• Do Larger Firms Have More Interfirm Relationships?
  Mitsuru IwamuraTsutomu WatanabeYukiko Umeno Saito

  Abstract

  In this study, we investigate interfirm networks by employing a unique dataset containing information on more than 800,000 Japanese firms, about half of all corporate firms currently operating in Japan. First, we find that the number of relationships, measured by the indegree, has a fat tail distribution, implying that there exist “hub” firms with a large number of relationships. Moreover, the indegree distribution for those hub firms also exhibits a fat tail, suggesting the existence of “super-hub” firms. Second, we find that larger firms tend to have more counterparts, but the relationship between firms’ size and the number of their counterparts is not necessarily proportional; firms that already have a large number of counterparts tend to grow without proportionately expanding it.

  Introduction

  When examining interfirm networks, it comes as little surprise to find that larger firms tend to have more interfirm relatioships than smaller firms. For example, Toyota purchases intermediate products and raw materials from a large number of firms, located inside and outside the country, and sells final products to a large number of customers; it has close relationships with numerous commercial and investment banks; it also has a large number of affiliated firms. Somewhat surprisingly, however, we do not know much about the statistical relationship between the size of a firm and the number of its relationships. The main purpose of this paper is to take a closer look at the linkage between the two variables.

  2007.03

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• The Consumption-Wealth Ratio and the Japanese Stock Market
  Kohei AonoTokuo Iwaisako

  Abstract

  Following Lettau and Ludvigson (2001a,b), we examine whether the consumption—wealth ratio can explain Japanese stock market data. We construct the data series cayt, the residuals from the cointegration relationship between the consumption and the total wealth of households. Unlike the US results, cayt does not predict future Japanese stock returns. On the other hand, it does help to explain the crosssection of Japanese stock returns of industry portfolios. In the US case, cayt is used as a scaling variable that explains time variation in the market beta. In the Japanese case, the movement of cayt is interpreted as the change in the constant terms, hence the change in average stock returns. We also propose to improve cayt by taking real estate wealth into consideration.

  Introduction

  The consumption-based asset pricing model is among the most important benchmarks in financial economics. Yet, its empirical performance with a structural Euler equation of households using aggregate data has been a major disappointment (see Campbell [2003] for a recent survey). Hence, recent studies started looking into other aspects of the consumption-based model. An attractive alternative research strategy is to use disaggregate consumption data, which has been explored by authors such as Mankiw and Zeldes (1991) and Vissing-Jorgensen (2002). More recent studies including Lettau and Ludvigson (2001a,b), Parker and Julliard (2005), and Yogo (2006) examine, using aggregate data, long-run restrictions implied by consumption-based models, and they obtain useful results. In particular, Lettau and Ludvigson (2001a,b) consider the long-run cointegration relationship between consumption and household wealth. They propose to use the “cay” variable, which is in essence the consumption—wealth ratio of the household sector, in both predicting aggregate stock returns and explaining cross-sectional patterns of the US stock market.

  2007.03

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• Voluntary Information Disclosure and Corporate Governance The Empirical Evidence on Earnings Forecasts
  Naohito AbeYessica C.Y. Chung

  Abstract

  This study investigates the determinants of companies’ voluntary information disclosure. Employing a large and unique dataset on the companies’ own earnings forecasts and their frequencies, we conducted an empirical analysis of the effects of a firm’s ownership, board, and capital structures on information disclosure. Our finding is consistent with the hypothesis that the custom of cross-holding among companies strengthens entrenchment by managers. We also find that bank directors force managers to disclose information more frequently. In addition, our results show the borrowing ratio is positively associated with information frequency, suggesting that the manager is likely to reveal more when his or her firm borrows money from financial institutions. However, additional borrowings beyond the minimum level of effective borrowings decrease the management’s disclosing incentive.

  Introduction

  The corporate governance literature has discussed many mechanisms for resolving the fundamental issue: the agency problem. Perhaps the most pervasive and important factor causing the agency problem between a manager and an investor is the informational asymmetries between them. If managers who are better informed about their future prospects have divergent incentives with their investors, they may expropriate investors’ benefits for their private objectives.

