論文要旨

Temporal and Cross Correlations in Business News

Jointly written with T. Mizuno, T. Ohnishi, K. Takei

Research Center for Interfirm Networks Working Paper No. 13, November 2011.

Abstract: We empirically investigate temporal and cross correlations in the frequency of news reports on companies, using a unique dataset with more than 100 million news articles reported in English by around 500 press agencies worldwide for the period 2003-2009. We find, first, that the frequency of news reports on a company does not follow a Poisson process; instead, it exhibits long memory with a positive autocorrelation for more than one year. Second, we find that there exist significant correlations in the frequency of news across companies. On a daily or longer time scale, the frequency of news is governed by external dynamics, while it is governed by internal dynamics on a time scale of minutes. These two findings indicate that the frequency of news on companies has similar statistical properties as trading volumes or price volatility in stock markets, suggesting that the flow of information through company news plays an important role in price dynamics in stock markets.

Power Laws in Firm Productivity

Jointly written with T. Mizuno, A. Ishikawa, S. Fujimoto

Research Center for Interfirm Networks Working Paper No.11, November 2011.

Abstract: We estimate firm productivity for about 80 million firms from more than 30 countries. We find that the distribution of firm productivity in each country, which is measured by total factor productivity (TFP), has a power law upper tail. However, the power low exponent of a TFP distribution in a country tends to be greater than that of a sales distribution in that country, indicating that the upper tail of a TFP distribution is less heavy compared to that of a sales distribution. We also find that the power law exponent of a TFP distribution tends to be greater than the power law exponents associated with the number of workers or tangible fixed assets. Given the idea that the sales of a firm is determined by the amount of various inputs employed by the firm (i.e., "production function" in the terminology of economics), these results suggest that the heavy tail of a sales distribution in a country comes not from the tail of a TFP distribution, but from the tail of the distribution of the number of workers or tangible fixed assets.

A New Method for Identifying the Effects of Foreign Exchange Interventions

Jointly written with C. Chen, T. Yabu

Research Center for Price Dynamics Working Paper Series No.30, January 2009. Revised in September 2011.

Abstract: Central banks react even to intraday changes in the exchange rate; however, in most cases, intervention data is available only at a daily frequency. This temporal aggregation makes it difficult to identify the effects of interventions on the exchange rate. We apply the Bayesian MCMC approach to this endogeneity problem. We use “data augmentation” to obtain intraday intervention amounts and estimate the efficacy of interventions using the augmented data. Applying this new method to Japanese data, we find that an intervention of one trillion yen moves the yen/dollar rate by 1.8 percent, which is more than twice as much as the magnitude reported in previous studies applying OLS to daily observations. This shows the quantitative importance of the endogeneity problem due to temporal aggregation.

A New Method for Measuring Tail Exponents of Firm Size Distributions

Jointly written with S. Fujimoto, A. Ishikawa, T. Mizuno

Economics E-Journal, forthcoming.

Abstract: We propose a new method for estimating the power-law exponents of firm size variables. Our focus is on how to empirically identify a range in which a firm size variable follows a power-law distribution. As is well known, a firm size variable follows a power-law distribution only beyond some threshold. On the other hand, in almost all empirical exercises, the right end part of a distribution deviates from a power-law due to finite size effect. We modify the method proposed by Malevergne et al. (2011) so that we can identify both of the lower and the upper thresholds and then estimate the power-law exponent using observations only in the range defined by the two thresholds. We apply this new method to various firm size variables, including annual sales, the number of workers, and tangible fixed assets for firms in more than thirty countries.

House Prices at Different Stages of the Buying/Selling Process

Jointly written with C. Shimizu, K. G. Nishimura

Research Center for Price Dynamics Working Paper Series No. 69, February 2011.

