Empirical Analyses on Macroeconomic Effects of Uncertainties in Japan

本研究课题旨在对日本人所关注的失业、通货膨胀等不确定性对宏观经济的影响进行实证分析。我们关注的是教育需求、实物投资、居民消费、货币政策和利率，这些都可能受到不确定性的影响。第1章教育需求中的流动性约束：利用家庭的面板数据，我们估计了教育支出的函数。我们的实证结果与无流动性约束的人力资本投资不一致，而与有流动性约束的人力资本投资或教育需求消费一致.第2章.不确定性下的投资：本文利用企业资产负债表数据，估计了投资函数，其中解释变量包括市场预测、市盈率和真实的周转率三个“不确定性”变量。后两种不确定性 ...更多信息 不确定性是负显著的，这表明企业在投资决策中考虑的不是需求的不确定性，而是供给的不确定性。第3章就业状况与家庭消费：在动态一般均衡模型中，我们讨论了可能失业的预防性储蓄动机。我们用数字来衡量通货膨胀的成本，因为面对通货膨胀和名义储蓄价值的恶化，家庭无法平滑消费。在20世纪90年代的货币政策的情况下，日本银行导致GDP的0.334%，其幅度甚至会因失业风险而增加。第4章.自由裁量下的货币目标：我们讨论了古德哈特定律，即中央银行的货币目标可能导致货币需求函数不太稳定。在一个动态一般均衡模型中，我们考虑了一个基于马尔可夫过程的货币目标制的货币政策制度转换规则。我们的模型成功地产生了日本货币流通速度的变化。雪儿G7国家的经济波动和长期利率：我们将卢卡斯树模型应用于日本经济，并与其他G7国家进行比较。结果表明，日本长期利率低于其他国家的原因在于日本的预期通货膨胀率水平较低，以及消费增长与通货膨胀之间的协方差较大导致的负通货膨胀溢价.少

This research project aims at empirically analyzing macroeconomic effects of such uncertainties as unemployment or inflation, which the Japanese has been concerned about. Our focus is in education demand, physical investment, household consumption, monetary policy and rates of interest, which might be influenced by the uncertainties.1. Chapter 1. Liquidity Constraint in Education Demand : Using the Panel Data on Households, we estimated the functions for education expenditure. Our empirical results are not consistent with human capital investment without liquidity constraints, but with either human capital investment with liquidity constraints or education demand as consumption.2. Chapter 2. Investment under Uncertainty: Using the Balance-Sheet Data of Business Enterprises, we estimated the investment functions, among the explanatory variables which there are three 'uncertainty' variables concerning market forecasts, price-earning ratio and real turnovers. The latter two uncertainty va … More riables are negatively significant, which suggests that it is not uncertainty of demand but one of supply for firms to take into account in their investment decisions.3. Chapter 3 Employment Status and Consumption by Households: In a dynamic general equilibrium model, we address precautionary saving motives for possible unemployment. We numerically measure the cost of inflation, in that households cannot smooth consumptions in face of inflation and deteriorated values of nominal savings. In a case of monetary policy during the 1990s, the Bank of Japan causes 0.334% of GDP, the magnitude of which would be even increased by unemployment risk.4. Chapter 4. Monetary Targeting under Discretion: We address the Goodhart's Law that monetary targeting of central banks could cause money demand function to be less stable. In a dynamic general equilibrium model, we consider a regime switching monetary policy rule which depends on monetary targeting following a Markov process. Our model succeeds in generating variability of money velocity in Japan.5. Cher5. Economic Fluctuations and Long-term Interest Rate in the G7 Countries: We apply the Lucas tree model to the Japanese economy, in comparison with other G7 countries. It turns out that why the Japanese long-term interest rates have been lower than other countries lies in both low level of expected inflation rates and negative inflation premium due to larger covariance between consumption growth and inflation.6. Less