際教養学部） |
| 論題 | International business cycle accounting |
| 要旨 | In this paper, I extend the business cycle accounting method a la Chari, Kehoe and McGrattan (2007) to a two-country international business cycle model and quantify the effect of the disturbances in relevant markets on the business cycle correlation between Japan and the US over the 1980-2008 period. This paper finds that disturbances in the labor market and production efficiency are important in account- ing for the recent increase in the cross-country output correlation. If international financial market integration is important for considering the recent increase in cross-country output correlation, it must operate through an increase in the cross-country correlation of disturbances in the labor market and production efficiency, and not in the domestic investment market. |
| 報告者 |
小林 照義 氏 (中京大学経済学部) |
| 論題 | Firm entry and monetary policy transmission under credit rationing |
| 要旨 | This paper presents an additional credit channel for monetary policy that would arise in the presence of credit rationing. I formally examine a situation in which new entry firms have no choice but to borrow funds from a financial intermediary to cover entry costs, taking into account the fact that most of the small and young firms are bank dependent in practice. It turns out that the presence of nominal debt contracts allows the central bank to influence firm entry and thereby aggregate output through its effect on the severity of credit rationing even in the absence of price stickiness. This is because a decrease in the nominal interest rate reduces the cost of funds for lending, which enables financial intermediaries to extend credit to less creditworthy firms. This “credit rationing effect” is absent in the conventional balance-sheet channel, where loan rates are determined so that credit demand is equal to credit supply. |
| 日時 |
3月17日(水）
14:40-17:50 （第１報告：14:40-16:10； 第２報告：16:20-17:50） |
| 場所 |
経済学研究科第401演習室（文科系総合研究棟４階） |
| 報告者 | 浅沼 大樹 氏 （東北大学大学院経済学研究科） |
| 論題 | The Effects of Bank's Expectation on the Macroeconomic Performance |
| 要旨 | The aim of this paper is to examine how banks expectations can affect macroeconomic performance. For our model, we reject the mainstream idea that the bank is just a financial intermediary. Banks are special institutions because their debts are accepted readily by other agents. In short, banks do not need to hold deposits before it lends. Considering this special feature of banks, the bank in our model does not face physical constraints. An important element that constrains the behavior of banks consists of their expectations. In this paper, we examine the effects of bank’s expectation states on macroeconomic conditions using the agent-based model to simulate heterogeneous firms with different net worth levels and leverage ratios. In our model, when the bank has optimistic expectations, it underestimates default risk even though every firm has a high leverage ratio. Therefore, the firms are able to borrow at relatively low interest rates. This results in strong capital accumulation and high economic growth. However, at the same time, the optimistic bank expectation undermines the firms’ resistance to negative shocks and sows the seeds of depression into the system. On the contrary, the economy cannot take off when the bank has pessimistic expectations. Although our analysis has many limits, the simulation results are suggestive to some events in economic history. |
| 報告者 |
西山 慎一 氏 （Bank of Canada） |
| 論題 | Monetary Policy Lag, Zero Lower Bound, and Inflation Targeting |
| 要旨 | Although the concept of monetary policy lag has historical roots deep in the monetary economics literature, relatively little attention has been paid to the idea. In this paper, we build on Svensson’s (1997) inflation targeting framework by explicitly taking into account the lagged effect of monetary policy and characterize the optimal monetary policy reaction function both in the absence and in the presence of the zero lower bound on the nominal interest rate. We numerically show the function to be more aggressive and more pre-emptive with the lagged effect than without it. We also characterize the long-run stabilization cost to the central bank by explicitly taking into account the lagged effect of monetary policy. It turns out that, in the presence of the zero lower bound constraint, the long-run stabilization cost is higher with the lagged effect than the case without it. This result suggests that the central bank and/or the government should set a relatively high inflation target when confronted with a relatively long monetary policy lag. This can be interpreted as another justification for targeting a positive inflation rate in the long-run. |