DSpace コレクション: Discussion papers / Graduate School of Economics, Hitotsubashi University
http://hdl.handle.net/10086/16430
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The de-biased group Lasso estimation for varying coefficient models
http://hdl.handle.net/10086/29663
Title: The de-biased group Lasso estimation for varying coefficient models
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<br/>Authors: HONDA, Toshio
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<br/>There has been a lot of attention on the de-biased or de-sparsified Lasso since it was proposed in 2014. The Lasso is very useful in variable selection and obtaining initial estimators for other methods in high-dimensional settings. However, it is well-known that the Lasso produces biased estimators. Therefore several authors simultaneously proposed the de-biased Lasso to fix this drawback and carry out statistical inferences based on the de-biased Lasso estimators. The de-biased Lasso procedures need desirable estimators of high-dimensional precision matrices for bias correction. Thus the research is almost limited to linear regression models with some restrictive assumptions, generalized linear models with stringent assumptions and the like. To our knowledge, there are a few papers on linear regression models with group structure, but no result on structured nonparametric regression models such as varying coefficient models. In this paper, we apply the de-biased group Lasso to varying coefficient models and closely examine the theoretical properties and the effects of approximation errors involved in nonparametric regression. Some simulation results are also presented.Mon, 29 Oct 2018 22:58:59 GMTTesting for Changes in Forecasting Performance
http://hdl.handle.net/10086/29252
Title: Testing for Changes in Forecasting Performance
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<br/>Authors: PERRON, Pierre; YAMAMOTO, Yohei
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<br/>We consider the issue of forecast failure (or breakdown) and propose methods to assess retrospectively whether a given forecasting model provides forecasts which show evidence of changes with respect to some loss function. We adapt the classical structural change tests to the forecast failure context. First, we recommend that all tests should be carried with a fixed scheme to have best power. This ensures a maximum difference between the fitted in and out-of-sample means of the losses and avoids contamination issues under the rolling and recursive schemes. With a fixed scheme, Giacomini and Rossi's (2009) (GR) test is simply a Wald test for a one-time change in the mean of the total (the in-sample plus out-of-sample) losses at a known break date, say m, the value that separates the in and out-of-sample periods. To alleviate this problem, we consider a variety of tests: maximizing the GR test over all possible values of m within a pre-specified range; a Double sup-Wald (DSW) test which for each m performs a sup-Wald test for a change in the mean of the out-of-sample losses and takes the maximum of such tests over some range; we also propose to work directly with the total loss series to define the Total Loss sup-Wald (TLSW) test and the Total Loss UDmax (TLUD) test. Using extensive simulations, we show that with forecasting models potentially involving lagged dependent variables, the only tests having a monotonic power function for all data-generating processes are the DSW and TLUD tests, constructed with a fixed forecasting window scheme. Some explanations are provided and two empirical applications illustrate the relevance of our findings in practice.Sat, 28 Apr 2018 22:58:59 GMT「恵農政策」下の中国共産党の農村ガバナンス : 基層党組織の実務の現状から
http://hdl.handle.net/10086/29088
Title: 「恵農政策」下の中国共産党の農村ガバナンス : 基層党組織の実務の現状から
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<br/>Authors: 南, 裕子
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<br/>中国において、2000年代以降の農村のガバナンスにかかわる諸条件の変化は、村の党組織に求められる機能やあり方に変化をもたらした。このことは、党の執政基盤強化のチャンスをもたらしていると考えられる一方で、先行研究において示される党組織建設の問題状況は、このためのチャンスをむしろ危機に転換させるのではないかとも思わせる。そこで、本研究では、村幹部にアンケート調査を実施し、農村基層党組織の実務の実態や彼らの志向性を探ることから、この問題にアプローチした。サンプル数などデータとしては限界を抱えるものの、以下のような暫定的な結論を得た。第１に、党の農村基層組織の緩みは、執政基盤の危機をただちには意味せず、執政基盤強化のチャンスを必ずしも阻害しない。その理由は3つある。1つは、村幹部が党の方針や上級の郷鎮党組織から離反するような志向性を示していないこと。2つめは、党の執政の安定に直結し、昨今の重要課題である「維穏」（安定維持）」において、その方法は党組織の機動力が不十分な状況にも対応できる方法で行われていること。３つめは、党は村民委員会に強い影響力をもち、また実態としては一体化して村内の実務にあたることにより、村民の生産活動や生活の問題により多くのかかわりを持ち、その責任を引き受けていることである。村内組織の境界のあいまさが、党組織の系統外で幅広く村の人的リソースの利用を可能にしていると考えられる。第２に、先行研究からは、今後の農村のガバナンスにおいて、村民の内発的な力や地域に内在する共同の論理の活用の必要性が指摘されている。この点に関連して、被調査者である村幹部には、村社会と国家をつなぐ中間的存在しての役割認識は薄かった。むしろ実務をこなす官僚としての志向性の方が強くうかがわれ、内発的な村民組織のリーダーとなり得るのかについては疑問が残る。だが、村内の「民主建設」を比較的重視しており、この点に、党組織と農村「社会」との新たなつながりの形成の可能性も否定できない。この回答がどのような背景の下にあるのかについての検証が必要であり、これは今後の課題である。