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Conference Paper
Commentary : Is there a role for discretionary fiscal policy?
Discussion Paper
Risk-sharing, altruism, and the factor structure of consumption
We consider four models of consumption that differ with respect to efficient risk-sharing and altruism. They range from complete markets with altruism to family risk-sharing. We use a matched sample of parents and independent children available from the Panel Study of Income Dynamics to discriminate between the four models. Our testing procedure is designed to deal with the set of observed independent children being endogenously selected. The combined hypothesis of complete markets and altruism can be decisively rejected, while we fail to reject altruism and hence family risk-sharing for a ...
Discussion Paper
Ex-day behavior of Japanese stock prices: new insights from new methodology
We study the ex-dividend day behavior of Japanese stock prices for the period 198387. We find that, contrary to previous findings, prices of ex-day stocks drop by nearly the full amount of the dividend. However, ex-day stocks shows an abnormal return. Also, for the many ex-dividend day stocks that also go ex-rights on the same ex-day, we find that the return is on average higher than that for stocks without rights issues. We thus conclude that the ex-day behavior of Japanese stocks are qualitatively similar to that of U.S. stocks.
Working Paper
The 1990s in Japan: a lost decade
Journal Article
Is Japan's saving rate high?
There are two major differences between Japan and the United States in the way saving is calculated in their national accounts. First, depreciation in Japanese national accounts is based on historical costs, which leads to an understatement of true depreciation and hence an overstatement of net saving. Second, government capital formation is not included in U.S. saving. This article adjusts the official Japanese saving numbers by evaluating depreciation at replacement costs and excluding government capital formation from saving. Doing so significantly reduces the apparent gap between the ...
Discussion Paper
The relationship of firm growth and Q with multiple capital goods: theory and evidence from panel data on Japanese firms
We develop a Q model of investment with multiple capital goods that delivers a one-to-one relation between the growth rate of the capital aggregate and the stock market-based Q. We estimate the growth-Q relation using a panel of over six hundred Japanese manufacturing firms taking into account the endogeneity of Q. Identification is achieved by combining the theoretical structure of the Q model and an assumed serial correlation structure of the technology shock that comprises the error term in the growth-Q relation. The Q variable is significantly related to firm growth. Much, but not all, of ...
Working Paper
Affine term structure pricing with bond supply as factors
This paper presents a theoretical model for analyzing the effect of the maturity structure of government debt on the yield curve. It is an ATSM (affine term structure model) in which the factors for the yield curve include, in addition to the short rate, the government bond supply for each maturity. The supply shock is not restricted to be perfectly correlated across maturities. The effect on the yield curve of a bond supply shock that is local to a maturity is largest at the maturity. This hump-shaped response of the yield curve persists in spite of the absence of preferred-habitat investors.