著者

土田 秀

出版者

日本経済学会

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.2, pp.181-191, 1991-06-20 (Released:2008-02-28)

参考文献数

9

著者

BERNHARD ECKWERT

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.3, pp.193-212, 1991-09-20 (Released:2007-10-19)

参考文献数

21

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A version of the overlapping generations model is used to analyze consumer behavior and the properties of monetary equilibria if agents are faced with a nonlinear rate-of-return schedule on saving. Optimal individual decisions depend on economic parameters in a non-standard way. Unlike money stocks may be crowded out of the economy by the competitive mechanism. In a long run rational expectations equilibrium either real stock prices or the aggregate supply of stocks constitute a free parameter of the model. In the short run, if expectations are inelastic, no endogenous constraints on nominal stock prices exist while nominal goods and real stock prices are restricted to certain subsets of the positive real line.

著者

KAZUHIKO MIKAMI

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.3, pp.213-223, 1991-09-20 (Released:2007-10-19)

参考文献数

15

---

This paper considers the relationship between the quality of product and the market structure, under the assumption that the demand price of the good is increasing in its quality. Then we investigate the welfare effects of three types of quality regulation based on the surplus analysis.

著者

AKIKO HORIE

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.3, pp.224-236, 1991-09-20 (Released:2007-10-19)

参考文献数

9

---

In this paper, we examine the effect of increasing competitiveness defined by the increase in the number of firms competing in a product market on the risk and incentive of managers of managerial firms. If the costs are perfectly correlated, Cournot competition will reduce the risk each firm must bear and enhance the level of effort of the risk-averse manager. Even in this case, however, free entry does not bring about socially optimal managerial effort. On the other hand, if the costs are stochastically independent, the increase in the number of firms can give managers additional risk and lower managerial incentive.

著者

CHARLES YUJI HORIOKA

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.3, pp.237-253, 1991-09-20 (Released:2007-10-19)

参考文献数

15

---

In this paper, I analyze the determinants of saving in Japan using national income accounts data for the 1955-87 period. My results suggest that the age structure of the population is the primary determinant of both trends over time in Japan's saving rate and the high level thereof relative to the other developed countries and that Japan's saving rate can be expected to decline sharply due to the rapid increase in the ratio of the aged population to the working-age population. The level and rate of growth of income, wealth, (in the case of private and national saving) the unemployment rate, and (in the case of household saving) inflation are also found to influence the level of saving in Japan, and Japanese households are found to see through the corporate veil to some extent but not through the government veil.

著者

TSUNEMASA SHIBA

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.3, pp.254-274, 1991-09-20 (Released:2007-10-19)

参考文献数

64

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Using a battery of specification error tests, I find several regime shifts in the Japanese money demand since early 1960's to the present in both M1 and M2CD. I conclude that the real partial adjustment model a la Goldfeld with appropriate interest rate variable, to be solid in terms of sign conditions, significance of estimated coefficients and tests of misspecifications. Estimated M2CD function displays a remarkably solid forecasting ability, and it tracks the rapid growth of Marshallian K2 after 1986.

著者

NOBUHIKO TERUI

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.1, pp.72-81, 1991-03-20 (Released:2007-10-19)

参考文献数

12

---

As a way of analyzing the causal relationship between two sets of vector-valued stationary time series in the presence of a third series, the concept of partial causality is introduced.Some relations between the original system and the partial causality system are shown.We give the distributed lag representation with respect to partial causality. An empirical example of application is reported for the relation between money, income and interest rate in the U.S.

著者

DAVID NICKERSON

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.2, pp.98-116, 1991-06-20 (Released:2008-02-28)

参考文献数

33

---

The neutrality and optimality of countercyclical monetary policy are examined in a representative linear economy featuring competitive equilibria in multiple markets, a single asset, a general monetary feedback rule and rational expectations based on a general representation of private information. Four propositions are developed: (1) a necessary and sufficient condition for the countercyclical neutrality of monetary policy under all possible forms of private information in such an economy is stated in terms of restrictions on the parameters of the monetary feedback rule; (2) a necessary and sufficient condition for countercyclical neutrality under common incomplete information is developed as a corollary; (3) a necessary and sufficient condition for the allocational neutrality of monetary policy is stated in terms of an alternative set of parameter restrictions; (4) optimal monetary feedback is fully characterized and shown to completely stabilize deviations in market output by eliminating the influence of those current stochastic innovations agents cannot directly observe from the expectations formed by agents. These conditions also serve to unify the diverse propositions about monetary neutrality and optimality in linear equilibrium macroeconomic models appearing in Barro (1976), Barro and Fischer (1976), Asako (1982), King (1982), Waldo (1982), Marini (1985), Andersen (1986), and Nickerson (1987).

著者

KAZUMI ASAKO

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.2, pp.117-123, 1991-06-20 (Released:2008-02-28)

参考文献数

8

---

Targeting nominal income is sometimes advocated over targeting money supply because the former is simply one step closer to the ultimate goal of the stabilization of real economic activity. The unsatisfactory records of achieving the money supply target itself are often criticized as well by the advocates of nominal income targeting. In this note, I shall show that the imprecise controllability of money supply per se is a factor against, rather than for, targeting nominal income. The presence of multiplier uncertainty leads to a similar conclusion.