  2007.02

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• 「日本家計の消費・貯蓄・労働プロファイル」
  Naohito AbeNoriko Inakura

  Abstract

  日本家計の 10 年にわたるパネルデータを使用し、消費・労働供給・資産蓄積に関する平均年齢プロファイルおよび共分散構造を分析した。その結果、消費プロファイルの Hump Shape、右下がりの労働供給プロファイル等、平均プロファイルに関しては欧米の先行研究と概ね整合的であることがわかった。また、共分散構造に関しては、自己ラグとの相関パターンは欧米の先行研究とほぼ同様の傾向を示しているが、分散水準、特に所得成長率の分散が欧米にくらべて著しく小さく、また所得と労働や消費間での同時点の相関も小さいことが明らかになった。

  Introduction

  不完備資本市場のライフサイクルモデルは、家計の消費・貯蓄行動のみならず、近年では労働供給行動を分析するツールとしても広く利用されている。特に、コンピューター技術の発展によりシミュレーションベースの推計が可能になったこと、およびマイクロデータへのアクセスが昔にくらべて容易になったことから、従来のように、線形近似されたオイラー方程式の推計にとどまらず、動学モデルの構造を最大限利用した動学構造推計によりライフサイクルモデルのデータ説明力を検証する試みが広がりつつある。

  2007.02

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• IMPACTS OF CORPORATE GOVERNANCE AND PERFORMANCE ON MANAGERIAL TURNOVER IN RUSSIAN FIRMS
  Ichiro IwasakiNaohito Abe

  Abstract

  In this paper, we deliberate the possible impacts of corporate governance and performance on managerial turnover using a unique dataset of Russian corporations. This study is different from most previous works in that we deal with not only CEO dismissals, but also with managerial turnover in a company as a whole. We find that nonpayment of dividends is correlated significantly with managerial turnover. We also find that the presence of dominant shareholders and foreign investors is another important factor in causing managerial dismissal in Russian corporations, but these two kinds of company owners reveal different effects in terms of turnover magnitude.

  Introduction

  Establishing an effective governance system to discipline top management to produce maximized shareholder wealth is very important, because the diffuse ownership structure in public companies means that shareholders must delegate the daily management of a business to professional managers, and they do not always bend over backward to satisfy their principals.

  2007.02

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• On the Efficiency Costs of De-tracking Secondary Schools
  Giorgio BrunelloKenn ArigaLorenzo RoccoRoki Iwahashi

  Abstract

  During the postwar period, many countries have de-tracked their secondary schools, based on the view that early tracking was unfair. What are the e¢ ciency costs, if any, of de-tracking schools? To answer this question, we develop a two skills - two jobs model with a frictional labour market, where new school graduates need to actively search for their best match. We compute optimal tracking length and the output gain/loss associated to the gap between actual and optimal tracking length. Using a sample of 18 countries, we find that: a) actual tracking length is often longer than optimal, which might call for some e¢ cient de-tracking; b) the output loss of having a tracking length longer or shorter than optimal is sizeable, and close to 2 percent of total net output.

  Introduction

  In most education systems in the developed world, heterogeneous pupils are initially mixed in comprehensive schools - typically primary and lower secondary education. As some stage of the curriculum, however, some form of (self) selection takes place, typically based on ability and past performance, and students are allocated to schools which specialize in different curricula (tracks) or to classes where subjects are taught at a different level of di¢ culty (streams). The former system is typical of Central European countries, such as Germany, Austria, The Netherlands and Hungary, but exists also in Korea and Japan, and the latter system is typically observed in the US. When no selection whatsoever occurs during upper secondary school, as in some Scandinavian countries, choice and specialization are delayed until college education.

