This paper examines the recent decline of the value premium in the Japanese market since the late 2000s, and discuss similarities and differences between the Japanese and US markets. We adopt the analytical framework of Fama and French (2021) using predictive regression with the book-to-market (BM) ratio and the framework by Arnott et al. (2021) based on the return decomposition of HML returns. The level and volatility of the Japanese BM ratio significantly changed toward the end of 1990s; thus, careful consideration in splitting the sample periods is needed in examining the predicting ability of BM ratio about the portfolio returns sorted by the firm size and BM ratio. We find the predictable component of Japanese HML returns is relatively stable over time, and the recent decline in HML returns is mostly explained by the unpredictable decline in the valuation of value stocks relative to growth stocks after the Global Financial Crisis in the late 2000s. This is consistent with the results reported in existing studies on the US market. The evidence provided by the decomposition of HML returns also supports the findings of this study’s analysis.
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Motivated by recent climate actions of central banks and supervisors, this study aims to explore implications of climate change in an economy with financial intermediaries. For this aim, this study develops an overlapping generations model of the environment and financial intermediation. In that model, reactions of financial intermediaries, the monetary steady state, and optimal monetary policy against climate change are studied. Especially, it is demonstrated that the level of the optimal money growth rate depends on how “green” agents are.
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The paper defines and computes alternative measures of output, input and Total Factor Productivity (TFP) for the production sector of the Chinese economy. The current System of National Accounts (SNA) input measure that corresponds to Gross Domestic Product (GDP) does not measure the income generated by the production sector since it includes depreciation and excludes capital gains and losses on assets used in the production sector. The paper suggests an accounting framework that addresses these problems with the existing SNA gross income measure and implements a net income measure using the Augmented Productivity Database (APDB) developed by Asian Productivity Organization and Keio University for China over the years 1970-2020. Real gross and real net income generated by the Chinese production sector is decomposed into explanatory factors including TFP growth using the framework suggested by Jorgenson and Diewert and Morrison. TFP growth is further decomposed into technical progress and inefficiency components using the nonparametric approach developed by Diewert and Fox. The APDB has estimates for the price and quantity of agricultural, industrial, commercial and residential land used in China. The paper argues that changes in land use should be treated in the same manner as inventory change and added to the alternative output measures. It turns out that Jorgensonian user costs for land are frequently negative. The problems associated with negative user costs are discussed in the paper.
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When some sectors are more heavily protected than others, will removing lightly protected sectors' tariffs improve welfare? We argue that this second-best question is highly relevant in Japan, wherein its government made some exceptions to the across-the-board tariff elimination during the Trans-Pacific Partnership negotiations. We have calibrated a specific factor model with multiple import-competing sectors to the 2015 Japanese economy and conducted some counterfactual exercises. Although the partial tariff removal policy in question barely affects Japanese welfare, when it is combined with the agricultural sector tariff removal (across-the-board tariff elimination) the effect on Japanese welfare is made positive. Furthermore, the positive welfare effect more than doubles if it is combined with the removal of the subsidy in the agricultural sector. Both of these findings indicate the severity of the existing distortion stemming from the Japanese agricultural sector protection as well as the importance of lowering the protection to render the non-agricultural sector tariff removal meritorious.
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Does climate change lead financial instability? To address this problem, this study builds an overlapping generations model of the environment and money. Contrary to predictions of the majority, it is shown that, under a certain condition, a unique stationary monetary equilibrium exists and is a saddle point. Furthermore, it is shown that the optimal gross rate of money growth, which maximizes the welfare at the stationary monetary equilibrium, exists uniquely and is greater than one.
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Motivated by recent climate actions of central banks and supervisors, this study develops an overlapping generations model of the environment and money and explores a role of monetary policy on climate problems. It is shown that a stationary monetary equilibrium exists uniquely but be suboptimal so that this study explores optimal policies. When a policymaker can control money growth rates only, any monetary policy cannot attain an optimal allocation but a certain positive money growth rate can be the second-best policy. In contrast, when a policymaker can choose tax instruments in addition to money growth rates, there exists a continuum of optimal combinations of money growth rates and tax instruments, which implement an optimal allocation as a stationary monetary equilibrium allocation. These results suggest that, to resolve climate problems, monetary and fiscal authorities need to coordinate with each other.
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Using daily data between 2019 and 2021, this study examines the influence of the renminbi (henceforth RMB) on all currencies globally. It finds that the RMB’s influence is significant and the largest among the CNY, USD, GBP, JPY and EUR for ten countries, which we call the “RMB bloc” countries. These are mainly small countries in Africa and Latin America, and their main export products are commodities, particularly minerals. There was no sign of the “RMB bloc” emerging in Asia. In addition, I analyze the determinants for becoming an “RMB bloc” country and find that commodity exports per GDP are the most important and robust determinant. China’s loans are significant but negative, reflecting that China’s overseas loans are exclusively denominated in the US dollar. The overall result shows that there is a long way to go for the RMB to become the third international currency next to the USD and euro. For Asian countries’ currencies, the US dollar’s dominance is unchanged, and China’s influence remains negligible. Countries that are “RMB bloc” are typically small economies with a high dependence on commodity exports.
