Hideaki Matsuoka

Abstract

If data revisions lead to the concern about the government solvency, the changes in the market expectation may trigger the crisis. This study investigates how significantly revisions from earlier data have influenced the evaluation of fiscal sustainability in the EU through a novel approach: a heterogeneous panel regression kink with an unknown threshold. The main findings are threefold. First, the fiscal responses to government debt in real time for the peripheral countries of the Euro Area are stronger than the fiscal responses in the revised data. Second, the threshold debt level for the fiscal consolidation occurring in real-time is more optimistic than that in the revised data. Third, the fiscal consolidation in the peripheral countries of the Euro Area with moderate to high debt is procyclical.

Abstract

This paper investigates how the sector-specific source or the changing sectoral composition of labor productivity has contributed to β-convergence, using a newly constructed eight-sector database. The main findings are twofold. First, both within and sectoral reallocation have become important drivers of β-convergence in labor productivity. Second, agricultural productivity growth has been a significant contributor to β-convergence, whereas catch-up in other sectors has only contributed a small amount to convergence. The strong growth of the agriculture sector has been the most important driver of aggregate productivity convergence even though agricultural productivity itself in low-income countries is not converging to that in advanced economies.

[World Bank Blogs] "How important is sectoral reallocation for catch-up in productivity?"

[Slide for 7th KLEMS conference] 

[Dataset(Excel, Stata)]  World Bank Data Catalog 

Media coverage: [The Economist, January 2020]  

Old version : [World Bank WP] 

 World Bank Policy paper

• "Sectoral Sources of Productivity Growth" (with Alistair Dieppe), Chapter 7 in "Global Productivity," World Bank Publications - Books, The World Bank Group, number 34015, December.

Fiscal vulnerabilities depend on both the level and composition of government debt. This study examines the role of debt thresholds and debt composition in driving the non-linear behavior of long-term interest rates through a novel approach, a panel smooth transition regression with a general logistic model. The main findings are threefold. First, the impact of the expected public debt level on interest rates rises exponentially when the share of foreign private holdings exceeds approximately 20 percent of government debt denominated in local currency. Second, if the public debt level exceeds a certain level, an increase in foreign private holding of government debt could raise interest rates, offsetting the downward pressure from higher market liquidity. Third, out-of-sample forecasts of this novel non-linear model are more accurate than those of previous methods. 

Working paper versions: [World Bank WP ] [TCER WP ] [University of  Tokyo WP] 

Replication files: [MATLAB code (through the website: Run My Code)] 

Media coverage: [NIKKEI, July 2020] [NIKKEI, December 2021] (in Japanese)

This paper quantitatively assesses the effects of inflation shocks on the public debt-to-GDP ratio in 19 advanced economies using simulation and estimation approaches. The simulations suggest that 1 percentage point shock to the inflation rate can reduce the debt-to-GDP ratio by about 0.7 percentage points on average across countries, while the estimated impulse responses are a little larger and more persistent. Additional assumptions taking into account financial repression do not necessarily make these effects substantially larger. These results imply that modestly higher inflation, even if accompanied by some financial repression, could reduce the public debt burden only marginally.

(Cited by  Serkan Arslanalp and Barry Eichengreen (2023) @Jackson Hole Economic Policy Symposium: Structural Shifts in the Global Economy).

(Cited by  Ben Broadbent (2020)@ the 2020 Annual Meeting of the Central Bank Research Association.)

Working paper versions: [IMF WP]  [World Bank WP]  

Abstract

The seven largest emerging market economies—China, India, Brazil, Russia, Mexico, Indonesia, and Turkey—constituted more than one-quarter of global output and more than half of global output growth during 2010–2015. These emerging markets, which we call EM7, are also closely integrated with other countries, especially with other emerging and frontier markets (FMs). Given their size and integration, growth in EM7 could have significant cross-border spillovers. We provide empirical estimates of these spillovers using a Bayesian vector autoregression model. We report three main results. First, spillovers from EM7 are sizeable: a 1 percentage point increase in EM7 growth is associated with an 0.9 percentage point increase in growth in other emerging and FMs and a 0.6 percentage point increase in world growth at the end of 3 years. Second, sizeable as they are, spillovers from EM7 are still smaller than those from G7 countries (group of seven of advanced economies). Specifically, growth in other emerging and FMs, and the global economy would increase by one-half to three times more due to a similarly sized increase in G7 growth. Third, among the EM7, spillovers from China are the largest and permeate globally.

