TCER Working Paper Series


New TCER Research

May 2019
How do we choose to pay using evolving retail payment technologies? Some additional results from Japan

Hiroshi FUJIKI
Using Japanese individual household datasets, we obtain the following results that are consistent with findings in most advanced economies. For our first set of findings, persons using electronic money (contactless prepaid cards available in Japan after 2001) for day-to-day transaction values of less than 5,000 yen have lower cash holdings than cash users. Second, the average cash holdings of credit card users for both day-to-day and regular payments are less than that of cash users for day-to-day payments not using credit cards for regular payments. Our second set of findings contributes to the related literature in at least two respects. First, we combine the choice of payment methods for both day-to-day and regular payments. Second, we pay due attention to institutional details about the use of credit cards in Japan and propose unique identifying assumptions excluding those persons using credit cards for day-to-day transactions but not regular payments, and those using cash for day-to-day transactions but credit cards for regular payments.
[Download this paper]
May 2019
Endogenous Social Preferences in Bargaining and Contract Enforcement

Tetsuo Yamamori and Kazuyuki Iwata
In this study, we explore the impact of the endogenous nature of social preferences in bargaining on contract enforcement. For this purpose, we conduct laboratory experiments based on a one-shot gift exchange game in the context of firm–worker relationships. Our design admits two types of worker proposals on the contracts to his/her firm, defined as cheap talk. One contains only the desirable wage of the worker, while the other additionally contains his/her future effort. We find that worker preferences become biased in a more self-serving direction by making proposals in bargaining. That is, both types of worker cheap talk undermine reciprocity, thus deteriorating efficiency in an incomplete contract. Additional experiments show that the negative effect of cheap talk in bargaining is robust even for repeated interactions. By contrast, worker proposals including future efforts lead to successful coordination, which outweigh the negative effect on reciprocal behaviors.
[Download this paper]
May 2019
(A)symmetric Information Bubbles: Experimental Evidence

Yasushi Asako, Yukihiko Funaki, Kozo Ueda and Nobuyuki Uto
Asymmetric information has explained the existence of a bubble in extant theoretical models. This study experimentally analyzes traders' choices, with and without asymmetric information, based on the riding-bubble model. We show that traders tend to hold a bubble asset for longer, thereby expanding the bubble in a market with symmetric, rather than asymmetric, information. However, when traders are more experienced, the size of the bubble decreases, in which case, bubbles do not arise with symmetric information. In contrast, the size of the bubble is stable in a market with asymmetric information.
[Download this paper]
April 2019
Efficiency and stability in sender-receiver games under the selection-mutation dynamics

Seigo Uchida
Our study aims to reveal the relationship between the efficiency of neutrally stable strategies and asymptotic stability of rest points close to those strategies in Lewis-type sender-receiver games under the selection-mutation dynamics. We focus on the game in which the number of states is not equal to that of signals. While no strict Nash strategy exists in our case, we show that there are some neutrally stable strategies that have rest points close to these strategies, and that these rest points can be asymptotically stable under the selection-mutation dynamics. Moreover, those neutrally stable strategies give agents the maximal payoff. We name those neutrally stable strategies the extended signaling system, the unilaterally mixed strategy, and the max hybrid strategy.
[Download this paper]
March 2019
Cash Usage Trends in Japan: Evidence Using Aggregate and Household Survey Data

Hiroshi FUJIKI and Kiyotaka Nakashima
We examine the trends in cash usage in Japan and its substitution with noncash payment methods, such as credit cards and electronic money, using both aggregate and individual household survey data. We find that cash hoarding accounts for as much as 42% of total cash circulation in Japan. Behind this finding lies an unstable semi-log cash demand function after the late 1990s and a stable log-log cash demand function from 1995 to 2016. We also find that the extent of possible decreases in cash demand because of the substitution of cash for credit cards in day-to-day transactions is not large. Our back-of-the-envelope estimate of the possible maximum decrease in cash demand for day-to-day transactions is at most 0.4% in 2017 of the total cash in circulation in Japan.
[Download this paper]
February 2019
Public good provision financed by nonlinear income tax under reduction of envy