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The COVID-19 pandemic has had far-reaching consequences in our daily lives. After the pandemic, we were forced to stay at home, which significantly impacted food consumption behavior. People reduced their consumption of food-away-from-home (FAFH) but increased their consumption of food-at-home (FAH) and food delivery services (FDS). This study aims to demonstrate how food consumption behavior has changed after the COVID-19 outbreak. For this purpose, we analyze the household spending panel data obtained from Macromill, Inc. The data set includes biweekly food spending data from 1,448 households living in Tokyo, Tokai, and Kinki areas. Using the data, we compare household food spending for FAFH, FAH, and FDS before and after the COVID-19 outbreak. Although people shifted from FAFH to FAH and FDS on average following the COVID-19 outbreak, the intensity of the shift varies between sampling periods. Empirical results show that during the state of emergency (the first wave), the average household decreased FAFH expenditure by about 2% year-on-year but increased FDS expenditure by about 1.3%. We further investigate how the intensity of the transition from FAFH to FAH varies across households. Both single-person and single-parent households continued to rely on FAFH after the pandemic, whereas households with parents and children shifted more aggressively from FAFH to FAH than remaining households. These findings suggest that even during the COVID-19 pandemic, households with severe time constraints (single-person households and single-parent households) could not allocate time for meal preparation.
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This study disentangles the motives behind enterprises’ responses to size-dependent tax regulations by exploiting value-added tax (VAT) reforms in Japan. Tax threshold and tax rate in Japan have changed over the past three decades since the introduction of VAT. We build on the model of Harju et al. (2019) to incorporate various tax reforms and conducted bunching estimation. By using a novel panel of Japanese Census of Manufacture covering the periods of VAT introduction and reforms, we find from the local estimates that the observed output response by enterprises is mainly caused by compliance costs rather than tax rates for small enterprises in Japan. The results suggest that the authorities are encouraged to ease compliance costs while enhancing tax revenue to improve the efficiency of tax design.
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This paper examines the efficiency and distributional effects of the fuel tax and feebate policies. I employ a model with households' two-stage decisions on car ownership and utilization and estimate model parameters by combining micro-level data from a household survey and macro-level aggregate data for the Japanese new car markets from 2006 through 2013, with a car price endogeneity being dealt with. Counterfactual analyses show that the Japanese feebate results in a significant increase in social welfare while augmenting environmental externalities. In particular, the rebound effect induced by the feebate cancels out about 7% of the reduction in CO2 emissions that would originally have been attained by the fuel economy improvement. In addition, I find that the fuel tax at the current tax rate in Japan is 1.7 times less costly than the product tax, an alternative feebate scheme considered in the counterfactuals, in all income classes to reduce environmental externalities by the same amount, with no difference between the regressivity of the two policies.
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We introduce evolutionary dynamics for two-action games where agents with diverse preferences use statistical inference to guide their behavior. We show that the dynamic converges to a Bayesian sampling equilibrium with statistical inference (SESI) and the set of Bayesian SESIs is globally asymptotically stable. We discuss the global convergence to a unique Bayesian SESI in anti-coordination games, a welfare-improving tax scheme, equilibrium selection in coordination games, an application to the diffusion of behavior on networks, and the extension of heterogeneity to the inference procedures.
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To promote renewable energy deployment, Japan introduced a feed-in tariff policy in 2012, financed through a surcharge on electricity prices for consumers. The Japanese government also offered a discount system for electricity-intensive industrial plants, exempting them from paying full surcharges. Using monthly plant-level data from 2005 to 2018, this study evaluated the exemption system’s impact on electricity and fossil fuel consumption for plants in the iron and steel, chemical products, and pulp and paper sectors. Our results show that the exempted iron and steel plants increased electricity purchase and consumption by 1.06% and 1.04%, respectively. The introduction of electricity efficiency as a new requirement for exemption applications after 2017 did not curb the rebound, as iron, steel, and pulp and paper plants increased their electricity consumption by 1.49% and 0.69%, respectively, after the reform. This result may call for the reform of the exemption system, with the possibility of a lower discount rate or tighter requirements for electricity efficiency.
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The current paper builds a general equilibrium model based on heterogeneous productivities of establishments and heterogeneous tastes at the product level. Establishments choose endogenously their product mix over the business cycle given different income elasticities across products in consumer preferences. We calibrate and estimate the model's shock processes with Japanese data and find that (de)regulation policy at entry, incumbent firms or establishments and each product level provide substantially different outcomes, thereby providing a caveat for policy debate.
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This study constructs a tractable duopoly model with price stickiness to consider the strategic pricing of duopolistic firms and its implications for monetary policy. Dynamic strategic complementarity, in which an increase in a firm's price increases the optimal price set by the rival firm in the following periods, increases steady-state price and the real effect of monetary policy. However, when temporary sales arise as a mixed strategy, the real effect of monetary policy decreases considerably.
