Abstract

We study a multiperiod model with a nominal bond that matures in one period and identify the set of efficient allocations that can be sustained as Walrasian equilibria with heterogeneous forecasts. We next add a long maturity bond, which under perfect foresight would be a redundant asset, and show that it fundamentally expands the set of efficient allocations that can be sustained as Walrasian equilibria. Indeed all wealth transfers compatible with efficiency can arise endogenously. The key feature driving this conclusion are forecasting errors, which lead to ex post arbitrage opportunities that induce these income transfers. (JEL classification numbers: D51, D53, D61)

Introduction

No arbitrage conditions play a fundamental role in the way assets are priced and therefore are instrumental in deciding the set of allocations that can be generated by Walrasian markets. The axiom of perfect foresight is built into the methodology most frequently used to price assets. This paper investigates the allocational implications of relaxing perfect foresight in a model where a short term bond coexists with a longer maturity bond, where the latter under perfect foresight would be a redundant asset. Forecasts are required to satisfy no arbitrage conditions so that market equilibrium is well defined in each period. However, due to errors in forecasting, there may exist arbitrage possibilities in an ex post sense, which allows the presence of the long term bond to expand significantly the set of intertemporally efficient allocations that can be sustained as Walrasian equilibria.

WP046

2023.03

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Abstract

日銀のYCC（イールドカーブ・コントロール）を巡る混乱は為替の固定相場の崩壊に譬えられる。しかし固定相場制は原理的には維持可能なものだ。それにもかかわらず崩壊するのは、為替相場の固定に割り当てるべき金融政策をその他の目的（国内景気の安定など）で使おうとするからだ。つまり、固定相場制が崩壊するのは二兎を追ったときだ。YCCを巡る混乱もこれと同じで、日銀が10年物国債金利とオーバーナイト金利という二兎を追っていることに原因がある。日銀が10年物国債金利をコントロールしようとすること自体は決して不適切なことではない。しかし日銀が本当にそうしたいのならば、二兎を追うことなく、オーバーナイト金利の決定は市場に委ねるべきだ。ただし、その場合、オーバーナイト金利は大幅なマイナスとなることを覚悟する必要がある。オーバーナイト金利の大幅マイナスを回避しつつ10年物国債金利のコントロールを続けるというオプションはない。

Introduction

10 年物国債金利に市場から上昇圧力が加わっており、それを抑えるために日銀は 国債を連日、大量に購入せざるを得ない状況に追い込まれている。10 年物国債金利 を維持する仕組みである、日銀の YCC（イールドカーブ・コントロール）が早晩、 撤廃されるとの見方も広がっている。 昨年末以来の一連の動きは、10 年物国債金利を自らが設定した目標レンジに収め ようとする日銀と、それを上回る水準が実勢であるとする市場とのせめぎ合いとい う構図で語られることが多い。「市場実勢」から乖離する水準に日銀が力ずくで誘導 しようとしている、本来市場が市場原理にもとづいて決めるべき国債金利を日銀が 無理やり歪めようとしている、といった説明がなされることもある。

WP045

2023.01

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WP044_Appendix

2022.12

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Abstract

This paper undertakes both a narrow and wide replication of the estimation of a money demand function conducted by Ireland (American Economic Review, 2009). Using US data from 1980 to 2013, we show that the substantial increase in the money-income ratio during the period of near-zero interest rates is captured well by the log-log specification but not by the semi-log specification, contrary to the result obtained by Ireland (2009). Our estimate of the interest elasticity of money demand over the 1980-2013 period is about one-tenth that of Lucas (2000), who used a log-log specification. Finally, neither specification satisfactorily fits post-2015 US data.

Introduction

In regression analyses of money demand functions, there is no consensus on whether the nominal interest rate as an independent variable should be used in linear or log form. For example, Meltzer (1963), Hoffman and Rasche (1991), and Lucas (2000) employ a log-log specification (i.e., regressing real money balances (or real money balances relative to nominal GDP) in log on nominal interest rates in log), while Cagan (1956), Lucas (1988), Stock and Watson (1993), and Ball (2001) employ a semi-log specification (i.e., nominal interest rates are not in log).

