• Japan’s Intangible Capital and Valuation of Corporations in a Neoclassical Framework
  Hiroki AratoKatsunori Yamada

  Abstract

  Employing a new accounting data set, this paper estimates the value of productive capital stocks in Japan using the neoclassical model of McGrattan and Prescott (2005). We compare those estimates to actual corporate valuations, and show that the actual value of equity plus net debt falls within a reasonable range of the theory’s prediction for the value of Japanese corporations during the periods 1981-86 and 1993-97. This finding differs from previous results based on studies of aggregate data sets or based on studies of micro data sets that neglected intangible capital. We also show that the Japanese ratio of the amount of intangible capital stock to the amount of tangible capital stock is comparable to the analogous ratios for the U.S. and U.K.

  Introduction

  This paper provides a new interpretation of Japanese stock market developments since 1980, taking into account the role of intangible capital, based on the framework of McGrattan and Prescott (2005). To do so, we employ a new accounting data set, together with a national aggregate data set of the System of National Account (SNA). We show that the ratio of the amount of intangible capital stock to the amount of tangible capital stock for Japan is close to the values for the U.S. and the U.K.. Our estimates of the ratio of the actual corporate value to the fundamental value of capital stocks differ from previous studies using national aggregate data, and from previous studies using micro data sets. We show that intangible capital is an important source of actual corporate values in the Japanese stock market, despite being neglected in the previous studies of Japanese stock markets.

  2010.03

  PDFファイルはこちら

• Structural and Temporal Changes in the Housing Market and Hedonic Housing Price Indices
  Chihiro ShimizuHideoki TAKATSUJIHiroya ONOKiyohiko G.Nishimura

  Abstract

  An economic indicator faces two requirements. It should be timely reported and should not significantly be altered afterward to avoid erroneous messages. At the same time they should reflect changing market conditions constantly and appropriately. These requirements are particularly challenging for housing price indices, since housing markets are subject to large temporal/seasonal changes and occasional structural changes. In this study we estimate a hedonic price index of previously-owned condominiums of Tokyo 23 Wards from 1986 through 2006, taking account of seasonal sample selection biases and structural changes in a way it enables us to report the indexes timely which are not subject to change after reporting. Specifically, we propose an overlapping-period hedonic model (OPHM), in which a hedonic price index is calculated every month based on data in the “window” of a year ending this month (this month and previous eleven months). We also estimate hedonic housing price indexes under alternative assumptions: (i) no structural change (“structurally restricted”) and (ii) different structure for every month (“structurally unrestricted”). Results suggest that the structure of the housing market, including seasonality, changes over time, and these changes occur continuously over time. It is also demonstrated that structurally restricted indices that do not account for structural changes involve a large time lag compared with indices that do account for structural changes during periods with significant price fluctuations.

  Introduction

  Japan, the United States, and most advanced nations have experienced housing bubbles and subsequent collapses of the bubbles in succession. Recently, much attention has been focused on housing price indices. In macroeconomic policy, housing price indices are considered to be a possible candidate of “early warning signals” of sometimes devastating financial bubbles. In microeconomic spheres, there are growing needs for hedging against volatility in housing markets, and housing price indices may be used as a means of index trades.

  2010.03

  PDFファイルはこちら

• Estimation of Redevelopment Probability using Panel Data -Asset Bubble Burst and Office Market in Tokyo-
  Chihiro ShimizuKoji Karato

  Abstract

  Purpose: When Japan’s asset bubble burst, the office vacancy rate soared sharply. This study targets the office market in Tokyo’s 23 special wards during Japan’s bubble burst period. It aims to define economic conditions for the redevelopment/conversion of offices into housing and estimate the redevelopment/conversion probability under the conditions.
  Design/methodology/approach: The precondition for land-use conversion is that subsequent profit excluding destruction and reconstruction costs is estimated to increase from the present level for existing buildings. We estimated hedonic functions for offices and housing, computed profit gaps for approximately 40,000 buildings used for offices in 1991, and projected how the profit gaps would influence the land-use conversion probability. Specifically, we used panel data for two time points in the 1990s to examine the significance of redevelopment/conversion conditions.
  Findings: We found that if random effects are used to control for individual characteristics of buildings, the redevelopment probability rises significantly when profit from land after redevelopment is expected to exceed that from present land uses. This increase is larger in the central part of a city.
  Research limitations/implications: Limitations stem from the nature of Japanese data limited to the conversion of offices into housing. In the future, we may develop a model to generalize land-use conversion conditions.
  Originality/value: This is the first study to specify the process of land-use adjustments that emerged during the bubble burst. This is also the first empirical study using panel data to analyse conditions for redevelopment.
  Key words: hedonic approach, random probit model, urban redevelopment, Japan’s asset bubble Paper type: Research paper