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In this paper, we aim to examine consumer behaviour concerning energy-efficient appliances in the context of a developing country. As a case study, we use the Philippines, one of the earliest countries in Southeast Asia to introduce appliance test standards. We conducted face-to-face surveys of potential purchasers of air conditioners (ACs) in Metropolitan Manila, where the percentage of AC owners has increased as a result of economic growth. The survey includes choice experiment questions to estimate preferences for AC attributes, including purchase price, additional functions, country of manufacturer and energy efficiency information. In addition, we examine the types of information on eco labels that encourage consumers to choose an energy-efficient AC, including the default option of an energy efficiency ratio, estimated cost per hour or an energy star rating. Our choice experiment analysis reveals that energy-efficient ACs made by domestic manufacturers with smart functions are more likely to be chosen by consumers. We find that the probability of an energy-efficient AC being chosen can be increased by approximately 15% if the eco label uses an energy star rating rather than an energy efficiency ratio.
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Previous studies have stressed that inflation dynamics exhibit substantial dispersion across sectors. Using US producer price data, we present evidence that sectoral inflation persistence is negatively correlated with market concentration, which is difficult to reconcile with the prediction of the standard model of monopolistic competition. To better explain the data, we incorporate imperfect common knowledge into the monopolistic competition model introduced by Melitz and Ottaviano (2008). In the model, pricing complementarity among firms increases as market concentration decreases. Because higher pricing complementarity generates greater inflation persistence, our model successfully replicates the observed negative correlation between inflation persistence and market concentration across sectors.
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This study examines the optimal tax structure in an endogenous fertility model with non-cooperative couples. In the model, both child quality and quantity are suboptimal due to the non-cooperative behavior of couples. Moreover, we consider the external effects of children on society and center-based childcare services. In such a unified model, we characterize the formulas for optimal income tax rates, child tax/subsidy rates, and tax/subsidy rates on center-based childcare services. We find that income taxation, not child subsidy, corrects the suboptimal low fertility level caused by the non-cooperative behavior of couples, and that a child tax can be optimal to alleviate the deadweight loss from income taxation. We also identify the condition under which a child subsidy is needed. The subsidy for external childcare services corrects the external effects of children on society, not the non-cooperative behavior of couples.
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This study constructs a dataset of Japanese government bonds' maturity structure for the fiscal years 1965–2020. Using the maturity structure data at the end of each fiscal year for the past three decades, this study structurally estimates a canonical preferred-habitat term structure model extracting the bond supply factor. The results provide a debt maturity equation in the fiscal-year cycle and demonstrate that two yield factors (bond supply factor and short-term interest rate) can account for annual-frequency variations in Japanese bond yields. The supply factor also explains the continued decline in the long-term interest rate for the past two decades.
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We propose a novel SIR-macro model in which virus transmission is uncertain. The model is solved with the perturbation method around a deterministic infectious steady state. Assuming a stationary infection process, a positive infection shock increases infection while reducing consumption and hours worked for susceptible individuals. Further, we estimate our model with the recent US data on the COVID-19 outbreak. Historical decomposition obtained with Bayesian techniques finds that the dis-containment rule that encourages people to work more, as well as infection shock and technology shock, play an important role in characterizing US infection and macroeconomic dynamics.
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This paper develops a price model with product cycles characterized by product entries and exits. Through a frictional product market with search and matching frictions, an endogenous product cycle is accompanied by a price cycle. This model nests the New Keynesian Phillips curve as a special case and generates several new phenomena in business cycle moments with product cycles. Using product-level micro data in Japan, we show that our price model well captures the observed features among product entry, number of products, demand, and price. Our model with a frictional product market replicates correlations between product matching probability and other variables. In a general equilibrium model for the Japanese economy, an endogenous product entry increases a price variation by 23 percent. This number increases to 35 percent with a price discounting after a first price. All results suggest that product cycles and search frictions play fundamental roles in describing price dynamics.
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Previous studies on the effect of school lunch programs on child obesity have been hampered by effect heterogeneity, self-selection, and stigma-induced under-reporting, having produced mixed findings. Their potential long-lasting effect has also been debated. We study the body-weight effect of a Japanese school lunch program, which provides nutritional lunch to all students at participating municipal junior highs. The lack of means testing and individual participation choice offers easily interpretable causal estimates. By exploiting almost all school lunch coverage for elementary school children nationwide, we construct a difference-in-differences (DID) framework to alleviate potential bias due to unobserved differences across municipalities. Using the 1975–1994 National Nutrition Survey, a nationally representative household survey with measured height and weight, we find a regressive benefit of school lunch: while no statistically significant effect is found for the full sample, we find a significant obesity-reducing effect for the subsamples of children with low socioeconomic backgrounds. The obesity-reducing effect remains at least a few years after graduation, implying effect through not only nutritional contents but also guiding healthy eating behavior. We find little evidence that school lunch reduces underweight. Propensity score weighting, quantile DID analysis, and various falsification tests confirm the robustness of our estimates.
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The overconfident, who do not actually earn what they think they can, may attribute such cognitive gap to the unfairness of the economy and become favorable of public redistribution when they realize their cognitive bias. We conducted an online survey experiment in the US, where the treatment emphasizing each respondent's self-perception on the income-ability gap is randomly assigned. We found that the treatment lowers overconfident respondents' perception on the fairness of the economy among both left-wing and right-wing people. However, it did not increase the support for reducing income inequality. Instead, this increased support for government intervention to correct the unequal society among the leftists with high trust in the US government.