Takuya Obara and Shuichi Tsugawa
We examine optimal taxation and public good provision by a government that considers reduction of envy as a constraint. We adopt the extended envy-freeness proposed by Diamantaras and Thomson (1990), called λ-equitability. We derive the modified Samuelson rule under an optimal nonlinear income tax and show, using a constant elasticity of substitution utility function, that the direction of distorting the original Samuelson rule to relax the λ envy-free constraint is crucially determined by the elasticity of substitution. Furthermore, we numerically show that the optimal level of provision increases (decreases) in the degree of envy-freeness when the original Samuelson rule is upwardly (downwardly) distorted.
[Download this paper]
January 2019
The Natural Rate of Interest in a Nonlinear DSGE Model

Yasuo Hirose and Takeki Sunakawa
This paper investigates how and to what extent nonlinearities, including the zero lower bound on the nominal interest rate, affect the estimate of the natural rate of interest in a dynamic stochastic general equilibrium model with sticky prices and wages. The estimated natural rate of interest in a nonlinear model is substantially different from that in its linear counterpart because of a contractionary effect of the zero lower bound. Price and wage dispersion, from which a linear model abstracts, play a minor role in identifying the natural rate.
[Download this paper]
January 2019
The Effects of Lender of Last Resort on Financial Intermediation during the Great Depression in Japan

Masami Imai, Tetsuji Okazaki and Michiru Sawada
The interwar Japanese economy was unsettled by chronic banking instability, and yet the Bank of Japan (BOJ) restricted access to its liquidity provision to a select group of banks, i.e. BOJ correspondent banks, rather than making its loans widely available “to merchants, to minor bankers, to this man and to that man” as prescribed by Bagehot (1873). This historical episode provides us with a quasi-experimental setting to study the impact of Lender of Last Resort (LOLR) policies on financial intermediation. We find that the growth rate of deposits and loans was notably faster for BOJ correspondent banks than the other banks during the bank panic phase of the Great Depression from 1931-1932, whereas it was not faster before the bank panic phase. Furthermore, BOJ correspondent banks were less likely to be closed during the bank panics. To address possible selection bias, we also instrument a bank’s corresponding relationship with the BOJ with its geographical proximity to the nearest branch or the headquarters of the BOJ, which was a major determinant of a bank’s transaction relationship with the BOJ at the time. This instrumental variable specification yields qualitatively same results. Taken together, Japan’s historical experience suggests that central banks’ liquidity provisions play an important backstop role in supporting the essential financial intermediation services in time of financial stringency.
[Download this paper]
May 2018
Japan’s Unconventional Monetary Policy and Income Distribution: Revisited

Ayako Saiki and Jon Frost
This is a revaluation of our study which we published in 2014 (Saiki and Frost, 2014) The study found that Japan’s unconventional monetary policy (UMP) had widened income inequality in Japan. Since then, the Bank of Japan (BOJ) has further increased the monetary base and inflation has been low (headline inflation is about 1% as of this writing) but positive. We revisit the relationship between Japan’s quantitative and qualitative easing (QQE) and find further evidence for our conjecture. The impact of UMP on income distribution may differ in Japan and other countries for various reasons, including differences in household balance sheets and the flexibility of labor markets.
[Download this paper]
March 2018
Intermediary Organizations in Labor Markets

Takayuki Oishi, Jun Tomioka and Shin Sakaue
We propose a job matching model of intermediary labor markets by developing the seminal work of Kelso and Crawford (1982, Econometrica 50:1483-1504). Using this model, we show that for an arbitrary fixed broker-fee rate, the salary-adjustment process converges to a core allocation in intermediary labor markets where high-skilled workers are matched to high-technology firms by the private middleman and low-skilled workers are matched to low-technology firms by the public middleman. This result means that the dual labor market is emerged as a stable outcome of job-matching promoted by the private and public middlemen. Finally, we discuss empirical relevance of our theoretical model by using the data of job placement services in Japan.
[Download this paper]
March 2018
Human capital accumulation through recurrent education