  Introduction

  Sharp real estate price hikes and declines, or the formation and bursting of real estate bubbles, have brought about serious economic problems in many countries.

  2010.01

  PDFファイルはこちら

• Housing Bubble in Japan and the United States
  Chihiro ShimizuTsutomu Watanabe

  Abstract

  Japan and the United States have experienced the housing bubbles and subsequent collapses of the bubbles in succession. In this paper, these two bubbles are compared and the following findings are obtained.
  Firstly, upon applying twenty years of past data from Japan to the “repeat-sales method” and the “hedonic pricing method”, which are representative methods for calculating house prices, it was found that the timing at which prices bottomed out after the collapses of the bubbles differed depending on the two methods. The timing for bottoming out as estimated by the repeat-sales method delayed when compared to the estimate using the hedonic pricing method, by 13 months for condominiums and by three months for single-family homes. This delay is caused by the depreciation effect of building not being processed appropriately by the repeat-sales method. In the United States, the S&P/Case-Shiller Home Price Indices are representative house prices indices, which use the repeat-sales method. Therefore, it is possible that the timing for bottoming out is estimated to be delayed. As there are increasing interests in the timing for bottoming out of the US housing market, there is a risk that the existence of such a lag in cognition causes the increase of uncertainty and the delay in economic recovery.
  Secondly, when looking at the relationship between the demand for houses and house prices based on the time-series data, there is a positive correlation between the two elements. However, upon conducting an analysis using the panel data, which is based on data in units of prefectures or states, there is no significant relationship between the demand for houses and house prices in both Japan and the United States. In this sense, it is hard to explain whether there is a bubble and the size of the bubble according to prefecture (state) using demand elements. This suggests that it is possible that the concept of demographics having an impact on the demand for houses, which thus caused the house prices to increase, is not effective in explaining the price fluctuations in neither Japan nor the United States.
  Thirdly, when looking at the co-movement between the house prices and rent, a phenomenon which the rent almost does not fluctuate at all even when the significant change of house prices change in the process of the formation and collapse of a bubble was confirmed for both Japan and the United States. Its background is that landlords and tenants have formed long-term contractual relationships so that both parties can save on various transactional costs. In addition, the imputed rent of one’s home is not assessed using market prices in Japan, which is an aspect to weaken the co-movement. A lack of co-movement causes a phenomenon in Japan and the United States where consumer prices that include this rent as an important element do not increase since rent does not increase even if housing prices increase during a bubble period. Thus, it results in a delay towards a shift to tighten credits. Since rent prices do not move together with the house prices even after house prices decrease after the collapse of the bubble, a phenomenon which consumer prices do not decrease was observed. This served as a factor for the delay in a shift towards monetary relaxation. Rent prices are an important variable that serves as a node between asset prices and prices of goods and services. It is necessary to increase the accuracy with which it is measured.

  Introduction

  This paper’s objective is to find similarities and differences between the Japanese and US housing markets by comparing Japan’s largest postwar real estate bubbles in the 1980s and U.S. housing bubbles since 2000 that have reportedly caused the worst financial crisis since the 1929 Great Depression. While various points have been made about the housing bubbles, this paper attempts to specify the following points.

  2010.01

  PDFファイルはこちら

• Incumbent’s Price Response to New Entry:The Case of Japanese Supermarkets
  Daiji KawaguchiNaohito Abe

  Abstract

  Large-scale supermarkets have rapidly expanded in Japan over the past two decades, partly because of zoning deregulations for large-scale merchants. This study examines the effect of supermarket openings on the price of national-brand products sold at local incumbents, using scanner price data with a panel structure. Detailed geographic information on store location enables us to define treatment and control groups to control for unobserved heterogeneity and temporary demand shock. The analysis reveals that stores in the treatment group lowered their prices of curry paste, bottled tea, instant noodles, and toothpaste by 0.4 to 3.1 percent more than stores in a control group in response to a large-scale supermarket opening.

