ASSET MARKETS AND INTERDEPENDENCES AMONG MACROECONOMIC ACTIVITIES IN JAPAN

本研究项目的目标是通过将包括机构投资者在内的金融机构的行为引入C-CAPM来扩展基于消费的资本资产价格模型（C-CAPM），并使用扩展的C-CAPM来实证分析真实资产市场以及金融资产市场。Hamori通过引入金融机构的投资行为对C-CAPM进行了扩展。Ogawa考虑了一个机构投资者所支付股息的预期效用最大化的理论模型。我们对扩展后的C-CAPM的有效性进行了实证研究。同时，我们估计了经济主体在泡沫前、泡沫期和泡沫后的宏观经济活动中的风险厌恶和时间偏好。Hamori分析了实际GDP与股票价格之间的时滞相关系数。他发现了这一点。在日本和美国，国内生产总值的增长往往伴随着股票价格的上涨。和英国。Hamori和Asako通过估算私人消费和政府消费之间的边际替代率，实证分析了李嘉图等价定理的有效性。与使用美国数据的研究相比，日本的数据更高。这些数据否定了李嘉图等价定理。Ogawa的实证结果表明，日本寿险公司在其全球投资组合（美国债券、加拿大债券）中倾向于关注债券的汇率和收益回报。和U.K.bonds)。

Objectives of this research project are to extend the consumption based capital asset price model (C-CAPM) by introducing a behavior of financial institutions that include institutional investor into the C-CAPM and to use the extended C-CAPM to analyze empirically real asset markets as well as financial asset markets. Hamori extended the C-CAPM by introducing an investment behavior of financial institutions. Ogawa considered a theoretical model in which institutional investors maximize expected utilities of dividends paid by the institutional investors. We empirically studied validity of the extended C-CAPM.At the same time, we estimated risk aversion and time preferences of economic agents in macroeconomic activities during a period before the bubble, the bubble period, and a post-bubble period.Hamori analyzed time lag correlation coefficients between real GDP and stock prices. He found that. an increase in GDP had a tendency to follow an increase in stock prices by several periods in Japan, the United States. and the United Kingdom. Hamori and Asako empirically analyzed the validity of the Ricardian equivalence theorem by estimating the marginal rate of substitution between private consumption and government consumption. It is found higher in Japan than in studies using U.S.data. The data negate the Ricardian equivalence theorem. Ogawa had an empirical result that Japanese life insurance companies tended to watch exchange rate and income return of bond in their global portfolio investments (U.S.bonds, Canadian bonds. and U.K.bonds).