Mariko Tanaka
Sustaining economic growth under rapid aging is one of the most important policy issues in Japan. Because of the difficulty of increasing labor force in an aging society, it is desirable to promote human capital accumulation for improvement of labor quality in the long run. However, since human capital accumulated in the young may become obsolete for elder workers, we cannot achieve sufficient level of human capital to sustain economic growth only through education for the young. Thus, we need recurrent education for the elderly or retired female workers in an aging society as in Japan. Hence, this paper investigates whether we can achieve socially optimal level of human capital when the decision to participate in recurrent education is left to the private sector.
To answer this question, this paper studies human capital accumulation through recurrent education as well as primary education and tertiary education in an OLG model. We show that the effects of mortality on recurrent education depends on the relationship between tertiary education and recurrent education. In other words, if they are complements, i.e. if a higher level of tertiary education increases the effects of recurrent education, a decline in mortality rate promotes recurrent education, which improves human capital. On the other hand, if they are substitutes, i.e. if a a higher level of tertiary education decreases the effects of recurrent education, a decline in mortality rate decreases the level of recurrent education, which decreases human capital. In the latter case, we cannot achieve sufficient level of recurrent education to sustain economic growth in an aging society through voluntary choice by the private sector, and hence, we need policies to promote recurrent education.
[Download this paper]
March 2018
Re-examination of Modern Macroeconomics: Market Failure in a Walrasian Economy and Keynes's Unemployment Equilibrium

Eizo Kawai
This study reexamines the skepticism toward the prevailing theories of modern macroeconomics based on the observations of a real economy. Two main hypotheses are tested.

First, the price mechanism is significantly incomplete in a Walrasian economy and does not function, particularly under deflation, which leads to market failure in such an economy. This completely differs from “the market failure due to the rigidity of wages and prices, menu cost and asymmetry of information, and so on” as stated by new Keynesianism. The crucial cause of market failure in the Walrasian economy is the unavoidable spillover effects between goods and labor markets under disequilibrium. Walrasian price mechanism completely disregards these effects. Considering these effects, the belief of the Walrasian general equilibrium, along with the assumption of flexible wages and prices, does not hold. The scale of real balance effects is the most critical factor in the study results. A static model suffices for these explications. Dynamic stochastic general equilibrium models are unnecessary and unfeasible.

Second, Keynes’s unemployment equilibrium is realized due to market failure in the Walrasian economy. Therefore, involuntary unemployment is a result of quantitative aspects and not price aspects. In other words, involuntary unemployment is not caused by the rigidity of real wages but by a shortage of labor demand under rigid real wages. This is possible by re-interpreting the Shapiro–Stiglitz efficiency wage model. Finally, demand is a critical factor in both the short run and long run.

[Download this paper]
March 2018
Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan

Hirokuni Iiboshi, Mototsugu Shintani and Kozo Ueda
We estimate a small-scale macroeconomic model for Japan by taking into account the nonlinearity stemming from the zero lower bound (ZLB) of the nominal interest rate. To this end, we apply the Sequential Monte Carlo Squared method to the case of Japan, where the ZLB has constrained the country's monetary policy for a considerably long period. Employing a nonlinear estimation is crucial to deriving implications for monetary policy. For example, the Bayesian model selection suggests that past experience of recessions reducing the nominal interest rate to zero is carried over to today's monetary policy. However, a nonlinear estimation has little effect on the estimate of the natural rate of interest, which has often been negative since the mid-1990s.
[Download this paper]
February 2018
Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data

Arito Ono, Kosuke Aoki, Shinichi Nishioka, Kohei Shintani and Yosuke Yasui
Based on a mean-variance model of bank portfolio selection subject to the value-at-risk constraint, we make predictions on transmission channels through which lower long-term interest rates increase bank loan supply: the portfolio balance channel, the bank balance sheet channel, and the risk-taking channel. Using a firm-bank loan-level panel dataset for Japan, we find evidence of the presence of these channels. First, an unanticipated reduction in long-term rates increased bank loan supply. Second, banks that enjoyed larger capital gains on their bond holdings increased loan supply. Further, this effect was stronger for loans to smaller, more leveraged, and less creditworthy firms.
[Download this paper]
January 2018
How is internal radiation exposure risk evaluated at the markets? Perceived quality degradation of Fukushima peach