  Introduction

  The retail sector has been regarded as one of Japan’s least productive industries. In 2000, the McKinsey Global Institute issued a very influential report, which found Japan’s overall retail productivity is half of the US’s; in particular, the productivity of small-scale retail stores is only 19 percent of that in the US. The report points out that the large share of unproductive small retail shops was the main cause of overall low productivity. The report claims that this lower productivity hurt Japanese consumers through high prices.

  2009.11

  PDFファイルはこちら

• House Prices in Tokyo: A Comparison of Repeat-Sales and Hedonic Measures”
  Chihiro ShimizuKiyohiko G.NishimuraTsutomu Watanabe

  Abstract

  Do the indexes of house prices behave differently depending on the estimationmethods? If so, to what extent? To address these questions, we use a unique datasetthat we have compiled from individual listings in a widely circulated real estateadvertisement magazine. The dataset contains more than 400 thousand listingsof housing prices in 1986 to 2008, including the period of housing bubble andits burst. We find that there exists a substantial discrepancy in terms of turningpoints between hedonic and repeat sales indexes, even though the hedonic indexis adjusted for structural change and the repeat sales index is adjusted in a wayCase and Shiller suggested. Specifically, the repeat sales measure tends to exhibita delayed turn compared with the hedonic measure; for example, the hedonicmeasure of condominium prices hit bottom at the beginning of 2002, while thecorresponding repeat-sales measure exhibits reversal only in the spring of 2004.Such a discrepancy cannot be fully removed even if we adjust the repeat salesindex for depreciation (age effects).

  Introduction

  Fluctuations in real estate prices have substantial impacts on economic activities. InJapan, a sharp rise in real estate prices during the latter half of the 1980s and its declinein the early 1990s has led to a decade-long stagnation of the Japanese economy.More recently, a rapid rise in housing prices and its reversal in the United States havetriggered a global financial crisis. In such circumstances, the development of appropriateindexes that allow one to capture changes in real estate prices with precision isextremely important not only for policy makers but also for market participants whoare looking for the time when housing prices hit bottom.

  2009.11

  PDFファイルはこちら

• 「近年の若年層が直面する所得リスクに関する一考察」
  Naohito Abe

  Abstract

  家計パネルデータ(KHPS)の所得と消費支出に関する共分散構造を用い、近年の日本の勤労家計が直面する所得変動の恒常的要因と一時的要因の分解を試みた。その結果、30 代家計においては、直近において、一時的変動の重要性が低下し、恒常的変動が支配的となっていることが明らかとなった。逆に、40 代家計では、直近の所得変動の大部分は変動ショックによるものであるという結果を得た。これは、近年の経済状況が、特に 30 代家計にとって特に厳しいものであることを示唆するものである。

  Introduction

  橘木(1998)の研究を嚆矢とし、日本家計間の所得格差に関して多くの調査・研究がなされてきた。様々な研究機関や新聞社が行っている格差に関する意識調査によると、所得格差が拡大していると認識している家計はかなりの割合に達しており、近年では様々な白書で政府機関による分析が公表されるようになっている。『平成 18 年度経済財政白書』によると、「全国消費実態調査」に基づく家計所得のジニ係数は、1999 年から 2004 年にかけての 24 歳以下の家計を例外として、1989 年以降、各世帯主年齢階層で上昇傾向は観察されない。また、『平成 20 年度厚生労働白書』は「国民生活基礎調査」に基づいて家計所得のジニ係数を計算しており、やはり 1998年から 2004年にかけての 25歳未満家計を例外として、各年齢層でジニ係数の水準は安定しており、特に格差拡大を示す兆候がみられないことを報告している。二つの白書の結果に従うと、20 世紀末から今世紀初頭における若年層を例外として、同一年齢階級で比較する限り、近年における所得格差拡大は二つの統計調査からは確認されない、ということになる。

