inaba.masaru at canon-igs.org
タイトル："A Model of Negative Interest Rates"
概要：Abstract: This paper builds a model which allows an equilibrium nominal interest rate on reserve deposit below zero. In this model,
banks hold cash and reserve deposits to create lending and credit services. If the banks' reserve deposit holdings can create both
lending and credit services but cash holdings can create only lending services, the lower bound of the nominal interest rate on reserve
deposit can be negative. At a steady state, the lower bound of the reserve rate is endogenous, which depends on the ratio of the government bond to high-powered money. Hence, the model suggests that the implementability of a negative reserve rate policy is related to the extent of quantitative easing.
タイトル："Noisy Reallocation in Takeover Markets"
概要：[Preliminary and incomplete] We propose a model of reallocation in takeover markets subject to asymmetric information. Firms are heterogeneous in two respects: (i) the demand condition that affects the profitability for a given level of input ("project quality"), and (ii) the production efficiency that affects the profitability for a given level of demand ("management skill"). Firms can sell their projects in takeover markets but not their management skills. Gains from trade between firms with good projects but bad skills and firms with good skills but bad projects exist, but because firm size is only a noisy indicator of the project quality and skills, trades are subject to information friction. In equilibrium, an endogenous selection into a buy-side or a sell-side reveals information about the sources of profitability, but not perfectly. The model is consistent with the "like-buys-like" pattern and generates variations in the ex post success/failure of takeovers.
- 日時：2016年11月4日（金） 15時30分～17時30分
- 発表者：Miguel León-Ledesma
- タイトル："Fundamental shock selection in DSGE models" (with Filippo Ferroni and Stefano Grassi)
- アブストラクト: DSGE models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We analyze the consequences of introducing non-fundamental shocks for the estimation of DSGE model parameters and propose a method to select the structural shocks driving uncertainty. We show that forcing the existence of non-fundamental structural shocks produces a downward bias in the estimated internal persistence of the model. We then show how these distortions can be reduced by allowing the covariance matrix of the structural shocks to be rank deficient using priors for standard deviations whose support includes zero. The method allows us to accurately select fundamental shocks and estimate model parameters with precision. Finally, we revisit the empirical evidence on an industry standard medium-scale DSGE model and find that government, price, and wage markup shocks are non-fundamental.
第42回 （DSGE研究会と共催）第41回 （DSGE研究会と共催）
- 日時：2016年5月21日（土） 15時～17時
- 発表者：山田知明（YAMADA, Tomoaki）明治大学
タイトル：TFP Growth, Monetary Policy, and Inequality in Japan (with Nao Sudo)
アブストラクト: In this paper, we construct quarterly series of income and
consumption inequality indices from the 1980s to 2000s and estimate how
they react to a shock to TFP and conventional monetary policy using the
local linear projection. Our empirical findings are
summarized in the four points. (i) A favorable shock to TFP and to the
short-term interest rate both increases income and consumption
inequality indices. (ii) Both shocks affect a distribution at the bottom
more than that at the top. (iii) For both shocks, “heterogeneous
earning channel” seems to play an important. (iv) For both shocks, less
than 50% of income inequality is transmitted to consumption inequality.
Using a dynamic general equilibrium model with heterogeneous agents, we
discuss implications of our empirical results
to nature of linkage between macroeconomic shocks and inequality.
第40回 (経済理論・政策ワークショップ (Economic Theory and Policy Workshop)と共催）
発表者1： 中村大輔（NAKAMURA, Daisuke） 内閣府
発表者2： 渡辺 誠 (WATANABE, Makoto), VU University Amsterdam, Tinbergen Institute
タイトル：”Understanding the Role of Public Employment Services: Theory and Empirical Evidence ” (with Christian Holzner)
the German Job Vacancy Survey we are able to show how the Public
Employment Services (PES) affect the labor market. Almost half of all
vacancies in Germany are registered with the PES. The PES is shown to
distribute workers more evenly among vacancies compared to the private
market. Applicants send by the PES are on average less suited for the
job than applicants attracted through the private market. The less
suited pool of applicants and the reduction in coordination frictions is
going along with lower wages paid by registered firms. We rationalize
our empirical findings using a directed search model, where firms can
decide whether to search via the PES or the private market. Lower
coordination frictions in the PES induce less wage competition between
firms enabling them to pay lower wages. The implicit cost of registering
a vacancy is due to the less suited pool of applicants and explains why
not all vacancies are registered with the PES despite the fact that its
service is free of charge.
発表者：森田裕史 (MORITA, Hiroshi), 一橋大学
タイトル："Structural Estimation on the Wage Dynamics Depending on the Labor Market Tightness in Japan"
This study estimates structural parameters characterizing price and
wage dynamics in Japan by taking the labor market tightness into
account. In order to reveal a state-dependency of price and wage
dynamics, we first estimate smooth transition vector autoregressive
model in which unemployment rate is regarded as a transition variable.