Abstract: In constructing a housing price index, one has to make at least two important choices. The first is the choice among alternative estimation methods. The second is the choice among different data sources of house prices. The choice of the dataset has been regarded as critically important from a practical viewpoint, but has not been discussed much in the literature. This study seeks to fill this gap by comparing the distributions of prices collected at different stages of the house buying/selling process, including (1) asking prices at which properties are initially listed in a magazine, (2) asking prices when an offer for a property is eventually made and the listing is removed from the magazine, (3) contract prices reported by realtors after mortgage approval, and (4) registry prices. These four prices are collected by different parties and recorded in different datasets. We find that there exist substantial differences between the distributions of the four prices, as well as between the distributions of house attributes. However, once quality differences are controlled for, only small differences remain between the different house price distributions. This suggests that prices collected at different stages of the house buying/selling process are still comparable, and therefore useful in constructing a house price index, as long as they are quality adjusted in an appropriate manner.

On the Evolution of the House Price Distribution

Jointly written with T. Ohnishi, T. Mizuno, C. Shimizu

Research Center for Price Dynamics Working Paper Series No. 61, August 2010.

Abstract: Is the cross-sectional distribution of house prices close to a (log) normal distribution, as is often assumed in empirical studies on house price indexes? How does the distribution evolve over time? To address these questions, we investigate the cross-sectional distribution of house prices in the Greater Tokyo Area for the period 1986 to 2009. We find that size adjusted house prices follow a lognormal distribution except for the period of the housing bubble and its collapse in Tokyo, for which the price distribution has a substantially heavier right tail than that of a lognormal distribution. In addition, we find that, during the bubble era, the sharp price movements were concentrated in particular areas, and this spatial heterogeneity is the source of the fat upper tail. These findings suggest that the shape of the size-adjusted price distribution, especially the shape of the tail part, may contain information useful for the detection of housing bubbles. Specifically, the presence of a bubble can be safely ruled out if recent price observations are found to follow a lognormal distribution. On the other hand, if there are many outliers, especially near the upper tail, this may indicate the presence of a bubble, since such price observations are unlikely to occur if they follow a lognormal distribution. This method of identifying bubbles is quite different from conventional ones based on aggregate measures of housing prices, and therefore should be a useful tool to supplement existing methods.

Fiscal Policy Switching in Japan, the U.S., and the U.K.

Jointly written with A. Ito, T. Yabu

Journal of the Japanese and International Economies, forthcoming.

Abstract: This paper estimates fiscal policy feedback rules in Japan, the United States, and the United Kingdom for more than a century, allowing for stochastic regime changes. Estimating a Markov-switching model by the Bayesian method, we find the following: First, the Japanese data clearly reject the view that the fiscal policy regime is fixed, i.e., that the Japanese government adopted a Ricardian or a non-Ricardian regime throughout the entire period. Instead, our results indicate a stochastic switch of the debt-GDP ratio between stationary and nonstationary processes, and thus a stochastic switch between Ricardian and non-Ricardian regimes. Second, our simulation exercises using the estimated parameters and transition probabilities do not necessarily reject the possibility that the debt-GDP ratio may be nonstationary even in the long run (i.e., globally nonstationary). Third, the Japanese result is in sharp contrast with the results for the U.S. and the U.K. which indicate that in these countries the government's fiscal behavior is consistently characterized by Ricardian policy.

On the Nonstationarity of the Exchange Rate Process

Jointly written with T. Ohnishi, H. Takayasu, T. Ito, Y. Hashimoto, M. Takayasu

International Review of Financial Analysis, forthcoming.

Abstract: We empirically investigate the nonstationarity property of the dollar-yen exchange rate by using an eight year span of high frequency data set. We perform a statistical test of strict stationarity based on the two-sample Kolmogorov-Smirnov test for the absolute price changes, and the Pearson’s chi-square test for the number of successive price changes in the same direction, and find statistically significant evidence of nonstationarity. We further study the recurrence intervals between the days in which nonstationarity occurs, and find that the distribution of recurrence intervals is well-approximated by an exponential distribution. Also, we find that the mean conditional recurrence interval <T|T0> is independent of the previous recurrence interval T0. These findings indicate that the recurrence interval is characterized by a Poisson process. We interpret this as reflecting the Poisson property regarding the arrival of news.