Shigeru Matsumoto and Viet Ngu Hoang
The Great Tohoku Earthquake and massive tsunami disabled the Fukushima Daiichi power plant cooling system, which resulted in a meltdown of the reactor core and hydrogen explosion of the reactor buildings. A large amount of radioactive substances was released into the environment and the agricultural production in surrounding area was severely damaged by the radioactive contamination. Many experimental studies have been conducted after the nuclear accident to understand how consumers evaluate the internal radiation exposure risk associated with the consumption of agricultural food produced in the affected region. The studies have reported that a typical consumer differentiates agricultural foods produced at the contaminated region from those produced at non-contaminated region and then spends non-negligible amounts of money to lower their perceived internal radiation exposure risk. However, only a few studies have examined how internal radiation exposure risk is evaluated at the market level. In this study, we analyze the sales data of Japanese wholesale markets to examine how consumers’ valuation about agricultural food has been altered by the nuclear accident. By modifying the Dixit–Stiglitz demand model, we propose an empirical model to quantify the change in consumer’s valuation between competitive agricultural products. We then apply the proposed model for the analysis of daily peach sales data obtained from Japanese wholesale markets. Our empirical results demonstrate that consumer valuation of Fukushima peach dropped significantly in the nuclear accident year, but it rapidly recovered in the following year. The result suggests that the measures against radioactive contamination are positively evaluated among Japanese consumers.
[Download this paper]
January 2018
Strategy-Proofness and Efficiency of Probabilistic Mechanisms for Excludable Public Good

Kazuhiko Hashimoto and Kohei Shiozawa
We study strategy-proof probabilistic mechanisms in a binary excludable public good model. We construct a new class of probabilistic mechanisms satisfying strategy-proofness, called α-mechanisms.
We first show that the α-mechanisms are second-best efficient. Next, we identify the optimal α-mechanism with respect to the supremal welfare loss, and show that it improves the inefficiency of the equal cost sharing with maximal participation mechanism [Moulin (1994)] and the anonymous augmented serial mechanisms [Ohseto (2005)].
[Download this paper]
December 2017
Public good provision financed by nonlinear income tax under reduction of envy

Shuichi Tsugawa and Takuya Obara
We examine optimal taxation and public good provision by a government which takes reduction of envy into consideration as one of the constraints. We adopt the notion of extended envy-freeness proposed by Diamantaras and Thomson (1990), called λ-equitability. We derive the modified Samuelson rule at an optimum income tax, and show that, using a constant elasticity of substitution utility function, the direction of distorting the original Samuelson rule to relax λ envy free constraints is crucially determined by the elasticity of substitution. Furthermore, we numerically show that the level of public good increases (or decreases) in the degree of envy-freeness when the provision level is upwardly (or downwardly) distorted.
[Download this paper]
October 2017
Strategy-proof multi-object allocation: Ex-post revenue maximization with no wastage

Tomoya Kazumura, Debasis Mishra and Shigehiro Serizawa
A seller is selling multiple objects to a set of agents. Each agent can buy at most one object and his utility over consumption bundles (i.e., (object,transfer) pairs) need not be quasilinear. The seller considers the following desiderata for her (allocation) rule, which she terms desirable: (1) strategy-proofness, (2) ex-post individual rationality, (3) equal treatment of equals, (4) no wastage (every object is allocated to some agent). The minimum Walrasian equilibrium price (MWEP) rule is desirable. We show that at each preference profile, the MWEP rule generates more revenue for the seller than any desirable rule satisfying no subsidy. Our result works for quasilinear domain, where the MWEP rule is the VCG rule, and for various non-quasilinear domains, some of which incorporate positive income effect of agents. We can relax no subsidy to no bankruptcy in our result for certain domains with positive income effect.
[Download this paper]
October 2017
The dynamical stability for an evolutionary language game under selection-mutation dynamics