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Welfare gains achieved through international trade are a cornerstone of the literature on international economics. However, the data and research methods needed to empirically assess these welfare gains have only recently become available. Building on recently developed methodologies for estimating the elasticity of substitution and computing welfare gains from trade, we estimate Japan's welfare gains from liberalizing trade in the manufacturing sector. To do so, we estimate the elasticities of substitution using Harmonized System (HS) 9-digit product codes, for various periods of time. The analysis shows that the Japan's welfare gains from trade liberalization occurred especially from the 1990s onward, and reached eleven percent vis-à-vis the autarky situation.
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This study examines the optimal tax structure in an endogenous fertility model with non- cooperative couples. In the model, both child quality and quantity are suboptimal due to the non-cooperative behavior of couples. Moreover, we consider the external effects of children on society and center-based childcare services. In such a unified model, we characterize the formulae for optimal income tax rates, child tax/subsidy rates, and tax/subsidy rates on center-based childcare services. We find that income taxation, not child subsidy, corrects the suboptimal low fertility level caused by the non-cooperative behavior of couples. Child tax tends to be optimal as the required tax revenue becomes higher or the degree of external effects of children on society becomes smaller. Specifically, under the availability of lump-sum taxes and absence of externality of children on society, child tax is desirable to alleviate the deadweight loss from income taxation. Moreover, we explore the condition under which a child subsidy is needed. The subsidy for external childcare services corrects the external effects of children on society, not the non-cooperative behavior of couples.
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We propose the Taylor rule yield curve for the United States, which is an extension of the Taylor rule for the short-term policy rate to points in time in the future horizon. The estimated Taylor rule expected rates are useful for considering the monetary policy stance reflected in the entire yield curve, which is valid even during the periods when the federal funds rate (FFR) hits its effective lower bound (ELB). The analysis shows that the Taylor rule deviations (TRDs), the gap between the Taylor rule expected rates and market Overnight Index Swap (OIS) rates, for maturities much longer than overnight could influence the output gap and inflation rates in the United States, even during the period when the FFR hit the ELB for a considerable duration and the Federal Reserve resorted to an unconventional monetary policy. Moreover, the TRDs for long maturities can be regarded as a measure of risk appetite in financial markets. Our methodology in this study can be directly applied for analysis in other countries that experienced similar periods of policy rates hitting their ELBs, as long as data on economists’ forecasts of output and inflation are available.
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In this paper, we propose a theory to identify the motivations behind altruistic or prosocial behavior. We focus on inequity aversion and shame aversion as social image concerns. To study these, we characterize two additively perturbed utility models, that is, the sum of expected utility and a non-linear cost function. First, we examine how to distinguish between stochastic inequity-averse behavior and stochastic shame-averse behavior. Next, we show that additively perturbed inequity-averse utility captures the general class of inequity-averse preferences, including ex-ante and ex-post fairness. Finally, we consider the relationship between our models and random utility, one of the most common stochastic choice models.
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Which type of monetary policy rule best describes the policy conducted by the Bank of Japan during the period when the nominal interest rate is constrained at the zero lower bound (ZLB)? What are the economic fundamentals that explain Japan’s prolonged stagnation? How important is incorporating nonlinearities in the analysis? We answer these questions by estimating a small-scale nonlinear DSGE model. We find that: the Bank of Japan conducted a threshold-based forward guidance policy; adverse demand shocks explain Japan's experience; and nonlinear models are very useful in the analysis of the Japanese economy during the ZLB period.
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To examine how the length of retirement life affects people’s mistakes in choosing a saving plan, a laboratory experiment was conducted in which subjects face a simple life-cycle consumption/saving problem without interest rate, price and income volatilities, and any uncertainty. Lifetime is divided into working periods with a certain and constant amount of income and retirement periods with no income. We compared three treatment groups: the retirement periods are the last 5 periods out of 25 life periods (SR), these are the last 16 periods out of 36 life periods (LL), and these are the last 16 periods out of 25 life periods (SW). In all treatments, the subject’s lifetime income was the same. Our main findings are twofold. First, the magnitude of misconsumption (i.e., the deviation from conditional optimal consumption) is significantly positive for each treatment. Thus, people cannot find an optimal saving plan even in our simple life-cycle problem. Second, the subjects overreacted to both the long life and large income, which caused over-saving behavior in LL and under-saving behavior in SW, whereas there is no particular trend for mistakes in SR.
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We apply a Bayesian Panel VAR (BPVAR) and DSGE approach to study the regional effects of the 2011 Great East Japan Earthquake. We disentangle the persistent fall in electricity supply following the Fukushima accident, from the immediate but more temporary production shock attributable to the natural disaster. Specifically, we estimate the contribution of the electricity fall on the regions’ economic recovery. First, we estimate a BPVAR with regional-level data on industrial production, prices, and trade, to obtain impulse responses of the natural disaster shock. We find that all regions experienced a strong and persistent decline in trade, and long-lasting disruptions on production. Inflationary pressures were strong but short-lived. Second, we present a DSGE model that can capture key observations from this empirical model, and provide theoretical impulse response functions that distinguish the immediate earthquake shock from the persistent electricity supply shock. Thirdly, in line with the predictions from the theoretical model, counterfactual analysis via conditional forecasts based on our BPVAR reveals that the Japanese regional economies, particularly the hit regions, did experience a loss in production and trade due to the persistent fall in electricity supply.
