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

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

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

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

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

---

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

---

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

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

---

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

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

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

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.

著者

MARIKO YOSHIDA

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.367-373, 1990-12-20 (Released:2007-10-19)

参考文献数

7

---

In this paper we consider the pure exchange overlapping-generations model with money. This model assumes the double infinity of consumers and commodities. Hence it is not so easy to show the existence of a competitive equilibrium in this model as to show a competitive equilibrium in the finite horizon economy. This paper claims to prove the existence theorem: Under a set of assumptions about consumer's utility functions and initial endowments, we show the existence of a monetary competitive equilibrium where money has a finite positive exchange value over the infinite horizon.

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

大滝 雅之 山崎 福寿 深尾 京司

出版者

日本経済学会

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.41, no.4, pp.336-352, 1990-12-20 (Released:2007-10-19)

参考文献数

26

---

Deregulation of Japan's foreign exchange markets has remarkably progressed in 1980s. This paper studies how the deregulation affects the pattern of economic fluctuations and the optimal monetary policy. The monetary authority is assumed to control money supply in response to various exogenous shocks, in order to minimize the weighted average of variances of GNP and the price index. Interestingly, in the economy with deregulated foreign exchange markets, the monetary authority should response more sensitive to shocks which are occurred at foreign countries such as unexpected changes of foreign government expenditure and monetary policy than to domestic shocks. It is shown that the optimal monetary policy derived in this paper is free from Lucas Critic in that the policy which is optimal under the assumption of static expectation on government policy is not necessarily optimal under rational expectation.

著者

HIROYUKI CHUMA

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.317-335, 1990-12-20 (Released:2007-10-19)

参考文献数

18

---

If policyholders surrender their level-premium permanent life insurance contracts in favor of a “buy term and invest the cash value by themselves” proposal, would they be better off? In response to such a standing question in life insurance literature, so-called “separatists” recommend that saving and protection elements of life contracts should be separated. Their argument is based on the observation that: (a) level-premium life insurance overcharges the policyholders and (b) an individual can invest his life insurance savings more wisely than can the life insurance company. Against such a recommendation, however, most of life insurance specialists stoutly maintain the view: People can effectively preserve their life protection only when the saving feature is combined with the protection feature. The purpose of this paper is to offer a through economic analysis on these conflicting doctrines.

著者

柳川 範之

出版者

日本経済学会

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.41, no.4, pp.353-366, 1990-12-20 (Released:2007-10-19)

参考文献数

19

---

Brander and Spencer (1984a) showed the new aspect of the tariff policy in the imperfectly competitive market (rent shifting). This paper examines how welfare is affected and the policy fails when the direct investment is induced by that tariff policy. It is shown, among other things, that (a) welfare of the host country is lowered even compared to the free trade regime when entry is restricted, that (b) with free entry of firms, welfare of the host country is enhanced compared to the free trade regime, and that (c) if the traiff war occurs, welfare of the both countries are always lowered compared to any regimes.

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

---

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

MASANORI BERNARD OKAMOTO MITSUHIRO ODAKI

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.193-204, 1990-09-20 (Released:2007-10-19)

参考文献数

22

---

An extended version of Sims' noncausality is presented on partitioned subvectors of multiple time series. It is shown that this is not equivalent to “generalized” Granger's noncausality in multiple time series. The necessary and sufficient condition for both Granger's instantaneous noncausality and the extended version of Sims' noncausality to be held is that block matrices of the MA representation are zero. A statistic for testing noncausality is given and its asymptotic distribution is chi-square distribution with the degree of freedom of the numbers of components of a subvector. An expression of relative power contribution in multiple time series is introduced in view of noncausality test.

著者

荻野 和則

出版者

日本経済学会

雑誌

The Economic Studies Quarterly (ISSN:0557109X)

巻号頁・発行日

vol.41, no.2, pp.183-187, 1990-06-20 (Released:2007-10-19)

参考文献数

13

---

In a specific factor model we examined the equivalence of tariffs and quotas under capital movements. We derived three results. First, both policies become equivalent despite the presence of the foreign capital which is fixed. Second, under free capital mobility, welfare depends only on the domestic price irrespective of the kind of policies. Third, the equivalence breaks down and the quota policy establishes higher welfare, a lower domestic price and the lower foreign capital stock under free capital mobility.

著者

YUSAKU KATAOKA HIROSHI MIYASHITA KIMIO MORIMUNE

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.205-220, 1990-09-20 (Released:2007-10-19)

参考文献数

21

---

A class of models generalizing Koyck distributed lag models is applied to the problem of measuring market response Yt to a communications mix Zt-s consisting of media advertising or promotional expenditures. Rewriting these models as Yt=αYt-1+βZt+error term, α: 2×2, an ordinary least squares (OLS) estimate of α is obtained and the analytical expression for the first moment of an OLS estimate is derived under the assumption that Yt is normally and independently distributed. These results, in combination with an asymptotic expansion of the generalized hypergeometric function, yield a new approximate first moment formula for the OLS estimate.