Seigo Uchida and Masakazu Fukuzumi
We present complete results pertaining to the dynamical stability for sender-receiver games following Lewis (1969), and Nowak and Krakauer (1999) under the selection-mutation dynamics.
Our research reveals that two distinct classes of neutrally stable strategies have a distinguishing feature of the dynamic stability.
The rest points close to the strategies of these classes are asymptotically stable and all rest points other than these are not.
[Download this paper]
April 2017
Technology Polarization

Koki Oikawa and Minoru Kitahara
We construct a new method to describe firm distributions within technology fields and investigate the relationship between those distributions and aggregate innovation. To locate firms on a technology space, we apply multidimensional scaling for the inter-firm technological dissimilarity matrices that are computed from patent citation overlaps among firms using the NBER US patent dataset. Our estimated firm distributions show increasing trends in technological distance and polarization on average, where we follow Duclos, Esteban and Ray (2004) to measure polarization. We construct a model of inter-group competition in which polarization stimulates aggregate R&D. The model fits data before 1990 but the impact of polarization is reversed after that. We attribute the structural change to the major patent reform in the United States in 1980s.
[Download this paper]
April 2017
The Effect of the Great East Japan Earthquake on the Evacuees’ Unemployment and Earnings

Izumi Yamasaki, Rubkwan Thurmanpornphilas, Miho Takizawa and Tomohiko Inui
This study analyzes the impact of evacuation status on labor market outcomes such as employment and earnings following the Great East Japan Earthquake by using annual microdata from the 2012 Employment Status Survey in Japan. This is the first research that comprehensively examines the effect of evacuation status on labor market performance for evacuees of the Great East Japan Earthquake. The evacuation status categories are (1) evacuated and still away from home, (2) evacuated and moved to another place, (3) evacuated and already returned home, and (4) did not evacuate. We applied a probit model to estimate unemployment and an ordinary least squares regression to estimate earnings. To estimate unemployment and earnings, we also used propensity score matching to control for selection into evacuation status on observable characteristics. After controlling for selection into evacuation categories on observable characteristics, our findings show that those still away from home and those who moved tend to have the worst labor market performance in terms of probability of unemployment and annual earnings. The estimates suggest that we need a specific employment support for those who evacuated especially for those who are still away from home and those who moved to another place.
[Download this paper]
March 2017
Inter-firm Technological Proximity and Knowledge Spillovers

Koki Oikawa
This paper has two objectives. One is to survey previous studies concerning indicators of technological proximity and distance to identify technological relationships between firms, particularly in terms of spillovers of technology and knowledge. The other objective is to reexamine the spillover effect in research and development by combining the traditional technological proximity with a measurement of within-field technological relationships, which is based on patent citation overlaps. I find that the average technological proximity is increasing over these three decades in the United States and within-field technological proximity shows sizable variations, and that the spillover effect is underestimated unless the changes in within- field proximities are taken into account.
[Download this paper]
March 2017
The Effects of Ethnic Chinese Minority on Vietnam’s Regional Economic Development in the Post-Vietnam War Period

Masami Imai and Tuan Anh Viet Nguyen
This paper examines the impact of the Hoa, an ethnically Chinese, economically dominant minority, on regional economic development in Vietnam. To address the endogeneity of the geographical distribution of the Hoa, we use an important historical episode: the rapid deterioration in Sino-Vietnamese diplomatic relationship that led many ethnic Chinese to flee abroad, particularly to the refugee camps in the Guangxi province of China, in 1979. We find that the effects of proximity to the refugee camps on the share of ethnic Chinese in 1989 were more pronounced for provinces that had a larger presence of the ethnic Chinese population in 1979. We also find strong correlations between the 1989 share of ethnic Chinese (instrumented) and contemporary indicators of economic performance. The results suggest that the ethnic Chinese minority had positive economic impacts on Vietnam’s regional economies and that the post-Vietnam War exodus of ethnic Chinese was likely to have had long-term negative economic impacts.
[Download this paper]
September 2016
A Distribution-Free Test of Monotonicity with an Application to Auctions

