Public capital and asset prices: Time-series evidence from Japan
Public capital and asset prices: Time-series evidence from Japan
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公共资本和资产价格：来自日本的时间序列证据
DOI：
10.1016/j.frl.2017.10.017
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发表时间：
2017
影响因子：
10.4
通讯作者：
Miyazaki Tomomi
中科院分区：
文献类型：
--
作者：
Hiraga Kazuki;Kozuka Masafumi;Miyazaki Tomomi
本研究考察了1983：Q1-2008：Q4期间日本公共基础设施资本对资产价格的影响。实证结果表明，公共基础设施资本对股票收益率和全要素生产率的影响不具有格兰杰因果关系检验的预测性，基于因子增强向量自回归模型的方差分解，公共投资对股票收益率的贡献较小。从日本后高增长时代的经验来看，不能指望公共基础设施投资在重振资本市场方面发挥关键作用。
This research examines the effects of public infrastructure capital on asset prices in Japan over the period 1983:Q1–2008:Q4. The empirical results show that public infrastructure capital does not forecast stock returns and total factor productivity by the Granger causality test, and the contribution of public investment to stock returns is small based on variance decomposition using the Factor-Augmented vector autoregressive model. Our empirical evidence on the post high-growth era in Japan suggests that public infrastructure investment cannot be expected to play a key role in revitalizing capital markets.