WP044

WP044_Appendix

2022.12

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Abstract

2013 年以来，日本銀行は人々のインフレ予想に働きかけて 2% のインフレ率を実現し ようとしてきたが，2021 年まで成功していない．本稿ではゲーム理論の視点から「なぜ インフレ予想の操作は難しいのか」という問題について考える．予想インフレ率が長期 間安定しているとき，その予想インフレ率は共有知識となり，分析哲学者デイヴィッド・ ルイスの意味での慣習として定着する．このときインフレ予想を操作するには，一人ひ とりのインフレ予想だけでなく，その共有知識の操作が必要になる．共有知識の操作に 成功した例として，1994 年にブラジルで実施されたレアル計画について検討する．ま た，共有知識の操作とナラティブ経済学の関係について論じる．  

Introduction

2013 年 4 月，日本銀行は 2 年以内に 2% のインフレ率を達成することを目標に掲げ異 次元の金融緩和を開始した．マネタリーベースの倍増を象徴として人々のインフレ予想に 働きかけ1，目標を達成しようとする政策である．2% のインフレ予想が広まれば，消費者 は 2% の賃金上昇を見込んで 2% の商品の値上がりを受け入れるはずだ．企業経営者も商 品を 2% 値上げし，2% の賃上げを行うだろう．結果としてすべての辻褄が合い，目標のイ ンフレ率が実現する．このように日本銀行は考えていた． しかし，2021 年まで低インフレが続いた．2022 年になってようやく 2% のインフレ率 が実現したものの，エネルギー価格や原材料価格の高騰が原因であるため，日本銀行は目 標未達成と判断している．つまり，予想への働きかけは失敗したのだ．  

WP043

2022.12

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Abstract

This paper extends the recent approaches to estimate trend inflation from the survey responses of individual forecasters. It relies on a noisy information model to estimate the trend inflation of individual forecasters. Applying the model to the recent Japanese data, it reveals that the added noise term plays a crucial role and there exists considerable heterogeneity among individual trend inflation forecasts that drives the dynamics of the mean trend inflation forecasts. Divergences in forecasts as well as moves in estimates of trend inflation are largely driven by a identifiable group of forecasters who see less noise in the inflationary process, expect the impact of transitory inflationary shocks to wane more quickly, and are more flexible in adjusting their forecasts of trend inflation in response to new information.

Introduction

There is no doubt that trend inflation, embedded in actual data of consumer prices and in inflation expectations of various economic players, is one of the most important variables for the conduct of monetary policy. For this reason, huge effort has been made by a number of researchers to extract trend inflation. In this paper, we try to contribute to this literature by extending the existing studies in the following two ways. First, we incorporate a noisy information model more explicitly in an unobserved components model. An unobserved components model such as Beveridge and Nelson (1981) is a useful tool to decompose actual data into its trend and transitory components. Stock and Watson (2007, 2016) apply the procedure to estimate trend inflation by incorporating stochastic volatility in the model. Kozicki and Tinsley (2012) use an unobserved components model to analyze inflation forecasts. Other research papers, many of them more recent, have extracted trend inflation from actual and forecast inflation rates (Chan et al. (2018), Nason and Smith (2021), Patton and Timmermann (2010) and Yoneyama (2021)).

WP042

2022.08

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Abstract

There is a large heterogeneity in health and macroeconomic outcomes across countries during the COVID-19 pandemic. We present a novel framework to understand the source of this heterogeneity, combining an estimated macro-epidemiological model and the idea of revealed preference. Our framework allows us to decompose the difference in health and macroeconomic outcomes across countries into two components: preference and constraint. We find that there is a large heterogeneity in both components across countries and that some countries such as Japan or Australia are willing to accept a large output loss to reduce the number of COVID-19 deaths.

Introduction

The COVID-19 pandemic has posed the world a question that has not been asked for many decades: How should a society balance infection control and economic activity during a pandemic? Different countries have struggled with this question differently, and we have witnessed a diverse set of health and macroeconomic outcomes across countries during the COVID-19 pandemic. As shown in Figure 1, there are countries that have seen large output loss and many deaths, while there are countries that have seen small output loss and few deaths. There are countries with large output loss and few deaths, yet there are countries with small output loss and many deaths.

WP041

2022.08

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Abstract

Using credit card transaction data, we examine the impacts of two successive events that promoted cashless payments in Japan: the government’s program and the COVID19 pandemic. We find that the number of card users was 9-12 percent higher in restaurants that participated in the program than those that did not. We present a simple framework accounting for the spread of cashless payments. Our model predicts that the impact of the policy intervention diminished as the use of cashless payments increased, which accords well with Japan’s COVID-19 experience. The estimated impact of COVID-19 was around two-thirds of that of the program.

Introduction

The share of payments using cashless methods is much lower in Japan than many other countries. BIS statistics, for example, show that total payments via cashless means such as credit cards, debit cards, and e-money in Japan amounted to 74 trillion yen or 24 percent of household final consumption expenditure in 2018. This percentage is considerably lower than the 40 percent or more in other developed countries such as the United States, the United Kingdom, and Singapore. The social cost of relying on cash payments is substantial. For instance, using data for several European countries, Schmiedel et al. (2012) show that the unit cost of cash payments is higher than that of debit card payments. In addition, Rogoff (2015) argues that cash makes transactions anonymous, which potentially facilitates underground or illegal activities and leads to law-enforcement costs.

WP040

2022.06

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