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The issuance of central bank digital currency became a real policy issue after the announcement of Facebook's Libra. Which types of product attributes should a central bank digital currency have to be widely accepted? We answer this question by analyzing the consumers' acceptance of hypothetical payment instruments. We used Japanese data from the 2019 Financial Literacy Survey to estimate a model of consumers' ranking of the frequency of the use of five payment instruments. The estimates of the model showed that the respondents to the survey value payment instruments with shorter transaction times and mobile payment instruments. Based on the estimates of the model, we conducted counterfactual simulations for the introduction of the hypothetical mobile version of noncash payment methods that required a shorter transaction time. We found that these hypothetical products would be the most frequently used payment methods on average; however, respondents with old, low-income, and low-financial asset holdings, who were likely to be heavy cash users, would use them less frequently. The results suggest that if the Bank of Japan wanted to issue a central bank digital currency that would be used almost every day as a replacement for cash, policy tools should be utilized to encourage the use of it by these groups as well.

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The adoption of crypto assets has been of great concern to policymakers ever since Facebook announced its proposed cryptocurrency, Libra, in mid-2019. Behind this concern lies the possibility of widespread Libra adoption for day-to-day transactions, bringing with it a set of serious risks related to money laundering, illicit financing, and consumer and investor protection. This study aims to investigate the demographic characteristics, financial literacy, financial behavior, three risky asset holdings, and the use of noncash payment methods among Japanese crypto asset adopters. To achieve these aims, probit models and multinomial logit models are applied. We find that Japanese crypto asset owners are more likely to be young and male and to have lower educational levels than non-owners. This is consistent with previous studies. The average relationship between crypto asset ownership and level of objective financial literacy is not found to be statistically significant; however, crypto asset owners' degree of understanding of crypto assets is associated with their level of objective financial literacy. Owners who indicate that they understand crypto assets to some extent tend to have better objective financial literacy, while owners who indicate that they do not understand crypto assets tend to have a lower level of objective financial literacy. A better understanding of crypto assets is also positively associated with earning profits from investing in them; however, objective financial literacy is not related to profiting from investment in crypto assets. Our results suggest that, in predicting the performance of an investment in crypto assets, specific knowledge of crypto assets is more important than objective financial literacy that captures general financial knowledge. Other notable findings of the study include the fact that crypto asset owners obtain information about economy and finance from mass media more frequently; that they are more experienced with financial troubles, such as bank transfer fraud or multiple debts; and that they are less credit card literate than non-owners, on average. They tend also to be more myopic, subject to herding, lacking in self-control, over-confident in their financial literacy, and less loss-averse than non-owners. Crypto asset owners' demographic characteristics are similar to those of the individuals who have experience investing in stocks, investment trusts, and foreign currency denominated money market funds. They are also demographically similar to those who use both crypto assets and one of the four payment methods—credit cards, electronic money, debit cards, and mobile payments via smartphones—rather than crypto assets alone.
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In this paper, we analyze the effect of a merger between banks by extending a structural model of banking industry with possibility of bank runs developed by Egan et al. (2017). This allows us to evaluate a merger in the banking sector, taking into account the effect on not only the merged bank itself, but also the stability of the entire financial system. We use our framework to analyse if the merger between Wells Fargo and Wachovia was beneficial to the social welfare. When the model is calibrated to the data in 2008, the merger increases the market share of the merged bank and thus allows it to set higher markup, which implies lower deposit interest rates. Through competition, this lowers the default probability of other banks in normal times. When crisis occurs to banks other than the merged bank, the default probability increases as the merged bank responds to crisis sharply. On the other hand, when the bank run occurs at the merged bank, the default probability is lower because it has higher profits. The merger increases the social welfare in normal times and when a bank run occurs at the merged bank, and decreases the social welfare when a bank run occurs at the other banks.
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Fiscal vulnerabilities depend on both the level and composition of government debt. This study examines the role of debt thresholds and debt composition in driving the non-linear behavior of long-term interest rates through a novel approach, a panel smooth transition regression with a general logistic model. The main findings are threefold. First, the impact of the expected public debt level on interest rates rises exponentially when the share of foreign private holdings exceeds approximately 20 percent of government debt denominated in local currency. Second, if the public debt level exceeds a certain level, an increase in foreign private holding of government debt could raise in interest rates, offsetting the downward pressure from higher market liquidity. Third, out-of-sample forecasts of this novel non-linear model are more accurate than those of previous methods.
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We propose a simple theory suggesting that basic employment protection can improve economy-wide welfare as it mitigates a time inconsistency problem that makes a firm’s promise to workers less credible. By tilting the bargaining power in renegotiations on contract terms towards workers, basic employment protection can incentivize workers to invest in firm-specific human capital and allow firms to keep operating. This contrasts to the case of rigid labor protection, which forces firms to go bankrupt too often with economic costs. We test for the effects using a quasi-natural experiment: US workers gained basic protections between the early-1970s and the mid-1990s, but in years varying by state. We find employment protection to benefit the growth of knowledge-intensive industries. We corroborate another prediction that stronger bargaining powers of workers vis-à-vis other stakeholders since contemporaneous bank branch deregulations (i.e., reduction in banks’ monopoly powers) also benefit knowledge-intensive industries. Although labor and financial reforms are rarely jointly investigated, we confirm that the direct positive effect of basic employment protection prevails when correcting for (changes in) creditors’ powers and vice versa. Since the findings do not maintain for R&D-intensive industries, we interpret the firm-specific human capital in our theory broadly, e.g., as for white-collar jobs.