Closely Competing Firms and Price Adjustment: Some Findings from an Online Marketplace

Jointly written with T. Mizuno, M. Nirei

Scandinavian Journal of Economics, Volume 112, Issue 4, December 2010, 673-696.

Abstract: We investigate retailers’ price-setting behavior using a unique dataset containing by-the-second records of prices offered by closely competing retailers on a major Japanese-price comparison website. First, we find that, when the average price of a product across retailers falls rapidly, the frequency of price adjustments increases, and the size of price adjustments becomes larger. Second, we find positive autocorrelation in the frequency of price adjustments, implying that there tends to be clustering where price adjustments occur in succession. In contrast, there is no such autocorrelation in the size of price adjustments. These two findings indicate that the behavior of competing retailers is characterized by state-dependent pricing rather than time-dependent pricing.

Housing Prices in Tokyo: A Comparison of Hedonic and Repeat-Sales Measures

Jointly written with C. Shimizu, K.G. Nishimura

Journal of Economics and Statistics, Volume 230, Issue 6, Special issue on “Index Theory and Price Statistics”edited by Erwin Diewert and Peter von der Lippe, December 2010, 792-813.

Abstract: Do indexes of house prices behave differently depending on the estimation method? If so, to what extent? To address these questions, we use a unique dataset that we compiled from individual listings in a widely circulated real estate advertisement magazine. The dataset contains more than 470,000 listings of housing prices between 1986 and 2008, including the period of the housing bubble and its burst. We find that there exists a substantial discrepancy in terms of turning points between hedonic and repeat sales indexes, even though the hedonic index is adjusted for structural changes and the repeat sales index is adjusted in the way Case and Shiller suggested. Specifically, the repeat sales measure signals turning points later than the hedonic measure: for example, the hedonic measure of condominium prices bottomed out at the beginning of 2002, while the corresponding repeat sales measure exhibits a reversal only in the spring of 2004. This discrepancy cannot be fully removed even if we adjust the repeat sales index for depreciation.

Firm Age and the Evolution of Borrowing Costs: Evidence from Japanese Small Firms

Jointly written with K. Sakai, I. Uesugi

Journal of Banking and Finance, Vol. 34, No.8, August 2010, 1970–1981.

Abstract: This paper investigates how firms’ borrowing costs evolve as they age. Using a new panel data set of about 100,000 bank-dependent small firms for 1997–2002 and focusing on the channel of ‘‘adaptation” (i.e., surviving firms’ borrowing costs decline as they age) and that of ‘‘selection” (i.e., total borrowing costs decline as defaulting firms exit), we find that the reputation hypothesis suggested by Diamond (1989) provides a more plausible explanation of the downward sloping age profile of borrowing costs than the firm dynamics (Cooley and Quadrini, 2001) or the relationship banking (Boot and Thakor,1994) hypothesis. In addition, we examine whether the firm selection process in Japan has been natural or unnatural. Our findings suggest that it has been natural in that firms with lower quality are separated, face higher borrowing costs, and are eventually forced to exit, which contrasts with the results of previous studies on credit allocations in Japan, including Peek and Rosengren (2005). Further, we find that the evolution of borrowing costs is partially due to selection but is mainly attributable to adaptation.

Residential Rents and Price Rigidity: Micro Structure and Macro Consequences

Jointly written with C. Shimizu, K.G. Nishimura

Journal of the Japanese and International Economies, Volume 24, Issue 2, June 2010, 282-299.