  2009.09

  PDFファイルはこちら

• 「価格の実質硬直性：計測手法と応用例」
  Takayuki MizunoTsutomu WatanabeYukiko Umeno Saito

  Abstract

  本稿では，各企業が互いの価格設定行動を模倣することに伴って生じる価格の粘着性を自己相関係数により計測する方法を提案するとともに，オンライン市場のデータを用いてその度合いを計測する。Bils and Klenow (2004) 以降の研究では，価格改定から次の価格改定までの経過時間の平均値をもって価格粘着性の推計値としてきたが，本稿で分析対象とした液晶テレビではその値は 1.9 日である。これに対して自己相関係数を用いた計測によれば，価格改定イベントは最大 6 日間の過去依存性をもつ。つまり，価格調整の完了までに各店舗は平均 3 回の改定を行っている。店舗間の模倣行動の結果，1 回あたりの価格改定幅が小さくなり，そのため価格調整の完了に要する時間が長くなっていると考えられる。これまでの研究は，価格改定イベントの過去依存性を無視してきたため，価格粘着性を過小評価していた可能性がある。

  Introduction

  Bils and Klenow (2004) 以降，ミクロ価格データを用いて価格粘着性を計測する研究が活発に行われている。一連の研究では，価格が時々刻々，連続的に変化しているわけではなく，数週間あるいは数ヶ月に一度というように infrequent に変更されている点に注目し，そうした価格改定イベントの起こる頻度を調べるという手法が用いられている。そこでの主要な発見は，価格改定イベントはかなり頻繁に起きているということである。例えば，Bils and Klenow (2004) は，米国 CPIの原データを用いて改定頻度は 4.3ヶ月に一度と報告している。Nakamura and Steinsson (2008) は同じく米国 CPI の原データを用いて，特売を考慮すれば改定頻度は 8-11ヶ月に一度と推計している。欧州諸国に関する Dhyne et al (2006) の研究や，日本に関する Higoand Saita (2007) の研究でも，数ヶ月に一度程度の頻度で価格改定が行われるとの結果が報告されている。

  2009.09

  PDFファイルはこちら

• 「量的緩和期の外為介入」
  Tomoyoshi YabuTsutomu Watanabe

  Abstract

  日本の通貨当局は 2003 年初から 2004 年春にかけて大量の円売りドル買い介入を行った。この時期の介入は John Taylor によって Great intervention と命名されている。本稿では，この Great intervention が，当時，日本銀行によって実施されていた量的緩和政策とどのように関係していたかを検討した。第 1 に，円売り介入により市場に供給された円資金のうち 60%は日本銀行の金融調節によって直ちにオフセットされたものの残りの 40%はオフセットされず，しばらくの間，市場に滞留した。この結果は，それ以前の時期にほぼ 100%オフセットされていたという事実と対照的である。第 2 に，介入と介入以外の財政の支払いを比較すると，介入によって供給された円資金が日銀のオペによってオフセットされる度合いは低かった。この結果は日本銀行が介入とそれ以外の財政の支払いを区別して金融調節を行っていたことを示唆している。第 3 に，不胎化された介入と不胎化されない介入を比較すると，為替相場に与える効果は後者の方が強い傾向が見られ，ゼロ金利の下でも，介入が不胎化されたか否かによって為替への効果に違いがあることを示している。ただし，この結果は，不胎化されるか否かに関する市場参加者の予想の定式化に依存しており，必ずしも頑健でない。

  Introduction

  2001 年から 2006 年にかけて日本の通貨当局は 2 つの重要かつ興味深い政策を採用した。第 1 は，日本銀行によって 2001 年 3 月に導入された量的緩和政策である。この政策は，日本銀行がそれまで政策金利としていたコール翌日物金利を下限であるゼロまで引き下げても十分な景気刺激効果が得られなかったため，さらなる金融緩和策として政策変数を金利からマネー供給量に変更するというものである。量的緩和政策は日本経済が回復する 2006 年 3 月まで継続された。第 2に，日本の財務省は 2003 年 1 月から 2004 年 3 月にかけて外国為替市場において大規模な円売り介入を実行した。Taylor (2006) はこれを Great intervention とよんでいる。この時期の介入は 2 日に一度という頻度で行われており，1 日当りの介入金額は 2700 億円，総額で 35 兆円にのぼった。日本の通貨当局は活発な介入行動で知られるが，それにしてもこの頻度と金額は他の時期に例を見ないものである。