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Can the optimal tariff be zero for a growing large country? To pursue the possibility, we extend the Rivera-Batiz--Romer lab-equipment model of endogenous technological change to include asymmetric countries, import tariffs, and either homogeneous or heterogeneous firms. Each country's domestic revenue share is a sufficient statistic for its long-run growth rate, but it is not for its long-run welfare. A unilateral tariff reduction by either country always increases the balanced growth rate. A zero tariff is locally optimal for a country under a mild condition, which is automatically satisfied at a symmetric balanced growth path with the zero tariff.
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It is a well-known observation that, in the overlapping generations (OLG) model with the complete market, we can judge optimality of an equilibrium allocation by examining the associated equilibrium price. Motivated by recent remarkable development in decision theory under ambiguity, this study reexamines the above observation in a stochastic OLG model with convex but not necessarily smooth preferences. It is shown that, under such preferences, optimality of an equilibrium allocation depends on the set of possible supporting prices, not necessarily on the associated equilibrium price itself. Therefore, observations of an equilibrium price do not necessarily tell us precise information on optimality of the equilibrium allocation.
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Using a unique survey of 50,000 households for 4 years, this study examines how households form inflation expectations. There are three findings. First, disagreements on inflation forecasts among households are larger for the shorter-term than those for the longer-term horizon; additionally, disagreements are predicted by how frequently households collect information about overall inflation rates. Inflation forecasts for the 1-year horizon are widely dispersed, while those for the 10-year horizon are anchored below 2%. Second, households heterogeneously update their information sets on prices. 46% of the households collect information about the consumer price index at least once a quarter, while the remaining households less frequently or never obtain this information. Third, forecast revisions are sensitive to a change in food prices. We show that more than half of households are attentive only to a change in food prices and may form their inflation expectations using food price changes as a signal of fluctuations in the overall inflation rates. The existence of numerous households that are inattentive to the nationwide inflation rates casts doubt on the transmission mechanism of the monetary policy through the management of expectations.
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Recent studies on fiscal policy use cross-sectional data and estimate local fiscal multipliers along with spillovers. This paper estimates local fiscal multipliers with spillovers using Japanese prefectural data comparable with the national accounts. We estimate the local fiscal multiplier on output to be 1.7 at the regional level. The regional fiscal multiplier consists of the prefecture-specific components and a component common across prefectures within the same region, which we interpret as the region-wide effect. Converting the latter component into the spillover, we find that the spillover is positive and small in size. We decompose the regional fiscal multiplier on output into multipliers on expenditure components. The regional fiscal multiplier on absorption exceeds 2.0 because of the crowding-in effect on consumption and investment. Moreover, we find that the spillover to absorption is considerable in contrast to the spillover to output.
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We find several facts that suggest the Japanese regional loan market conforms to the "search-for-yield" phenomenon, in which banks are driven to provide more risky loans by diminished loan spreads. We use a structural model to estimate demand elasticity and the degree of competition in local loan markets simultaneously. Our estimates show that competition intensifies in markets where banks hold more slack liquidity caused by monetary easing, and where loan demand is less elastic against lowering interest rates due to a rapidly aging population. We find reasonably robust evidence that banks in such competitive markets are driven to extend riskier loans.
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Using estimable concepts, this paper provides sufficient conditions for third-degree price discrimination to raise or lower aggregate output, social welfare, and consumer surplus under differentiated oligopoly when all discriminatory markets are open even without price discrimination. Specifically, we permit general demand functions and cost differences across separate markets, and show that our sufficient conditions entail a cross-market comparison of multiplications of two or three of the following key endogenous variables with economic interpretation:pass-through value,market power index, and markup value. Notably, our results based on these “sufficient statistics” can readily be extended to allow heterogeneous firms, suggesting that they would be used as a building block for empirical study of third-degree price discrimination and welfare.
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This paper considers a mixed triopoly model where a state-owned firm, a domestic labor-managed firm and a foreign capitalist firm are allowed to pre-install capacity as a strategic commitment device. First, each firm simultaneously and independently chooses its capacity level. None of the firms can reduce or dispose of capacity. Second, each firm simultaneously and independently chooses its output level. The paper shows that there is an equilibrium solution where only the domestic labor-managed firm pre-installs excess capacity as a strategic commitment device.
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The present study aims to perceive an unacceptable unreality of a macro price mechanism: that is, the unreality that under any severe recession, deterioration of deflation or a consistent decrease in the rate of inflation will lead an economy to full employment equilibrium. This unreality results from an arbitrary assumption that the micro price mechanism operates even in a macro economy. This study challenges the existing modern macroeconomics theories on price mechanism and unemployment based on the skepticism toward existing theories based on the observations of a real economy.