Yusuke Matsuki
Abstract This study develops a simple distribution-free test of monotonicity of conditional expectations. The test is based solely on ordinary least squares (OLS) and exploits the property between conditional expectation and projection; we prove that the monotonicity of a conditional expectation function restricts the sign of a corresponding projection coefficient. The estimated projection coefficient is used for a one-tailed t-test. The test -- which is notably simpler than other monotonicity tests -- is applied to bidding data from Japanese construction procurement auctions to empirically test first-price sealed bid auction models with independent private values (IPV), assuming the data are generated from a symmetric Bayesian Nash equilibrium. We regress the bid level on the number of bidders and use the estimated projection coefficient for testing. We find that the test results depend on public work categories.
[Download this paper]
July 2016
Is the Renminbi a Safe Haven?

Rasmus Fatum, Yohei Yamamoto and Guozhong Zhu
We investigate the relationship between market uncertainty and the relative value of the Renminbi against currencies that the safe haven literature typically considers as the traditional safe haven currency candidates. Our sample spans the February 2011 to April 2016 period. Band spectral regression models enable us to capture that the relationship between market uncertainty and the relative value of the Renminbi is frequency dependent. While we find evidence of some degree of safe haven currency behavior of the Renminbi during the early part of our sample, our findings do not support the suggestion that the Renminbi is currently a safe haven currency or that the Renminbi is progressing towards safe haven currency status.
[Download this paper]
May 2016
Does Managerial Experience in a Target Firm Matter for the Retention of Managers after M&As?

Kenjiro Hirata, Ayako Suzuki and Katsuya Takii
This paper examines how managers' tenures in target firms influence their probability of retention as board members after mergers or acquisitions in Japanese firms. It develops a model that distinguishes several hypotheses about the effect of tenure on separation. Our results suggest that experience as an employee increases firm-specific skills, but at the expense of the ability to learn new skills. However, experience as a board member does not have this effect in Japanese firms, the structure of which is known to encourage specific skills. Further, we provide a novel method to correct for selection biases when using data on managers.
[Download this paper]
April 2016
Political Economy of Voluntary Approaches: A Lesson from Environmental Policies in Japan

Toshi H.Arimura, Shinji Kaneko, Shunsuke Managi, Takayoshi Shinkuma, Masashi Yamamoto and Yuichiro Yoshida
In this paper, we attempt to identify the reasons behind the differences in environmental policy between Japan and other developed countries, particularly the US. Japan’s environmental policy is unique in that voluntary approaches have been taken to reduce total emissions. This strategy is quite different from the traditional approach of heavy-handed regulation. In Japan, voluntary approaches are conducted through negotiations with polluters. The idea behind this type of voluntary approaches is that the government can induce polluters to abate emissions voluntarily by using light-handed regulations and the threat of heavy-handed regulations. The light-handed regulation is quite effective especially when it is costly to introduce heavy-handed regulations, although the negotiations are difficult to conduct when the number of stakeholders is large. To strengthen our analysis, we provide some examples of Japanese environmental policies which are successful and the ones that are not.
[Download this paper]
April 2016
Determinants and Effects of Worker-Initiated Training: Learning about Required Job Skills at the Workplace

Hiromi Hara
There are two main channels for a worker to accumulate human capital; firm-provided training and worker-initiated training (jiko-keihatu). This study focuses on worker-initiated training---a learning activity to improve one's job skills outside of work hours at one's own expense---and examines the motivation underpinning it and its effects on wage growth, skill development, and job opportunities using a unique survey of Japanese workers. While the results indicate that there is no statistically significant immediate increase in wages from worker-initiated training, thus perhaps causing workers to be hesitant to engage in it, it is also shown that worker-initiated training improves job skills and enhances job opportunities, which suggests that it could lead to a wage increase in the future. In addition, those who receive guidance from their supervisors about required skills at the workplace, and thus some insight into desirable work-related skills, are more likely to engage in worker-initiated training than those who have not received such guidance. Moreover, those who within the past three years participated in firm-provided training, the other opportunity for a worker to learn about required skills at the workplace, are also more likely to participate in worker-initiated training. These results suggest that the introduction of a system to better inform workers about required job skills and the possible long-term effects of worker-initiated training could be effective in promoting it.
[Download this paper]
March 2019
家計の金融知識と金融資産選択:「金融リテラシー調査」による実証研究