  2009.08

  PDFファイルはこちら

• Real Rigidities: Evidence from an Online Marketplace
  Makoto NireiTakayuki MizunoTsutomu Watanabe

  Abstract

  Are prices sticky due to the presence of strategic complementarity in price setting? If so, to what extent? To address these questions, we investigate retailers’ price setting behavior, and in particular strategic interaction between retailers, using a unique dataset containing by-the-second records of prices offered by retailers on a major Japanese price comparison website. We focus on fluctuations in the lowest price among retailers, rather than the average price, examining how quickly the lowest price is updated in response to changes in marginal costs. First, we find that, when the lowest price falls rapidly, the frequency of changes in the lowest price is high, while the size of downward price adjustments remains largely unchanged. Second, we find a positive autocorrelation in the frequency of changes in the lowest price, and that there tends to be a clustering where once a change in the lowest price occurs, such changes occur in succession. In contrast, there is no such autocorrelation in the size of changes in the lowest price. These findings suggest that retailers imitate each other when deciding to adjust (or not to adjust) their prices, and that the extensive margin plays a much more important role than the intensive margin in such strategic complementarity in price setting.

  Introduction

  Since Bils and Klenow’s (2004) seminal study, there has been extensive research on price stickiness using micro price data. One vein of research along these lines concentrates on price adjustment events and examines the frequency with which such events occur. An important finding of such studies is that price adjustment events occur quite frequently. For example, using raw data of the U.S. consumer price index (CPI), Bils and Klenow (2004) report that the median frequency of price adjustments is 4.3 months. Using the same U.S. CPI raw data, Nakamura and Steinsson (2008) report that when sales are excluded, prices are adjusted with a frequency of once every 8 to 11 months. Similar studies focusing on other countries include Dhyne et al. (2006) for the euro area and Higo and Saita (2007) for Japan.

  2009.08

  PDFファイルはこちら

• On the Predictability of Japanese Stock Returns using Dividend Yield
  Kohei AonoTokuo Iwaisako

  Abstract

  The aim of this paper is to provide a critical and comprehensive reexamination of empirical evidence on the ability of the dividend yield to predict Japanese stock returns. Our empirical results suggest that in general, the predictability is weak. However, (1) if the bubble economy period (1986—1998), during which dividend yields were persistently lower than the historical average, is excluded from the sample, and (2) if positive autocorrelation in monthly aggregate returns is taken into account, there is some evidence that the log dividend yield is indeed useful in forecasting future stock returns. More specifically, the log dividend yield contributes to predicting monthly stock returns in the sample after 1990 and when lagged stock returns are included simultaneously.

  Introduction

  The conventional present value relationship suggests that the “dividend yield” or “price-dividend ratio” is useful in explaining the behaviors of stock prices (see Campbell, Lo, & MacKinlay 1997, Chap. 7 for a review). Accordingly, there is a large literature examining the ability of the dividend yield to predict future stock returns. Empirical studies of US data include Fama & French (1988), Mankiw & Shapiro (1986), Stambaugh (1986, 1999), Lewellen (2004), Torous, Valkanov & Yan (2004), Campbell & Yogo (2006), Ang & Bekaert (2007), and Cochrane (2008) among others.

  2009.08

  PDFファイルはこちら

• The welfare effect of disclosure through media: a zero-sum case
  Hiroki AratoTomoya Nakamura

  Abstract

  We extend the beauty contest framework to allow the disclosure of the authority to be received with an additional noise, the realization of which varies among agents. In this setup, we find that there could be a situation in which an anti-transparency policy maximizes welfare however precise the signal the authority can obtain.

  Introduction

  In a beauty contest framework developed by Morris and Shin (2002, henceforth MS), public information, which is interpreted as a disclosure of economic forecast by the authority, may be harmful to social welfare; that is, anti-transparency may be optimal. However, the robustness of their result has been questioned. Angeletos and Pavan (2004) and Hellwig (2005) show that MS’s result depends on the form of the payoff function. Svensson (2006) claims that even in MS’s model, public information increases welfare under plausible parameter values.

