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金融センター・ワークショップ:2006年上半期開催履歴

A Dynamic Theory of Optimal Capital Structure and Exective Compensation (joint with Andrew Atkeson)

開催日 2006年5月25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 Harold Cole 氏(University of California, Los Angeles)
共催 Macroworkshop
要約 We put forward a theory of the optimal capital structure of the firm based on Jensen’s (1986) hypothesis that a firm’s choice of capital structure is determined by a trade-off between agency costs and monitoring costs. We model this tradeoff dynamically. We assume that early on in the production process, outside investors face an information friction with respect to withdrawing funds from the firm that dissipates over time. We assume that they also face an agency friction that increases over time with respect to funds left inside the firm. The problem of determining the optimal capital structure of the firm as well as the optimal compensation of the manager is then a problem of choosing payments to outside investors and the manager at each stage of production to balance these two frictions.
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Auctions with Package Bidding: An Experimental Study

開催日 2006年5月23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 計盛 英一郎 氏(東京大学大学院経済学研究科金融教育研究センターリサーチフェロー)
共催 Microworkshop
要約 This paper reports the results of auction experiments to evaluate auction designs when agents have super additive values for heterogeneous objects. The first factor of the experimental design is auction choice. We considered generalized Vickrey auctions, simultaneous ascending auctions, and clock-proxy auctions. The second factor is the value structure of agents. In addition to a benchmark case of additive values, we considered super additive value structures which feature the exposure problem and the coordination problem. The third factor is subject characteristics. We ran experiments with professional traders and university students. We found that clock-proxy auctions outperformed generalized Vickrey auctions. Clock-proxy auctions out-performed simultaneous ascending auctions with the exposure problem value structure, and did statistically equally well with the additive and the coordination problem value structure. The result suggests a trade-off:between efficiency improvements and complexity in package bidding. An ANOVA of outcomes demonstrated that auction designs were significant, and the interaction terms were often significant. We estimated the effect of auction design on efficiency and revenue and found that its magnitude depended on the valuation structure and subject characteristics. The result suggests that market design is not one-size-fits-all but that a successful design builds on an understanding of problem specific issues.
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Identifying Nominal and Real Rigidities in Aggregate Price-setting Behavior (joint with G. Coenen and K. Christoffel)

開催日 2006年5月17日(水)12:00-13:10
開催場所 東京大学経済学研究科棟 12階 第1共同研究室
報告者 Andrew Levin 氏(The Federal Reserve Board)
共催 Macroworkshop
要約 We formulate a generalized price-setting framework that incorporates staggered contracts of multiple durations and that enables us to directly identify the influences of nominal vs. real rigidities. We estimate this framework using macroeconomic data for Germany (1975-98) and for the United States (1983-2003). In each case, we find that the data is well-characterized by nominal contracts with an average duration of about two quarters. We also find that new contracts exhibit very low sensitivity to marginal cost, corresponding to a relatively high degree of real rigidity. Finally, our results indicate that backward-looking price-setting behavior (such as indexation to lagged inflation) is not needed in explaining the aggregate data, at least in an environment with a stable monetary policy regime and a transparent and credible inflation objective.

A Continuous-Time Analysis of Dynamic Debt Contracts: Theory and Applications

開催日 2006年5月16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 中村 恒 氏(東京大学大学院経済学研究科常勤講師)
共催 Microworkshop
要約 This paper presents a new approach for modeling continuous-time defaultable debt contracts. It studies an optimal competitive debt contract in continuous time by exploring a dynamic costly monitoring model under asymmetric information in a common-agency setting. Consequently, it shows that, under an optimal debt contract, a fully informed debtor defaults strategically and recurrently. On the other hand, a less informed creditor expects default to occur stochastically based on an exponential probability distribution under which the arrival rate of default is increasing in monitoring ability. This paper provides a mathematically tractable framework to analyze firms’ financial structure and dynamic auditing problems in labor and insurance contracts.

Monetary Policy in a Life-Cycle Economy: Distributional Consequences of Monetary Policy Rule (joint with Yuki Teranishi)

開催日 2006年4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 藤原一平 氏(日本銀行)
共催 Macroworkshop
要約 In this paper, we answer to practically important questions concerning monetary policy implementation: whether the monetary policy scheme needs to be changed as societal aging deepens; and how monetary policy affects heterogeneous agents, namely workers and retirees, unevenly. According to simulation results from the dynamic stochastic general equilibrium model with nominal rigidity that incorporates lifecycle behavior a la Gertler (1999), monetary policy does not have to be altered significantly as societal ageing deepens. On the distributional aspects of monetary policy, however, we find that the optimal instrument rule for workers is quite different from the one for retires. In an economy where even workers save for their retirement as is the case in Japan, workers prefer more inflation-fighting monetary policy than retirees do and, therefore, the central bank faces policy trade-off between maximizing worker’s and retiree’s welfare.
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How Much do Trade and Financial Linkages Affect Business Cycle Synchronization for Small Open Economies? (joint with Juan M. Ruiz)

開催日 2006年4月13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 Alicia Garcia Herrero 氏(Bank of Spain)
共催 Macroworkshop
要約 We analyze empirically whether trade and financial linkages between two countries increase the synchronization of their business cycles directly or indirectly. In a system of equations, we use a newly processed database on the bilateral linkages of a small open economy, namely Spain. We prefer this to the generally used US data, to avoid other channels of influence of such a large economy affecting the results. We find that both trade or financial linkages only foster synchronization of business cycles indirectly, by increasing the similarity of economic structure between countries, which itself induces more similar output movements. This result suggests that sectoral shocks, rather than intra-industry shocks, have prevailed in the last 15 years. The net effects of both trade and financial linkages on business cycle synchronization are statistically significant, but very small in economic terms. Common macroeconomic policies, instead, are much more important determinants of output co-movements.
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Robust Implementation: The Case of Direct Mechanisms

開催日 2006年3月15日(水)16:50-18:30
開催場所 東京大学経済学研究科棟 3階 第2教室
報告者 Dirk Bergemann 氏(Yale University)
共催 Microworkshop
要約 A social choice function is robustly implementable if there is a mechanism under which the process of iteratively eliminating strictly dominated messages leads to outcomes that agree with the social choice at every type profile. In an interdependent value environment, we identify a strict contraction property on the preference which together with strict ex post incentive compatibility and the strict single crossing property is sufficient to guarantee robust implementation in the direct mechanism.
The contraction property essentially requires that the interdependence is not too large. In a linear signal model, the contraction property is equivalent to an interdependence matrix having an eigenvalue less than one. The contraction property is also necessary for robust implementation in any mechanism.
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Information in Mechanism Design

開催日 2006年3月14日(火) 10:20-12:00, 15:00-16:40
開催場所 東京大学経済学研究科棟 3階 第3教室
報告者 Dirk Bergemann 氏(Yale University)
共催 Microworkshop
要約 We survey the recent literature on the role of information in mechanism design. First, we discuss an emerging literature on the role of endogenous payoff and strategic information for the design and the efficiency of the mechanism. We specifically consider information management in the form of acquisition of new information or disclosure of existing information. Second, we argue that in the presence of endogenous information, the robustness of the mechanism to the type space and higher order beliefs becomes a natural desideratum. We discuss recent approaches to robust mechanism design and robust implementation.
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