藤木 裕
本研究は、2016年に金融広報中央委員会が行った「金融リテラシー調査」の個票を用いて、以下の結果を得た。まず、株式、投資信託、外貨預金・外貨MMFを購入した経験がある家計は全体の半分以下にとどまり、購入した経験のある家計の中でもこれら三商品の商品性を理解しないで購入している家計が1割程度存在する。次に、複利計算への理解、インフレによる実質価値変動への理解、分散投資の効果に関する理解に関する設問から、国際的に学術研究で用いられている金融リテラシー指数を構築した。金融リテラシー指数が高い値をとる人は、金融商品の商品性への理解が高い人である確率が高く、株式、投資信託、外貨預金・外貨MMFを購入した経験がない人である確率が低い。金融リテラシー指数と家計の金融商品を選択する際の情報入手先の選択にみられる相関関係からは、金融機関店舗における顧客対応へのヒントが得られる可能性がある。
[Download this paper]
May 2016
信用金庫再編後の経営改善効果 ―合併効果の推計―

原田喜美枝, 北村仁代
 本稿では、個別信用金庫の財務データを用いて、再編(合併)に巻き込まれた信用金庫の経営改善効果を検証し、収益性、効率性、健全性の観点から、データのプロット、差の検定、パネル分析によって合併効果を推計している。具体的には、合併のあった年を基準として合併前後の期間をとり、合併(または被合併)信用金庫の財務指標の変化が、合併に関与しなかった信用金庫の変化と差があるがどうかを比較する。分析結果より、合併直後、一時収益性は低下するものの、数年以内に合併以前より高くなること、経費削減によって効率性は高まること、特に人件費率の削減が進むこと、自己資本比率の改善が見られることが明らかになった。収益性、効率性の向上から、合併によって経営パフォーマンスは改善することが示唆される。
 本稿の特徴は、再編が加速した2000年代前半の時期を含めて分析し、分析期間中の全合併事例を詳細に調べ、分析対象となる合併事例を抽出したこと、合併のあった年の前後数年間の財務指標を、合併/被合併信用金庫ごとに集計し、合併のあった信用金庫と同都道府県内で同期間に一度も合併に関与しなかった信用金庫の財務指標と比較を行った点にある。地域金融機関の合併が再び増加傾向にあり、金融機関のあり方が模索されている。合併の効果を明らかにすることで、合併が有効な生き残り手段となることを示した。
[Download this paper]
September 2015
「量的・質的金融緩和」からの出口における財政負担

藤木裕, 戸村肇
本稿の目的は、日本銀行の量的・質的金融緩和政策が達成された暁の政策運営(出口戦略)で生じる財政負担の試算を行うことである。ベンチマークシナリオとして日本銀行は2016 年度に2 %の「物価安定の目標」を達成した時点で、マネタリーベース目標を破棄し、長期国債の買入れを停止するとともに、短期金利を引き上げると仮定する。その後、日本銀行は、超過準備に政策金利並みの付利を行うとともに、長期国債の市中売却はせず、過去に購入した長期国債が満期を迎えるにつれ、徐々にバランスシートを縮小させると仮定する。この仮定の下では、超過準備がなくなるまでに約20 年が必要である。この間、長期国債からの利息収入が減る一方、巨額の超過準備への利払いが必要となるため、日本銀行の剰余金も10 年以上マイナスになる。ただしこの試算は景気見通しに沿った日本銀行の収益予測ではなくあくまでシナリオ分析であることに注意が必要である。他のシナリオ分析の結果からは、ベンチマークの仮定よりも「物価安定の目標」達成が遅れるほど、あるいは日本銀行券への需要が減るほど、日本銀行の剰余金のマイナス幅が大きくなることが示される。
[Download this paper]
 
Sankyo Main Building #703, 1-7-10 Iidabashi, Chiyoda-ku, Tokyo 102-0072, JAPAN
Telephone & Fax: +81-3-3239-2524
mail: tcer "at" mbs.sphere.ne.jp