Thereafter, structural parameters in each state of the labor market are
estimated using the impulse response matching technique. The results are
summarized as follows. First, price and wage indexation in Japan is
quite low. Second, as the labor market tighten, price becomes more
sticky while wage becomes less sticky. Third, the standard theoretical
model can describe the Japanese economy sufficiently at the period of
the labor market being tight. As the labor market loosen, however, the
distance between the empirical and theoretical responses gradually
- 日 時：2014年12月13日（土） 14時～17時15分（いつもと開催場所・時間が異なります）
発表者１：脇雄一郎 (WAKI, Yuichiro), クイーンズランド大学
タイトル："Small and Orthodox Fiscal Multipliers at the Zero Lower Bound"
(with R. Anton Braun and Lena Mareen Körber)
発表者2：仲田泰祐 (NAKATA, Taisuke) , 連邦準備制度理事会
タイトル："Fiscal Multipliers at the Zero Lower Bound: The Role of Policy Inertia"
●日 時：2014/8/21, Thu, 16:30-18:00
●報告者: 山本竜市 (YAMAMOTO, Ryuichi), 早稲田大学
● Title: Dynamic predictor selection, learning horizons, and price impact in the Japanese stock market
●日 時：2014/5/8, Thu, 14:00-15:00
●報告者: 井上純一 (INOUE, Jun-ichi), 北海道大学
● Title: "Spatio-temporal pattern formation in rent distribution: A case
study for city of Sapporo"
● Abstract: We propose a very simple probabilistic model to explain the
structures of rent distribution in city of Sapporo. Here we modify
model proposed by Gauvin et. al. . In their mathematical
they utilized several assumptions to describe the decision making
of each inhabitant in Paris.
Namely, they assumed that the intrinsic attractiveness of a city
depends on the location and
there exists a single peak at the center.
They also used the assumption that each inhabitant tends to choose
where the other inhabitants having similar or superior income to
himself/herself are living.
In order to find the best possible (desirable) place to live, each buyer in the system moves from one place to the other
according to the transition
(aggregation) probability described by the above two assumptions,
and he/she makes
a deal with the seller who presents the best possible condition
for the buyer.
They concluded that the resultant self-organized rent distribution
with the corresponding empirical evidence in Paris.
However, it is hard for us to apply their model directly to the
other cities having
plural centers (not only a single center as in Paris).
Hence, here we shall modify the Gauvin's model to include the much
detail structures of the attractiveness by taking into account the
empirical (aggregated) data
concerning the housing situation in city of Sapporo.
We also consider the competition between two distances, namely,
the distance between house
and center, and the distance between house and office.
Computer simulations are carried out to reveal the self-organized
spatial structure appearing
in the rent distribution. We also compare the resulting
distribution with empirical rent distribution
in Sapporo as an example of cities designated by ordinance.
In this talk, we present several findings such as
1) The lowest ranking agents (buyers) visit almost all of regions
in city to look for their housing even though such places
are highly `attractive places, whereas the highest ranking agents
visit relatively high attractive places.
2) The lowest ranking agents are swept away from attractive
regions and make several
their own `communities' in low offering price locations (the
north-east area in Sapporo).
We also discuss the possibility of the model to explain the
distribution of land price in commercial area.
 L. Gauvin. A. Vignes and J.-P. Nadal ,
Journal of Economic Dynamics and Control, Vol. 37, Issue 7, pp.
●日 時：2014/3/10, Mon, 17:00-19:30
●報告者: 山田克宣 (YAMADA, Katsunori ), ISER, Osaka University
● Title: "Parietal-striatal
network plays a role in translating cardinal reward information into ordinal
● Abstract: Since the Stiglitz Report was published in 2009, there
has been much debate between economists and psychologists on the validity of
happiness data as a policy target for economic issues. Here we provide novel
biological evidence obtained from human fMRI experiments to help offer some
answers to this cross-discipline debate. We found that when subjects expressed
happiness with a monetary reward on an ordinal scale—a common method for
collecting happiness data—the parietal–striatal network was involved in their
evaluation of their happiness levels in accordance with the given scale.
Because of the existence of this additional cognitive process, we suggest that
conventional happiness data would be a noisy proxy of intrinsic cardinal
●日 時：2014/1/23, Thu, 17:00-19:30
●報告者: 渡辺誠 (WATANABE, Makoto ), VU University Amsterdam, Tinbergen Institute
● Title: "Competition in the Presence of Individual Demand Uncertainty" (with Marc Möller)
● Abstract: This paper sheds light on an empirical controversy about the effect of competition on price discrimination. We propose a model in which consumers learn their preferences over time and show that firms offer advance purchase discounts. Consumers choose between an early (uninformed) purchase at a low price and a late (informed) purchase at a high price. Competing firms offer higher discounts to secure a large market share in advance. Competition decreases welfare and may affect consumers negatively. The empirical finding, that competition may influence price dispersion positively or negatively, can be explained by differences in the level of demand uncertainty.