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金融センター・ワークショップ:2006年下半期開催履歴

Learning about Perceived Inflation Target and Stabilisation Policy

開催日 2006年11月16日(木)16:50-18:30
開催場所 東京大学大学院経済学研究科棟 3階 第3教室
報告者 木村武 氏(日本銀行)
共催 Macroworkshop
要約 We analyse the interaction between the imperfect credibility (or uncertainty) regarding inflation target and Central Bank’s stabilisation policy. We consider a model in which private sector is uncertain about the bank’s inflation target and update their perceived inflation target. Furthermore, we assume that the bank cannot observe the perceived inflation target as well as fundamental economic shocks, and has to estimate them. We show that the degree of data uncertainty is endogenously determined by the credibility problem. Asa result, the volatility and persistence of inflation become smaller as the inflation target becomes more credible.
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Big Business Owners and Politics: Investigating Financial Payoffs from Holding Top Office.

開催日 2006年10月31日(火)16:50-18:30
開催場所 東京大学経済学研究科棟 3階 第3教室
報告者 Yupana Wiwattanakantang 氏(一橋大学)
共催 Microworkshop
要約 This paper investigates the mechanisms that firms use to get state favors. We focus on a less well studied but common mechanism: business owners seeking election to top office. Using Thailand as a research setting, we find that business owners who rely on government concessions or are wealthier are more likely to run for top office. Once in power the market valuation of their firms increases dramatically. Surprisingly, the owners’ political power does not change their firms’ financing strategies. Instead, we show that business owners in top office use their policy decision powers to implement regulations and public policies favorable to their firms. Such policies hinder not only domestic competitors but also foreign investors. As a result, connected firms are able to seize more market share.
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A Neoclassical Analysis of The Korean Crisis

開催日 2006年10月19日(木)16:50-18:30
開催場所 東京大学大学院経済学研究科棟 3階 第3教室
報告者 大津敬介 氏(日本銀行)
共催 Macroworkshop
要約 In late 1997, Korea experienced a huge and unusual economic crisis. Three main features of this crisis are that output fell suddenly, output recovered rapidly, and consumption fell even more than output did. There is a large body of literature that explains the Korean crisis in terms of financial and monetary variables such as bankruptcies and exchange rates whereas this paper focuses on the fluctuation of real macroeconomic variables such as real GDP and consumption. A variation of the neoclassical model can quantitatively account for the crisis taking productivity and real interest rate shocks as exogenous.
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Menu Costs and Markov Inflation: A Theoretical Revision with New Evidence (joint with Christian Ahlin)

開催日 2006年7月20日(木)16:50-18:30
開催場所 東京大学経済学研究科棟 3階 第3教室
報告者 新谷元嗣 氏(Vanderbilt University)
共催 Macroworkshop
要約 We revisit a foundational theoretical paper in the menu cost literature, Sheshinski and Weiss (1983), one of the few to treat stochastic inflation with persistent deviations from trend. In contrast to the original finding, we find that optimal pricing in this environment entails using different (s, S) bands in high-inflation and low-inflation states of the world. The low-inflation band is strictly contained within the high-inflation band. This revised solution has very different implications from the original one. Firms are generally risk-loving, not risk-averse, with respect to inflation. An increase in the variance of inflation increases price dispersion when inflation is high and decreases price dispersion when inflation is low. On an aggregate level, this optimal pricing would lead to bunching of prices and non-neutrality of money in the setting of Caplin and Spulber (1987). To test the main finding, we construct an establishment-level dataset from the months surrounding Mexico’s “Tequila crisis” in 1995. In the high-inflation state, price increases are larger and establishments allow their prices to vary more widely around their respective long-run mean relative prices. Cross-establishment price dispersion is lower, but this result seems due to decreased establishment heterogeneity rather than narrower (s, S) bands. Overall, the evidence suggests that establishments employ wider (s, S) bands in the high-inflation state.
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Rent Seeking and Corporate Finance: Evidence from Corruption (joint with Oliver Meng Rui, and Mengxin Zhao)

開催日 2006年7月14日(金)12:00-13:10
開催場所 東京大学経済学研究科棟 新棟12階 第1共同研究室
報告者 Joseph Fan 氏(The Chinese University of Hong Kong)
共催 Macroworkshop
要約 This study investigates the impact of political rent seeking on corporate financing behaviors in China-a country plagued by corruption problems and high corporate sector debt Based on 23 high level government officer corruption cases, we identify a set of publicly traded companies whose senior managers engage in bribing the corrupt bureaucrats or are connected with the bureaucrats through prior job affiliations. We report significant decline in these companies’ leverage and debt maturity ratios relative to other unconnected firms subsequent to the arrest of the bureaucrats. These relations persist even if we only focus on the connected firms that are not involved in the corruption cases. This suggests that the weakened debt financing strength of the companies is not only attributable to the corruption cases per se, but also due to the lost connections with the bureaucrats. Our event study reveals that the relative decline in firm leverage are associated with negative stock market effects around the corruption events, reflecting the weakened financing capacity resulting from the lost political connections. An analysis of long-term performance corroborates this relation. We also examine a possibility that the rent seekers are efficient firms and hence corruption does not result in capital misallocation, but we fail to find such evidence. This study’s overall evidence highlight the importance of rent seeking in firm behaviors, and support recent cross-country studies’ findings that country-level institutional factors matter to corporate financing choices.
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Necessary and Sufficient Conditions for Efficient Risk-Sharing Rules

開催日 2006年7月11日(火)16:50-18:30
開催場所 東京大学経済学研究科棟 3階 第3教室
報告者 原千秋 氏(京都大学)
共催 Microworkshop
要約 We show that for every collection of strictly increasing risk-sharing rules and every strictly increasing and strictly concave expected utility function, there exists a collection of strictly increasing and strictly concave expected utility functions for which the given risk-sharing rules are efficient and the given utility function coincides with the corresponding representative consumer’s utility function. This result shows that the efficiency property imposes no restriction on the risk-sharing rules beyond the comonotonicity, or on the state-pricing rule beyond the positivity and antimonotonicity. We also obtain contrasting results when the individual consumers are assumed to exhibit hyperbolic absolute risk aversion.
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