The study reveals two main results. First, market failure in a macro economy, that is, the price mechanism is significantly incomplete and does not function, in particular, under deflation. This differs significantly from “the market failure due to the inflexibility of wages and prices, asymmetry of information, and so on,” as stated by new Keynesianism. The key reason for market failure in a short-run macro economy is the unavoidable spillover effects, or derived demand effects between goods and labor markets under disequilibrium due to inflexible wages and prices. Macro price mechanism completely overlooks these effects because of the arbitrary assumption, thus leading to the unrealistic price mechanism stated earlier. Considering the spillover effects, or derived demand effects under disequilibrium, the assumption of full employment equilibrium, along with the assumption of flexible wages and prices, does not hold. Although these effects are the results of the short-run analysis, there would be market failure in a macro economy even in the long run as an inevitable conjecture.

To rebuild dynamic stochastic general equilibrium (DSGE) models, it is important to study the aforementioned fundamental and theoretical problem that macro price mechanism does not function. A static model is enough to explain the mechanism and dynamic models appear unnecessary and unfeasible.

Second, Keynes’s unemployment equilibrium is realized owing to market failure in a macro economy. Market failure in a macro economy shows that involuntary unemployment results from quantitative and not price aspects. In other words, involuntary unemployment is not a result of the rigidity of real wages but of a shortage in labor demand under rigid real wages. This is possible by reinterpreting the Shapiro–Stiglitz efficiency wage model. Finally, demand is a critical factor in both the short run and the long run.

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Households. energy-saving activities are often categorized into efficiency investment and curtailment action. Although households use these two activities simultaneously, previous studies have analyzed these two activities separately. In this study, we develop an energy-saving model based on a household production framework to show how these two activities are related. We assume that a household allocates time among market work, leisure, and curtailment action. We further assume that the household spends income on purchasing market goods, energy efficiency investment, and energy service. The household receives utility from entertainment activity and energy service but both market goods and leisure time are necessary for entertainment activity. If the household spends time on curtailment action, then leisure time form entertainment activity will be reduced. In contrast, if the household spend money for efficiency investment, then market goods available for entertainment activity will be reduced. With this household production framework, we show that a household can use energy efficiency investment and curtailment action jointly; namely, a household who invest heavily in energy efficiency will spend more time on curtailment action. In the empirical section, we use microlevel data from the Survey on Carbon Dioxide Emission from Households (SCDEH) to examine the validity of this prediction in a real world setting. SCDDH contains a wide variety of information related to household’s energy usage, and both curtailment actions of households and vintage of appliances that households own were surveyed. Using this information, we examine whether the intensity of curtailment action varies between households owning new and old appliances. We show that households using an old television (TV) turn o¤ the main switch of TV more frequently but those using a new refrigerator (REF) adjust the temperature according to the season and avoid overstuffing to maintain cooling efficiency. Furthermore, we show that households installing light emitting diode (LED) lamps control brightness of rooms and those using a new air conditioner (AC) set room temperature higher. Therefore, we observe that respondents jointly use efficiency investment and curtailment action, except in the case of a TV switch-off. This result predicts that the promotion of energy saving products will not hinder the households’ voluntary energy saving practice.
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Offshoring and participation in Global Value Chains (GVCs) are critical to understanding the rapid deindustrialisation of G7 nations and the rapid industrialisation of a handful of developing nations. This paper distinguishes between trade in final goods and trade in parts to track the shifting pattern of the location of manufacturing. We introduce a simple empirical measure of comparative advantage in parts on one hand and in final goods on the other. We illustrate how this distinction can help organise thinking on the patterns of industrialisation and deindustrialisation—namely the“GVC journeys” of advanced and emerging economies. We also provide one simple model. The model highlights the interactions of trade costs and the knowledge transfers to accompany offshoring of parts production and assembly, which we call trade-led versus knowledge-led globalisation.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.

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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.
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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.
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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.
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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)].
