Macroeconomics and Econophysics Workshop

*) 本研究会は、キヤノングローバル戦略研究所のサポートを受けて運営しています。
大西立顕 (東京大学・キヤノングローバル戦略研究所)
奴田原健悟 (専修大学・キヤノングローバル戦略研究所)
水野貴之 (国立情報学研究所)
              inaba.masaru at

第45回予定  (DSGE研究会と共催

    • 発表者1(14:00-15:30):高橋修平氏(京都大学)
    • タイトル:"The Impact of Taxes and Transfers on Skill Premium" (joint with Ken Yamada)
    • 発表者2(15:50-17:20):脇雄一郎氏(クイーンズランド大学)
    • タイトル:TBA


第44回  (DSGE研究会と共催

  • 発表者1(14時30分~16時):荒戸寛樹(首都大学東京)
  • 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.
  • 発表者2(16時20分~17時50分):川上圭(青山学院大学)
  • 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
  • 場所:キヤノングローバル戦略研究所第3会議室
  • 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
  • 場所:専修大学神田キャンパス1号館4階ゼミ46教 室                                                                                                                                                                                                                          
  • 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.

(経済理論・政策ワークショップ (Economic Theory and Policy Workshop)と共催
  • 日時:2016年3月18日(金) 14時45分~18時
  • 場所:キヤノングローバル戦略研究所第3会議室
  • スケジュール

発表者1: 中村大輔(NAKAMURA, Daisuke) 内閣府
タイトル:  内生的成長を導入したDSGEモデルによる長期制約の検証(仮題)

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)
Abstract:Using 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.

第39回  (DSGE研究会と共催
  • 日時:2015年4月11日(土) 15時~17時
  • 場所:専修大学7号館774教室
  • 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"
  • Abstract: 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 grows.

第38回  (DSGE研究会と共催
  • 日時:2015年2月7日(土) 15時~17時(いつもと会場が異なります)
  • 場所:キヤノングローバル戦略研究所第3会議室
  • 発表者:松岡秀明 (MATSUOKA Hideaki), 日本経済研究センター
  • タイトル:"Fiscal Limits and Sovereign Default Risk in Japan"

 第37回  (DSGE研究会と共催)
  • 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
● Abstract:
●場所:キヤノングローバル戦略研究所 第3会議室

●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 spatio-temporal structures of rent distribution in city of Sapporo. Here we modify the mathematical model proposed by Gauvin et. al. [1].  In their mathematical modeling, 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 the place 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 is consistent 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 more 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.

[1] L. Gauvin. A. Vignes and J.-P. Nadal , Journal of Economic Dynamics and Control, Vol. 37, Issue 7, pp. 1300-1321 (2013).
●場所:キヤノングローバル戦略研究所 第3B会議室

●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 utility"
● 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 utility.
●場所:キヤノングローバル戦略研究所 第1会議室

●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.





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