Etsuro Shioji ワーキングペーパー一覧に戻る

  • Extracting fiscal policy expectations from a cross section of daily stock returns

    Abstract

    The "Fiscal foresight problem" poses a challenge to researchers who wish to estimate macroeconomic impacts of fiscal policies. That is, as much of the policies are pre-announced, the traditional identification strategy which relies on the timing and the amount of actual spending changes could be misleading. In Shioji and Morita (2015), we addressed this problem by constructing a daily indicator of surprises about future public investment spending changes for Japan. Our approach combined a detailed analysis of newspaper articles with information from the stock market. The latter was represented by a weighted average of stock returns across companies from the sector deeply involved with public work, namely the construction industry. A potential shortcoming with this approach is that any shock that has an industry-wide consequence, which happened to arrive on the same day that a news about policy arrived will be reflected in this average return. In contrast, in this paper, we propose a new indicator which takes advantage of heterogeneity across firms within the same industry. Degrees of dependence on public procurement differ markedly between construction companies. For some firms, over 80% of their work is government-related. Others essentially do all their work for the private sector. Yet they share many other features, such as large land ownership and a heavy reliance on bank finance. By looking at differences in the reactions of stock returns between those firms, we should be able to come up with a more purified measure of changes in the private agents' expectations about policies. Based on this idea, we propose two new indicators. One is simply the difference in the average excess returns between two groups of firms characterized by different degrees of dependence on public investment. The other one is more elaborate and is based on the "Target Rotation" approach in the factor analysis.

    Introduction

    This paper is a sequel to Shioji and Morita (2015). In that paper, we tried to overcome a common difficulty faced by many researchers who try to estimate macroeconomic effects of fiscal policies, known as the "fiscal foresight" problem. The recognition of the presence and importance of this issue has arguably been one of the most noteworthy developments in the field of empirical studies on fiscal policy in recent years. As Ramey (2011) argues, government spending increases, especially major ones, are typically announced long before the actual spending is made. Forward looking agents would start changing their behaviors based on those expectations as soon as the news comes in. In such a circumstance, if an empirical macroeconomist uses only the conventional indicator of policy, namely the actual amount of spending, she/he is unlikely to be able to capture the entire impact of the policy correctly. This is the reason why we need to know when the news about policy changes was perceived by the private sector as well as how large the surprise was.

  • 「ゼロ金利下における日本の信用創造」

    Abstract

    本研究は名目金利が下限に達した下での日本の銀行行動、特に貸出行動を実証的に分析する。日本は他国に先駆けて、金利に引き下げ余地がない下でマネタリーベースの量を拡大する政策を採用してきた。しかしそれに反応してマネーストックが増加した形跡はほとんど見られない。すなわち信用創造過程は弱体化し、貨幣乗数(限界的な意味での)は消失したかに見える。このことはマクロ経済学の標準的理論とも整合的である。しかしながら、議論の余地はあるものの、これらの政策は生産や物価などに一定の効果を及ぼしてきたと見られる。その源泉は何だろうか。本研究は貨幣乗数が実は完全にゼロになってしまったわけではなく、マネタリーベースの大量供給がわずかながらマネーストックの増加に寄与してきた可能性を追求する。本研究では個別銀行の財務諸表を基にパネルデータを構築し、「前期末時点でより多くの超過準備を抱えていた銀行ほど、今期中に貸出を増加させる傾向があるか」を検証する。その結果、ゼロ金利のもとでそのような傾向が平均的に観察されることが示される。さらに検討してみると、この傾向に関しては銀行間で異質性が認められた。すなわち、超過準備に貸出が反応する傾向は不良債権を多く抱えている銀行ほど強く、また業態によっても差異が認められる。よって、近年のマネタリーベースの急激な増加は銀行部門全体を通してと言うよりも、その一部を通じて信用創造過程に流れ出している可能性が示唆される。

    Introduction

    本研究では日本の個別銀行財務諸表を基にパネルデータを構築し銀行行動、特に貸出行動に関する実証分析を行う。主たる関心は、名目金利が下限に達した下で、超過準備の追加供給を受けた銀行がその一部でも貸出に回す傾向が認められるかである。

  • Time Varying Pass-Through: Will the Yen Depreciation Help Japan Hit the Inflation Target?

    Abstract

    There is a growing recognition that pushing up the public’s inflation expectation is a key to a successful escape from a chronic deflation. The question is how this can be achieved when the economy is stuck in a liquidity trap. This paper argues that, for Japan, the currency depreciation since the late 2012 could turn out to be useful for ending the country’s long battle with falling prices. Prior studies have suggested that household expectations are greatly influenced by prices of items that they purchase frequently. This paper demonstrates that the extent of exchange rate pass-through to those prices, once near-extinct, has come back strong in recent years. Evidence based on VARs as well as TVP-VARs indicates that a 25% depreciation of the yen would produce a 2% increase in the prices of goods that households purchase regularly.

    Introduction

    This paper re-examines the issue of exchange rate pass-through to the Japanese CPI. Special attention is paid to prices of items that households purchase more frequently. This focus is partly motivated by recent statements regarding the transmission mechanism of monetary policy from the Bank of Japan officials. They stress importance of shifting the public’s inflation expectation upwards. A question that immediately comes to mind is how to achieve such a goal in an environment of zero interest rate, in which the monetary authority lacks a clear way to directly influence the course of the private sector.

  • A pass-through revival

    Abstract

    It has been argued that pass-through of the exchange rate and import prices to domestic prices has declined in recent years. This paper argues that it has come back strong, at least in Japan, in the most recent years. To make this point, I estimate a time-varying parameter-volatility VAR model for the Japanese exchange rates and prices. This method allows me to estimate responses of domestic prices to the exchange rate and import prices at different points in time. I find that the response was fairly strong in the early 1980s but, since then, had gone down considerably. Since the early 2000s, however, pass-through starts to show a sign of life again. This implies that the exchange rate may have regained the status of an important policy transmission mechanism to domestic prices. At the end of the paper, I look for a possible cause of this pass-through revival by studying the evolution of the Japanese Input-Output structure.

    Introduction

    This paper re-examines the effects of the exchange rate and import prices on Japanese domestic prices. In recent literature, it has been claimed that the extent of pass-through has declined substantially. My goal is to re-examine this claim by studying the most updated data from Japan, using an approach that allows for flexible forms of structural changes.

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