Abstract

It is widely known that Japan has the highest debt-to-GDP ratio among OECD countries. If Japan’s national debt continues to balloon, fiscal crisis may occur in the future. This paper develops a closed economy model with defaultable government debt and conducts a simulation to investigate future sovereign debt risk.

First, we estimate the fiscal limit which is defined as the sum of the discounted maximum fiscal surplus in all future periods. It is assumed that a partial default occurs when the amount of government debt exceeds the fiscal limit. We calculate the revenue-maximizing tax rate at the peak of the Laffer curve to derive the fiscal limit. As a result, the estimated average fiscal limit in Japan is much higher than that in Greece. In the Japanese economy, households are more patient and desire greater savings from greater discount factor derived from a lower real interest rate. Household saving habits support government bonds. This is the main reason why the Japanese government could have had a massive debt in addition to some room to raise the tax rate. Second, we simulate the model, using the estimated fiscal limit and non-linear computational methods. If the government debt-to-GDP ratio continues to increase for the next 20 years, the default probability will be over 10% and the sovereign risk premium will be approximately 2%. Furthermore, the default probability will reach approximately 80% and the sovereign risk premium will be 10% 30 years later.

＜概要＞

　本稿では、政府による所得税収の見積もりが不確実になっている背景を政府経済見通し、税収予算、決算データを用いて分析した。 個人所得に占める配当の割合が高まっており、企業収益の影響が家計所得に影響しやすく なっている。このため、所得税収も変動の大きな企業収益の影響を受け不安定になってい る。その上、政府経済見通しに注目すると、配当を含む財産所得の予測誤差が大きく、配当などの予測は難しい。政府は予測精度を改善させ大きな予算割れを防ぐために、「人々の税の納め方が変わってくるにつれて、どのような統計を作ればよいのか」ということを念頭に置かなければならない。GDP統計では英国、米国に比べて課税ベースである分配面の情報が不足している。社会保障財源をどのように確保していく のかが課題となっている今、税収見通しの不確実性を認識する必要がある。 

Working paper versions: [JCER DP]

[World Bank WP]    [CEPR DP]    [CAMA WP]  

[VoxEU]  

Media coverage: [The Economist, July 2022]  

• Global Economic Prospects, January 2021

• Global Economic Prospects, June 2020

• Global Economic Prospects, January 2020: Slow Growth, Policy Challenges

• Global Economic Prospects, January 2018: Broad-Based Upturn, but for How Long?

• Global Economic Prospects, June 2017: A Fragile Recovery

• Global Economic Prospects, January 2017: Weak investment in uncertain time 

Upcoming  events

Past events

2024 The Tokyo Foundation for Policy Research  (Tokyo, Japan)

2023 Econometrics Workshop@Keio University (Tokyo, Japan), Society for Nonlinear Dynamics and Econometrics (Workshop for Young Researchers, Virtual workshop)

2022  7th World KLEMS conference (Manchester, UK), Hosei University (Tokyo, Japan/Virtual)

2021 Delhi Winter School Organized by Centre for Development Economics Delhi School of Economics and The Econometric Society  (New Delhi, India/Virtual)

2019 Macroeconomics Conference (Osaka, Japan), Dynamic Econometrics Conference (Washington D.C., USA), University of Tsukuba (Ibaraki, Japan) 

2018 Nonlinear Models in Macroeconomics and Finance for an Unstable World at Norges Bank (Oslo, Norway), Waseda University (Tokyo, Japan), Midwest Econometrics Group Conference (Wisconsin–Madison, USA) 

2017 Georgetown Center for Economic Research Biennial Conference (Washington D.C., USA), Annual conference of the International Association for Applied Econometrics (Sapporo, Japan)

2015 DSGE workshop/Macroeconomics and Econophysics Workshop  (Tokyo, Japan) , Kobe University  (Hyogo, Japan), Financial Services Agency Japan  (Tokyo, Japan), Ministry of Finance Japan  (Tokyo, Japan)

2013 ESRI-JCER International Conference (Tokyo, Japan)

2011 The 68th Congress of Japan Institute of Public Finance (Tokyo, Japan),  The Autumn Meeting of Japanese Economic Association  (Ibaraki, Japan) , Macro Model Workshop at Japan Center for Economic Research  (Tokyo, Japan)

2009 The 4th Congress of Japan Health Economics Association (Tokyo, Japan)

2008 The 65th Congress of Japan Institute of Public Finance (Kyoto, Japan)