著者

SHINSUKE IKEDA

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.2, pp.124-138, 1991-06-20 (Released:2008-02-28)

参考文献数

30

---

The APT is recast as a general theory of arbitrage asset valuation in a model with diffusion factors and rational expectations. Defining betas by factor elasticities of asset prices, the APT-type arbitrage-free condition is reformulated in terms of asset price function. The condition reduces to a partial differential equation with respect to the asset valuation function. The price function, as a solution of this equation, takes two alternative forms depending on how to design risk-adjustment. The resulting formulae consistently demonstrate the various existing ideas of arbitrage asset evaluation.

著者

TOSHIHIRO SATO

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.2, pp.139-154, 1991-06-20 (Released:2008-02-28)

参考文献数

9

---

The purpose of this paper is to specify a class of equity criteria which always qualify the Lindahl equilibrium states as fair. These equity criteria will be defined in terms of virtual amounts of goods. Also they have to satisfy some fundamental properties to be considered as relevant to equity criteria in general. Eventually it will be shown that such equity criteria are specified to the extent that each of them may be regarded as a generalization of the L-equity criterion.

著者

MIKI SEKO

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.2, pp.155-163, 1991-06-20 (Released:2008-02-28)

参考文献数

18

---

This paper develops and estimates a model of Japanese aggregate homeownership rates using annual data for 1958-78 to study the determinants of owner-occupancy rates as well as the effect of inflation on housing tenure choice.We construct the relative prices of owned and rented housing based on the Japanese system.The estimated results suggest that the capital market is imperfect and also that changes in the Japanese aggregate homeownership rates after 1958 are greatly influenced by demographic and social factors.

著者

CHIKASHI MORIGUCHI

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.1, pp.1-11, 1991-03-20 (Released:2007-10-19)

参考文献数

5

著者

HIROKI TSURUMI WILLIAM KAN

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.1, pp.12-26, 1991-03-20 (Released:2007-10-19)

参考文献数

44

---

A Bayesian inferential procedure for a gradual switching regression with an autocorrelated and heteroscedastic error term is derived and applied to estimate money demand functions in the U.S., Canada, and Japan using quarterly data. The empirical results show that the money demand functions in these countries switched regimes gradually. Unit root tests are applied to time series data on money and the results indicate that the tests are sensitive to regime changes as well as to the autoregressive error processes.

著者

TOSHIO SERITA

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.1, pp.27-39, 1991-03-20 (Released:2007-10-19)

参考文献数

19

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This paper analyzes international asset pricing with a one-period, two-country international asset pricing model (IAPM), and reports the results of empirical tests using a new method suggested by Gibbons and Ferson (1985). The world market portfolio, including exchange risk, plays the most important role in pricing risk of foreign exchange and risky assets. Since investors' investment opportunities vary across countries because of exchange risk, the optimal portfolio varies across countries. Unlike most previous work with a one-country CAPM, the empirical tests of this IAPM do not reject the model.

著者

HIDEMASA TSUBONUMA

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.1, pp.40-49, 1991-03-20 (Released:2007-10-19)

参考文献数

10

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This paper analyses, in the context of a financial market, the effects of disclosure of information by firms on information allocations that are consistent with endogenous information collection. It is shown that, as the precision of information disclosed by firms increases, all of the marketed information becomes concentrated within a smaller fraction of traders, but if the precision exceeds a certain level, the concentrated allocation of information becomes not viable. We also show that welfare impacts of disclosure on traders depend on the level of their initial endowment of a risky asset.

著者

島本 哲朗

出版者

日本経済学会

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.42, no.1, pp.50-61, 1991-03-20 (Released:2007-10-19)

参考文献数

14

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There is a general view that the monetary authority can attain a better performance by using information known only to it. This paper discusses the validity of this view under the situation where the monetary authority does not know the information sets of the private sector. We conclude that while the above view still holds if the information known only to the monetary authority is released to the private sector, it is not necessarily true if such information is used to the feedback rule of money supply.

著者

TAKAO FUJIMOTO

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.41, no.3, pp.282-285, 1990-09-20 (Released:2007-10-19)

参考文献数

13

著者

SHIN-ICHI FUKUDA

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.41, no.4, pp.289-299, 1990-12-20 (Released:2007-10-19)

参考文献数

21

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This paper investigates the optimal choice of monetary policy instrument when the feedback rule on past disturbances is optimally chosen. In the analysis, monetary feedback rule is based not only on current interest rate but also on past disturbances. In the neoclassical model where expectations are rational, the choice of monetary instrument can be redundant in stabilizing output. However, in the sticky price model and the model with adaptive expectations, the choice of monetary instrument in stabilizing output is the Pool's rule whether the feedback rule on past disturbances is optimally chosen or not. A crucial point in the analysis is that the price equation is forward-looking in the neoclassical model with rational expectations but is backward-looking in the sticky price model or the model with adaptive expectations.

著者

HIROAKI HAYAKAWA

出版者

JAPANESE ECONOMIC ASSOCIATION

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.41, no.4, pp.300-316, 1990-12-20 (Released:2007-10-19)

参考文献数

18

---

This paper analyzes the structures of end-of-period and beginning-of-period specifications of asset equilibrium under portfolio adjustment costs and intertemporal optimization motives, by distinguishing effective from notional asset demands and planning horizon from market period length. We show: (1) The expectations functions in discrete time converge to continuously differentiable functions of time in the continuous time limit. (2) Quasi end-of-period equilibrium is a relevant notion to deal with effective asset demands. (3) The two specifications are equivalent in continuous time only if the perfect foresight condition is satisfied. (4) The balance sheet identity and the flow budget constraint are equivalent.