  2007.01

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• 「流動性の罠と最適金融政策：展望」
  Tamon TakamuraTsutomu Watanabe

  Abstract

  本稿では Krugman (1998) 以降の流動性の罠に関する研究をサーベイし，そこで得られた知見を整理する。第 1 に，最近の研究が対象とするのは超短期金利の非負制約がバインディングになる現象であり，永久国債の金利に注目するケインズの定義と異なっている。ケインズの罠は超短期金利がバインディングな状態が無限遠の将来まで続く恒久的な罠であり，最近の研究が扱っているのは一時的な罠である。第 2 に，一時的な罠に対する処方箋としてこれまで提案されてきたアイディアの多くは，現代の金融政策論に照らして標準的なものである。流動性の罠の下で経済厚生を最大化する金融政策ルールは広い意味でのインフレターゲティングとして表現できる。流動性の罠はその奇異な見かけから特殊な現象と受け取られがちであるが，少なくとも罠が一時的である限り，それに対する処方箋は意外なほどにオーソドックスである。

  Introduction

  流動性の罠に関する先駆的な論文である Krugman(1998) が執筆された当時，流動性の罠（liquiditytraps）という言葉を EconLit で検索すると，論文数は1975 年以降で 21 本に過ぎなかった（Krugman (1998,p.138)）。クルーグマンはこの関心の低さの背景として “a liquidity trap cannot happen, did not happen,and will not happen again” という認識がマクロ経済学者の間に広まっていたことを挙げている1。しかし現時点（2006 年 7 月）で同じ検索を行うと，論文数は160 本を超えており（図 1），マクロ経済学者の関心の低さが急速に是正されてきたことがわかる。これは，言うまでもなく，流動性の罠が実際に生じ得る現象であることを日本経済が証明した結果である2。本稿の目的は，流動性の罠に関する Krugman (1998) 以降の研究をサーベイし，そこで得られた新たな知見が何であるかを考察することである。

  2006.11

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• Optimal Monetary Policy at the Zero Interest Rate Bound: The Case of Endogenous Capital Formation
  Takeshi KudoTamon TakamuraTsutomu Watanabe

  Abstract

  This paper characterizes optimal monetary policy in an economy with the zero interest rate bound and endogenous capital formation. First, we show that, given an adverse shock to productivity growth, the natural rate of interest is less likely to fall below zero in an economy with endogenous capital than the one with fixed capital. However, our numerical exercises show that, unless investment adjustment costs are very close to zero, we still have a negative natural rate of interest for large shocks to productivity growth. Second, the optimal commitment solution is characterized by a negative interest rate gap (i.e., real interest rate is lower than its natural rate counterpart) before and after the shock periods during which the natural rate of interest falls below zero. The negative interest rate gap after the shock periods represents the history dependence property, while the negative interest rate gap before the shock periods emerges because the central bank seeks to increase capital stock before the shock periods, so as to avoid a decline in capital stock after the shock periods, which would otherwise occur due to a substantial decline in investment during the shock periods. The latter property may be seen as central bank’s preemptive action against future binding shocks, which is entirely absent in fixed capital models. We also show that the targeting rule to implement the commitment solution is characterized by history-dependent inflation-forecast targeting. Third, a central bank governor without sophisticated commitment technology tends to resort to preemptive action more than the one with it. The governor without commitment technology controls natural rates of consumption, output, and so on in the future periods, by changing capital stock today through monetary policy.

  Introduction

  Recent literature on optimal monetary policy with the zero interest rate bound has assumed that capital stock is exogenously given. This assumption of fixed capital stock has some important implications. First, the natural rate of interest is exogenously determined simply due to the lack of endogenous state variables: namely, it is affected by exogenous factors such as changes in technology and preference, but not by changes in endogenous variables. For example, Jung et al. (2005) and Eggertsson and Woodford (2003a, b) among others, start their analysis by assuming that the natural rate of interest is an exogenous process, which is a deterministic or a two-state Markov process. More recent researches such as Adam and Billi (2004a, b) and Nakov (2005) extend analysis to a fully stochastic environment, but continue to assume that the natural rate process is exogenously given. These existing researches typically consider a situation in which the natural rate of interest, whether it is a deterministic or a stochastic process, declines to a negative level entirely due to exogenous shocks, and conduct an exercise of characterizing optimal monetary policy responses to the shock, as well as monetary policy rules to implement the optimal outcome.