Abstract: Why was the Japanese consumer price index for rents so stable even during the period of the housing bubble in the 1980s? To address this question, we use a unique micro price dataset which we have compiled from individual listings (or transactions) in a widely circulated real estate advertisement magazine. This dataset contains more than 700 thousand listings of housing rents over the last twenty years. We start from the analysis of microeconomic rigidity and then investigate its implications for aggregate price dynamics, closely following the empirical strategy proposed by Caballero and Engel (2007). We find that 90 percent of the units in our dataset had no change in rents per year, indicating that rent stickiness is three times as high as in the United States. We also find that the probability of rent adjustment depends little on the deviation of the actual rent from its target level, suggesting that rent adjustments are not state dependent but time dependent. These two results indicate that both the intensive and extensive margins of rent adjustments are small, resulting in a slow response of the CPI for rent to aggregate shocks. We show that the CPI inflation rate would have been higher by 1 percentage point during the bubble period, and lower by more than 1 percentage point during the period following the burst of the bubble, if Japanese housing rents were as flexible as those in the United States.

A Statistical Analysis of Product Prices in Online Markets

Jointly written with T. Mizuno

European Physical Journal B, Vol. 76, No.4, August 2010, 501-506.

Abstract: We empirically investigate fluctuations in product prices in online markets by using a tick-by-tick price data collected from a Japanese price comparison site, and find some similarities and differences between product and asset prices. The average price of a product across e-retailers behaves almost like a random walk, although the probability of price increase/decrease is higher conditional on the multiple events of price increase/decrease. This is quite similar to the property reported by previous studies about asset prices. However, we fail to find a long memory property in the volatility of product price changes. Also, we find that the price change distribution for product prices is close to an exponential distribution, rather than a power law distribution. These two findings are in a sharp contrast with the previous results regarding asset prices. We propose an interpretation that these differences may stem from the absence of speculative activities in product markets; namely, e-retailers seldom repeat buy and sell of a product, unlike traders in asset markets.

The Bursting of Housing Bubble as Jamming Phase Transition

Jointly written with K. Nishinari, M. Iwamura, Y. Saito

Journal of Physics: Conference Series, Volume 221, 012006, June 25, 2010.

Abstract: Recently housing market bubble and its burst attracts much interest of researchers in various fields including economics and physics. Economists have been regarding bubble as a disorder in prices. However, this research strategy has overlooked an importance of the volume of transactions. In this paper, we have proposed a bubble burst model by focusing on transaction volume incorporating a traffic model that represents spontaneous traffic jam. We find that the phenomenon of bubble burst shares many similar properties with traffic jam formation on highway by comparing data taken from the U.S. housing market. Our result suggests that transaction volume could be a driving force of bursting phenomenon.

The Firm as a Bundle of Barcodes

Jointly written with K. Sakai

European Physical Journal B, Vol. 76, No.4, August 2010, 507-512.

Abstract: We empirically investigate the firm growth model proposed by Buldyrev et al. by using a unique dataset that contains the daily sales of more than 200 thousand products, which are collected from about 200 supermarkets in Japan over the last 20 years. We find that the empirical firm growth distribution is characterized by a Laplace distribution at the center and power-law at the tails, as predicted by the model. However, some of these characteristics disappear once we randomly reshuffle products across firms, implying that the shape of the empirical distribution is not produced as described by the model. Our simulation results suggest that the shape of the empirical distribution stems mainly from the presence of relationship between the size of a product and its growth rate.

Random Walk or A Run: Market Microstructure Analysis of Foreign Exchange Rate Movements based on Conditional Probability

Jointly written with Y. Hashimoto, T. Ito, T. Ohnishi, M. Takayasu, H. Takayasu

Quantitative Finance, 13 December 2010.

Abstract: Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a “run”—continuous increases or decreases in deal prices for the past several ticks—does have some predictable information on the direction of the next price movement. Deal price movements, that are consistent with order flows, tend to continue a run once it started i.e., conditional probability of deal prices tend to move in the same direction as the last several times in a row is higher than 0.5. However, quote prices do not show such tendency of a run. Hence, a random walk hypothesis is refuted in a simple test of a run using the tick by tick data. In addition, a longer continuous increase of the price tends to be followed by larger reversal. The findings suggest that those market participants who have access to real-time, tick-by-tick transaction data may have an advantage in predicting the exchange rate movement. Findings here also lend support to the momentum trading strategy.