Empirical Analyses on Macroeconomic Effects of Uncertainties in Japan

日本不确定性对宏观经济影响的实证分析

基本信息

批准号：
15330044
负责人：
TAKEDA Yosuke
金额：
$ 5.95万
依托单位：
Sophia University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
2003
资助国家：
日本
起止时间：
2003 至 2005
项目状态：
已结题

项目摘要

This research project aims at empirically analyzing macroeconomic effects of such uncertainties as unemployment or inflation, which the Japanese has been concerned about. Our focus is in education demand, physical investment, household consumption, monetary policy and rates of interest, which might be influenced by the uncertainties.1. Chapter 1. Liquidity Constraint in Education Demand : Using the Panel Data on Households, we estimated the functions for education expenditure. Our empirical results are not consistent with human capital investment without liquidity constraints, but with either human capital investment with liquidity constraints or education demand as consumption.2. Chapter 2. Investment under Uncertainty: Using the Balance-Sheet Data of Business Enterprises, we estimated the investment functions, among the explanatory variables which there are three 'uncertainty' variables concerning market forecasts, price-earning ratio and real turnovers. The latter two uncertainty va … More riables are negatively significant, which suggests that it is not uncertainty of demand but one of supply for firms to take into account in their investment decisions.3. Chapter 3 Employment Status and Consumption by Households: In a dynamic general equilibrium model, we address precautionary saving motives for possible unemployment. We numerically measure the cost of inflation, in that households cannot smooth consumptions in face of inflation and deteriorated values of nominal savings. In a case of monetary policy during the 1990s, the Bank of Japan causes 0.334% of GDP, the magnitude of which would be even increased by unemployment risk.4. Chapter 4. Monetary Targeting under Discretion: We address the Goodhart's Law that monetary targeting of central banks could cause money demand function to be less stable. In a dynamic general equilibrium model, we consider a regime switching monetary policy rule which depends on monetary targeting following a Markov process. Our model succeeds in generating variability of money velocity in Japan.5. Cher5. Economic Fluctuations and Long-term Interest Rate in the G7 Countries: We apply the Lucas tree model to the Japanese economy, in comparison with other G7 countries. It turns out that why the Japanese long-term interest rates have been lower than other countries lies in both low level of expected inflation rates and negative inflation premium due to larger covariance between consumption growth and inflation.6. Less

本研究项目旨在实证分析日本人一直关注的失业或通货膨胀等不确定因素对宏观经济的影响，这些因素可能会受到教育需求、实物投资、家庭消费、货币政策和利率的影响。 1. 第一章教育需求的流动性约束：利用家庭面板数据，我们估计了教育支出的函数。我们的实证结果与没有流动性约束的人力资本投资不一致，但与有流动性约束的人力资本投资不一致。流动性限制或教育需求2.第二章不确定性下的投资：利用企业资产负债表数据估算了投资函数，其中解释变量中有市场预测、市盈率和实际营业额三个“不确定性”变量后两个不确定性变量具有负显着性，这表明企业在投资决策中需要考虑的不是需求的不确定性，而是供给的不确定性之一。3．家庭：在动态一般均衡模型中，我们解决了可能失业的预防性储蓄动机，我们以数字方式衡量通货膨胀的成本，因为在货币情况下，家庭无法在通货膨胀和名义储蓄价值恶化的情况下平滑消费。在 20 世纪 90 年代，日本央行的政策导致了 GDP 的 0.334%，其幅度甚至会因失业风险而增加。4. 第 4 章自由裁量权下的货币目标：我们讨论古德哈特定律，即货币政策中央银行的目标可能导致均衡货币需求函数不稳定。在动态一般模型中，我们考虑依赖于马尔可夫过程之后的货币目标的政权转换货币政策规则。我们的模型成功地在日本产生了货币流通速度的可变性。 .5. Cher5. G7国家的经济波动和长期利率：我们将卢卡斯树模型应用到日本经济中，与其他G7国家进行比较，结果发现为什么日本的长期利率一直如此。低于其他国家的关键在于两方面都低由于消费增长与通货膨胀之间的协方差较大，导致预期通货膨胀率和负通货膨胀溢价水平。6．