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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本稿では、日本の銀行業の変貌を所得データに基づき考察し、今後を展望する。本稿の主な分析結果は以下である。第一に、銀行業所得のGDPに対する比率（銀行業シェア）は、1950年代半ばから1980年代後半にかけて上昇したが、1990年代以降は低下傾向にあり、成長性が乏しい。第二に、銀行業シェアの内訳をみると、預貸業務を中心とする資金利益が減少する一方、手数料とトレーディング損益が増加した。資金利益の減少は、預貸利ざやの低下が主因である。預金スプレッドは長期的に低下し、1980年代後半以降はマイナスないしはゼロ近傍で推移している。貸出スプレッドも1990年代半ば以降低下傾向にある。第三に、世界金融危機後の米国の銀行業シェアは日本よりも高いが、これは資金利益、手数料の差による。世界金融危機後、米銀の証券化業務関連の所得は減少したが、伝統的な銀行業務からの所得は減少していない。日本の銀行業が所得を高めるには、預貸業務を再構築することが求められる。
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本稿では、消費者の支払手段選択に関する諸外国と日本の実証研究を展望する。展望される研究は、現金、小切手、銀行預金、クレジットカードといった伝統的な支払手段選択に関する研究と、近年の関心がもたれている新型コロナウイルス感染症、暗号資産、中央銀行デジタル通貨と現金需要・支払手段選択の関係に関する研究である。日本の実証研究の展望の前に、消費者の支払手段選択の研究に日本で利用可能なデータを説明する。
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ESGに対する機関投資家の関心は一様ではない。投資家特性により機関投資家の株式所有とESG関係には違いがあることが議論されている。機関投資家の非同質的特性を考慮し、株式所有とESGとの関係に焦点を絞った研究が必要となっている。本稿ではESG投資、機関投資家とESGの関係について近年の論文を整理しつつ、機関投資家の非同質性とESGに関する実証分析の結果を示す。
実証結果の結果から、機関投資家の中でも、いわゆるモノ言う投資家である外国人投資家及び長期機関投資家は、拡張コーポレート・ガバナンスであるESG活動の中の環境活動のメカニズムを通じて、企業の長期投資を促進し、長期的なイノベーションの増加に繋がることが明らかになった。外国人投資家は短期主義的な成果を追求しがちであるとの見解もあるが、日本市場においては、長期投資家と同様に企業の長期的投資を補完的に促進する役割を果たしている。さらに、近年、投資家に最も注目されているCO2排出量（CO2インテンシティー）についても企業の株式保有構造に影響を及ぼしており、機関投資家の特性によって大きく異なることが判った。CO2排出量に対しては、欧州・北欧の外国人投資家と他の機関投資家とは大きく行動が異なる。企業のESGを分析するにあたって、機関投資家の非同質的な特性を考慮していくことが重要である。
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本稿では，1980年代前半の銀行借入依存度，金融機関持株比率を用いて，金融面で伝統的な日本のコーポレート・ガバナンスの特徴を有したタイプJ企業を特定し，バブル経済期以降の資本構成・株主構成および経営者のキャリアを分析した。タイプJ企業の経営者は，相反する特徴を有したタイプN企業の経営者と比べて，入社から取締役あるいは経営者に就任するまでの期間が有意に長い。タイプJ企業はまた内部昇進型の経営者を選任する確率が高く，経営者を外部招聘する確率が低い。これらの結果は2010年代にも観察され，金融面での日本型ガバナンスが長期の昇進トーナメントを特徴とする内部管理面での日本型ガバナンスと制度的補完性を持っていたことを示唆している。一方，タイプJ企業は時間とともに借入金比率，負債比率，金融機関持株比率を大幅に低下させ，金融面での日本型ガバナンスの特徴は大きく弱まった。借入金比率の高い企業は昇進トーナメントの期間が有意に短く，金融面での日本型ガバナンスの特徴のうち銀行借入依存は，内部面での日本型ガバナンスを維持する上で必要不可欠なものではなかったといえる。ただし近年においても，金融機関持株比率の高い企業ほど長期昇進トーナメントを実施する傾向が観察される。
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コロナ感染症によるパンデミックの影響により，家計による一部のサービスや贅沢品に関連した支出が大きく減少し，その一方で定額給付金に代表される政府からのトランスファーがかつてない規模で増加した結果，2020 年度の日本では未曾有の「超過貯蓄」が発生していた．そのような超過貯蓄のほとんどが，銀行預金のような極めて流動性の高い資産の形で保有されており，株式等のリスク資産への投資はほとんど増えていない．独自のアンケートに基づく分析では，マイナスの所得ショックによる貯蓄減が一部の家計に集中して起こっていること，大きく所得が減った個人は資産額も大きく減っていることが分かった。これに対して，所得の増減が一定程度以内に留まった個人は、家族の所得の増減等の自分以外の周辺の環境の影響が大きい一方，所得が顕著に増加した個人は，積極的に貯蓄しようとする個人の意思（intention）が，最も重要な貯蓄の決定要因になっている．
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本論文では，石油価格変動の背後にある経済的なショックが，各国の為替レートとマクロ変数に与える影響の相対的な重要性について，単一の構造ベクトル自己回帰（VAR）モデルのフレームワークを用いて数量的な評価を試みる．石油価格の変化が，変動相場制を採用しているエネルギー輸入国と輸出国の通貨価値に与える影響を分析するため，オーストラリア，カナダ，日本，ノルウェー，そしてイギリスについて考察を行う．また，以下の4種類の構造ショックが存在することを前提としたVARシステムの識別によって，それぞれのショックが各国の為替レートに与える影響について考察した：（ⅰ）石油供給ショック，（ⅱ）世界的需要ショック，（ⅲ）需給と関連のない原油価格の変動，（ⅳ）他の構造ショックと関連のない純粋な為替レート変動．
その結果，構造ショックに対する反応の違いによって各国間の相関構造をかなりの程度説明することができる一方，為替レートのボラティリティの主要な源泉としては，構造ショックとは関係ない純粋な為替レート・ショックが最も重要性が高いことがわかった．また，オーストラリアと日本に関しては，マクロ変数の変動を説明する上で構造ショックが果たす役割についても考察した．世界的需要ショックならびに需給と関係のない石油価格変動が両国のGDPと輸出成長に対して強い影響を持つ一方で，純粋な為替レート・ショックは日本のマクロ経済変数を説明する上で，相対的に重要度が低いことが分かった．

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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。
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　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。
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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。
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