  2009.06

  PDFファイルはこちら

• Housing Prices and Rents in Tokyo: A Comparison of Repeat-Sales and Hedonic Measures
  Chihiro ShimizuKiyohiko G.NishimuraTsutomu Watanabe

  Abstract

  Do the indices of house prices and rents behave differently depending on the estimation methods? If so, to what extent? To address these questions, we use a unique dataset that we have compiled from individual listings in a widely circulated real estate advertisement magazine. The dataset contains more than 400 thousand listings of housing prices and about one million listings of housing rents, both from 1986 to 2008, including the period of housing bubble and its burst. We find that there exists a substantial discrepancy in terms of turning points between hedonic and repeat sales indices, even though the hedonic index is adjusted for structural change and the repeat sales index is adjusted in a way Case and Shiller suggested. Specifically, the repeat sales measure tends to exhibit a delayed turn compared with the hedonic measure; for example, the hedonic measure of condominium prices hit bottom at the beginning of 2002, while the corresponding repeat-sales measure exhibits reversal only in the spring of 2004. Such a discrepancy cannot be fully removed even if we adjust the repeat sales index for depreciation (age effects).

  Introduction

  Fluctuations in real estate prices have substantial impacts on economic activities. In Japan, a sharp rise in real estate prices during the latter half of the 1980s and its decline in the early 1990s has led to a decade-long stagnation of the Japanese economy. More recently, a rapid rise in housing prices and its reversal in the United States have triggered a global financial crisis. In such circumstances, the development of appropriate indices that allow one to capture changes in real estate prices with precision is extremely important not only for policy makers but also for market participants who are looking for the time when housing prices hit bottom.

  2009.05

  PDFファイルはこちら

• A statistical analysis of product prices in online markets
  Takayuki MizunoTsutomu Watanabe

  Abstract

  We empirically investigate fluctuations in product prices in online markets by using a tick-bytick price data collected from a Japanese price comparison site, and find some similarities and differences between product and asset prices. The average price of a product across e-retailers behaves almost like a random walk, although the probability of price increase/decrease is higher conditional on the multiple events of price increase/decrease. This is quite similar to the property reported by previous studies about asset prices. However, we fail to find a long memory property in the volatility of product price changes. Also, we find that the price change distribution for product prices is close to an exponential distribution, rather than a power law distribution. These two findings are in a sharp contrast with the previous results regarding asset prices. We propose an interpretation that these differences may stem from the absence of speculative activities in product markets; namely, e-retailers seldom repeat buy and sell of a product, unlike traders in asset markets.

  Introduction

  In recent years, price comparison sites have attracted the attention of internet users. In these sites, e-retailers update their selling prices every minute, or even every second. Those who visit the sites can compare prices quoted by different e-retailers, thus finding the cheapest one without paying any search costs. E-retailers seek to attract as many customers as possible by offering good prices to them, and this sometimes results in a price war among e-retailers.

  2009.05

  PDFファイルはこちら

• The bursting of housing bubble as jamming phase transition
  Katsuhiro NishinariMitsuru IwamuraTsutomu WatanabeYukiko Umeno Saito

  Abstract

  Recently housing market bubble and its burst attracts much interest of researchers in various fields including economics and physics. Economists have been regarding bubble as a disorder in prices. However, this research strategy has overlooked an importance of the volume of transactions. In this paper, we have proposed a bubble burst model by focusing on transaction volume incorporating a traffic model that represents spontaneous traffic jam. We find that the phenomenon of bubble burst shares many similar properties with traffic jam formation on highway by comparing data taken from the U.S. housing market. Our result suggests that transaction volume could be a driving force of bursting phenomenon.

  Introduction

  Fluctuations in real estate prices have substantial impacts on economic activities. For example, land prices in Japan exhibited a sharp rise in the latter half of the 1980s, and its rapid reversal in the early 1990s. This large swing had led to a significant deterioration of the balance sheets of firms, especially those of financial firms, thereby causing a decade-long stagnation of the Japanese economy, which is called Japan’s “lost decade”. A more recent example is the U.S. housing market bubble, which started somewhere around 2000 and is now in the middle of collapsing. This has already caused substantial damages to financial systems in the U.S. and the Euro area, and it is expected that it may spread worldwide as in the case of the Great Depression in the 1920s and 30s.