  2006.11

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• Fiscal Policy Switching: Evidence from Japan, US, and UK
  Arata ItoTomoyoshi YabuTsutomu Watanabe

  Abstract

  This paper estimates fiscal policy feedback rules in Japan, the United States, and the United Kingdom, allowing for stochastic regime changes. Using Markov-switching regression methods, we find that the Japanese data clearly reject the view that fiscal policy regime is fixed; i.e., the Japanese government has been adopting either of Ricardian or Non-Ricardian policy at all times. Instead, our results indicate that fiscal policy regimes evolve over time in a stochastic manner. This is in a sharp contrast with the U.S. and U.K. results in which the government’s fiscal behavior is consistently characterized by Ricardian policy.

  Introduction

  Recent studies about the conduct of monetary policy argue that fiscal policy regime has important implications for the choice of desirable monetary policy rules, in particular, monetary policy rules in the form of inflation targeting (Sims (2005), Benigno and Woodford (2006)). Needless to say, we can safely believe that fiscal regime during the peace time is characterized as “Ricardian” in the terminology of Woodford (1995), or “passive” in the terminology of Leeper (1991). In such a case, we are allowed to design an optimal monetary policy rule without paying any attention to fiscal regimes. However, if the economy is unstable in terms of fiscal situations, it would be dangerous to choose a monetary policy rule independently of fiscal policy regimes. For example, some researchers argue that rapid accumulation of public debt in Japan is an evidence for the lack of fiscal discipline of the Japanese government. If this is the case, it would be possible that participants in the government bond market will come to have doubts about the government’s intention to repay public debt. Given this environment, it would not be desirable to design a monetary policy rule without paying any attention to the future evolution of fiscal policy regime. The purpose of this paper is to estimate fiscal policy feedback rules in Japan, the United States, and the United Kingdom for more than a century, so as to acquire a deeper understanding about the evolution of fiscal policy regime.

  2006.11

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• Massive Money Injection in an Economy with Broad Liquidity Services: The Japanese Experience 2001-2006
  Mitsuru IwamuraShigenori ShiratsukaTsutomu Watanabe

  Abstract

  This paper presents a model with broad liquidity services to discuss the consequences of massive money injection in an economy with the zero interest rate bound. We incorporate Goodfriend’s (2000) idea of broad liquidity services into the model by allowing the amounts of bonds with various maturities held by a household to enter its utility function. We show that the satiation of money (or the zero marginal utility of money) is not a necessary condition for the one-period interest rate to reach the zero lower bound; instead, we present a weaker necessary condition that the marginal liquidity service provided by money coincides with the marginal liquidity service provided by the one-period bonds, both of which are not necessarily equal to zero. This result implies that massive money injection would have some influences on an equilibrium of the economy even if it does not alter the private sector’s expectations about future monetary policy. Our empirical results indicate that forward interest rates started to decline relative to the corresponding futures rates just after March 2001, when a quantitative monetary easing policy started by the Bank of Japan, and that the forward and futures spread has never closed until the policy ended in March 2006. We argue that these findings are not easy to explain by a model without broad liquidity services.

  Introduction

  Recent researches on the optimal monetary policy in an economy with the zero interest rate bound have found the importance of a central bank’s commitment about future monetary policy (Woodford (1999), Jung et al. (2005), Eggertsson and Woodford (2003) among others). In a usual environment, a central bank conducts monetary easing by lowering the current overnight interest rate through an additional injection of money to the market. However, this does not work well once the overnight interest rate reaches the zero lower bound. Further monetary easing in such a situation could be implemented only through central bank’s announcements about the future path of the overnight interest rate. Specifically, it has been shown that the optimal monetary policy rule is characterized by “history dependence” in the sense that a central bank commits itself to continuing monetary easing even after the economy returns to a normal situation.

  2006.11

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