Taxation, collateral use of land, and Japanese asset prices
Taxation, collateral use of land, and Japanese asset prices
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税收、土地抵押使用和日本资产价格
DOI：
10.1007/s00181-011-0498-4
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发表时间：
2012
影响因子：
3.2
通讯作者：
Sami Alpanda
中科院分区：
文献类型：
--
作者：
Sami Alpanda
日本在1980年代后期经历了土地和股票价格的大幅上涨，随后在1990年代这些资产价格出现了逆转。我使用一个新古典增长模型，以确定这些资产价格变动中有多少可以解释的产出增长和土地相关税收的变化。在该模型中，公司发行土地抵押债券以减少其税收责任，政府则遵循与土地价格反周期的土地税收政策。如果没有这些特征，即使经济增长率永久性地提高，该模型也不能产生土地价值的任何显著变化，因为增长率的永久性提高会导致代理人贴现未来回报率的可比增长率。土地抵押使用和反周期土地税政策通过降低土地所需回报率，引入了资产价格的大幅放大机制。我校准模型日本的数据，并进行稳态实验和确定性模拟。我表明，如果观察到的生产率增长率的提高和土地税的下降被市场参与者预期是永久性的，那么该模型可以解释土地和股票价格的变动，但对资本的行为有反事实的预测。如果代理人预期观察到的基本面变化是暂时的，那么模型就不能产生这些资产价格的显著上涨。
Japan experienced a significant increase in land and stock prices in the late 1980s and a subsequent reversal in these asset prices in the 1990s. I use a neoclassical growth model to determine how much of these asset price movements can be accounted for by the observed changes in output growth and land-related taxation. In the model, corporations issue land-collateralized debt to reduce their tax liabilities, and the government follows a land-taxation policy that is countercyclical to land prices. Without these features, the model cannot generate any significant change in land values, even with a permanent increase in the growth rate of the economy, because a permanent increase in the growth rate results in a comparable increase at the rate at which agents discount future returns. The collateral use of land and countercyclical land-tax policy introduce a substantial magnification mechanism for asset prices by reducing the required return on land. I calibrate the model to Japanese data, and conduct steady-state experiments and deterministic simulations. I show that if the observed increase in the growth rate of productivity and the decline in land taxes were expected to be permanent by market participants, then the model can by and large account for the movements in land and stock prices, but has counterfactual predictions regarding the behavior of capital. If agents expect the observed changes in the fundamentals to be temporary, then the model cannot generate a significant increase in these asset prices.
新古典框架下的日本无形资本和公司估值
DOI：
--
发表时间：
2010
期刊：
ISER Discussion Paper
影响因子：
--
作者：
Arato;Hiroki;Katsunori Yamada
通讯作者：
Katsunori Yamada
日本资产价格波动：1980-2000
DOI：
--
发表时间：
--
期刊：
Japan and the World Economy (近刊)
影响因子：
--
作者：
Tomoyuki Nakajima;Herakles Polemarchakis;Tomoyuki Nakajima;Tomoyuki Nakajima
通讯作者：
Tomoyuki Nakajima