  2009.05

  PDFファイルはこちら

• The Firm as a Bundle of Barcodes
  Koji SakaiTsutomu Watanabe

  Abstract

  We empirically investigate the firm growth model proposed by Buldyrev et al. by using a unique dataset that contains the daily sales of more than 200 thousand products, which are collected from about 200 supermarkets in Japan over the last 20 years. We find that the empirical firm growth distribution is characterized by a Laplace distribution at the center and powerlaw at the tails, as predicted by the model. However, some of these characteristics disappear once we randomly reshuffle products across firms, implying that the shape of the empirical distribution is not produced as described by the model. Our simulation results suggest that the shape of the empirical distribution stems mainly from the presence of relationship between the size of a product and its growth rate.

  Introduction

  Why do firms exist? What determines a firm’s boundaries? These questions have been repeatedly addressed by social scientists since Adam Smith argued more than two centuries ago that division of labor or specialization is a key to the improvement of labor productivity.

  2009.05

  PDFファイルはこちら

• 「大規模POSデータを用いた価格変化の因子分析」
  Akiyuki Tonogi

  Abstract

  本稿では大規模な小売スキャナー・データを用いて価格変動の因子分析を行った．因子モデルによって価格変化を共通因子と独自因子に分解し，価格変動が店舗特有の要因，あるいはマクロレベルの要因にどの程度影響を受けていたかを検討した．分析の結果，1990 年代末から 2000 年代半ばにかけては個別の価格系列の独自性が上昇する傾向が見られた．一方，2000 年代後半には共通因子の価格分散への寄与率が高まる傾向が顕著となった．特売の値下げ率についても同様な傾向が観察された．

  Introduction

  日本のフィリップス曲線（Phillips Curve）は 1990 年代以降，それ以前の時代に比較してフラット化したとされている．この間，日本の価格のマイクロデータの実証研究では価格改訂確率が上昇したことが報告されており，価格改定確率の上昇がフィリップス曲線の傾きの上昇となって現れるニュー・ケインジアン・フィリップス曲線（New Keynesian Phillips Curve：NKPC）の含意とは矛盾する結果となっている．もう１つのフィリップス曲線の理論としては Lucas（1972）の不完全情報モデルがある．この理論ではフィリップ曲線の傾きを決めるのは価格改定確率ではなく価格変動の分散に対する個別ショックの分散の比率であり，この個別ショックの分散寄与率が高いほどフィリップス曲線の傾きはフラットになる．日本におけるフィリップス曲線のフラット化はニュー・ケインジアンのメカニズムではなく，ルーカス型の不完全情報のメカニズムで起こっているのではないかという問題意識がこの研究の動機である．

  2009.05

  PDFファイルはこちら

• Employment and Wage Adjustments at Firms under Distress in Japan: An Analysis Based upon a Survey
  Kenn ArigaRyo Kambayashi

  Abstract

  We use the result from a survey of Japanese firms in manufacturing and service to investigate the choice of wage and employment adjustments when they needed to reduce substantially the total labor cost. Our regression analysis indicates that the large size reduction favors the layoffs of the core employees, whereas the base wage cuts are more likely if the firms do not feel immediate pressures from the external labor market or the strong competition in the product market. We also find some evidence that the concerns over adverse selection or demoralizing effects of wage cuts are real. Firms do try to avoid using base wage cuts if they consider these factors more important.

  Introduction

  The decade long stagnation of the economy left visible and perhaps also invisible scars in many facets of the Japanese economy. During the decade of the stagnation (take,1992-2001, for example, as the decade), the economy lost 3.5million regular and full time jobs. Although the precise breakdown is not readily available, the severity of the recession is shown in the proportion of the job loss due to outright layoffs, rather than those by not replacing retiring employees. Figure 1 can be used to compare the lost decade with past recessions. The share of layoffs was indeed large during the period. Still it is comparable to the figure in the recession after the first oil shock.

  2009.05

  PDFファイルはこちら