ASSET MARKETS AND INTERDEPENDENCES AMONG MACROECONOMIC ACTIVITIES IN JAPAN

本研究的目的是通过在C-CAPM模型中引入包含机构投资者的金融机构行为来扩展C-CAPM模型，并利用扩展的C-CAPM模型对真实的资产市场和金融资产市场进行实证分析。Hamori通过引入金融机构的投资行为扩展了C-CAPM。Ogawa考虑了一个理论模型，其中机构投资者最大化机构投资者支付的股息的预期效用。我们对扩展的C-CAPM的有效性进行了实证研究，同时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分析了真实的GDP与股票价格之间的时滞相关系数。他发现了。在日本、美国，国内生产总值的增长往往伴随着股票价格的几个时期的上涨。和英国Hamori和Asako通过估计私人消费和政府消费之间的边际替代率，实证分析了Riccatan等价定理的有效性。在日本的研究中发现，这一比例高于使用美国数据的研究。这些数据否定了李嘉图等价定理。Ogawa的实证结果表明，日本寿险公司倾向于在其全球组合投资（美国债券、加拿大债券）中关注债券的汇率和收益回报。英国债券）。

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).