ASSET MARKETS AND INTERDEPENDENCES AMONG MACROECONOMIC ACTIVITIES IN JAPAN

本研究的目的是将包含机构投资者的金融机构行为引入基于消费的资本资产定价模型(C-CAPM)，并利用扩展后的C-CAPM对真实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对C-CAPM进行了扩展。小川考虑了一个理论模型，在该模型中，机构投资者将机构投资者支付的股息的预期效用最大化。我们实证研究了扩展的C-CAPM的有效性，同时估计了经济主体在泡沫前、泡沫时期和泡沫后的宏观经济活动中的风险厌恶和时间偏好，并分析了实际GDP和股票价格之间的时滞相关系数。这是他发现的。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，实证分析了李嘉图等价定理的有效性。在日本，这一比例高于使用美国数据进行的研究。这些数据否定了李嘉图等价定理。Ogawa有一个实证结果，日本寿险公司在其全球组合投资(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).