; This paper aims to discuss governance capacity of Chinese Communist Party (CCP) by analyzing the performance and leaders’ consciousness of CCP village branch. A series of new rural policies initiated from the beginning of 2000s has changed the conditions of rural governance and also affected the required roles of village party branches. This seems to bring a chance for CCP to enforce its governance capacity. But meanwhile not a few previous studies point out serious organizational problems of CCP village branches. If these problems prevent them from adapting new situation, this chance might rather turn into crisis that would erode the base of CCP’s governance. We need to discuss which could be more likely to happen by examining the actual conditions at the grass-roots level. In this paper we approach this problem by focusing on daily work of CCP village branch and village leaders’ recognition of their role through questionnaire survey. Though our survey has some degree of limitations in quantity of respondents, the result reveals that those organizational problems like less organized activities and difficulty of recruiting new members would not immediately lead crisis of CCP’s governance capacity. There are three reasons for this. First, village party cadres still present high conformity to policies and directions of higher party organization；second, it is possible to proceed “weiwen” (maintaining stability) task which is one of the matters of primary importance, even if the organizational power of party village branch is not strong enough；third, leaders of party village branch can manage to concern or help villagers’ everyday life and economic activities by utilizing the village human resources, especially those of Village Committee. In this way villagers’ expectations for CCP can be met to some extent. Previous studies also suggest there need to be another way to fulfill the new required roles as mentioned above, which is to evoke community’s indigenous power. In this survey we inquired of CCP village branch leaders’ recognitions of their role, and the result is that they rather seem to be bureaucrats, less embedded in village society.Mon, 26 Feb 2018 22:58:59 GMTAging and House Prices: The Impact of Aging Housing Stock to Housing Market in the Tokyo Metropolitan Area
http://hdl.handle.net/10086/29062
Title: Aging and House Prices: The Impact of Aging Housing Stock to Housing Market in the Tokyo Metropolitan Area
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<br/>Authors: SHIMIZU, Chihiro; NAKAGAWA, Masayuki
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<br/>Based on an analysis of the housing market, this paper focuses on external diseconomies of aging condominiums. It is possible that the quality of condominium stock deteriorates over time more rapidly than does that of ordinary housing. This deterioration in quality leads to a reduction in the quality of housing services received by residents and, further, this worsening of the residential environment may lead to external diseconomies. We run hedonic models to identify the external diseconomies of aging condominiums on the residential market. The results of our estimated models indicate that such external diseconomies for detached housing occur in areas where detached houses and condominiums coexist, and these exert a downward pressure on prices. Detached housing prices are lowered by around 3.2% for each 1% increase in the proportion of the total building floor area in neighborhoods in which condominiums were built before 1990. In other words, we can state that aging condominiums begin to generate diseconomies in their vicinities around 20 years after they were built.Mon, 29 Jan 2018 22:58:59 GMTDeveloping Trusting Relationships Through Communication
http://hdl.handle.net/10086/28881
Title: Developing Trusting Relationships Through Communication
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<br/>Authors: YOKOYAMA, Izumi; OBARA, Takuya
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<br/>In this paper, we analyze the formation of trusting relationships between people through communication. To foster trusting relationships, individuals should disclose private and personal information. However, disclosing such information has both costs and benefits; therefore, both parties must decide on the optimal level of self-disclosure based on a variety of factors, such as the existing level of relationship and the benefits of deepening the trust level. We construct an economics model that explains the optimal way of self-disclosure. Our model is also consistent with the existing findings in the field of psychology; ``Reciprocal self-disclosure'' increases during the initial stages of relationship, and then declines after a certain level of relationship has been established, while non-intimate topics decrease as the relationship grows. Although the theoretical models of economics and those in psychology are very different in their methodology, both models reach the same conclusions. This implies not only the versatility of economics but also the possibility of more future collaborations between psychology and economics.Thu, 29 Jan 2015 22:58:59 GMTOptimal Combination of Wage Cuts and Layoffs: The Unexpected Side Effect of a Performance-based Payment System
http://hdl.handle.net/10086/28880
Title: Optimal Combination of Wage Cuts and Layoffs: The Unexpected Side Effect of a Performance-based Payment System
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<br/>Authors: YOKOYAMA, Izumi; OBARA, Takuya
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<br/>This study analyzes the trade-off relationship between layoffs and wage cuts. If the introduction of a performance-based payment system stimulates workers' pecuniary-motivated minds, their morale can be damaged more severely by wage cuts than prior to the introduction thereof. Utilizing this idea, we demonstrate theoretically that the more heavily wages are based on performance, the more firms, fearing that workers' morale will be damaged by wage cuts, try to avoid wage cuts and instead prefer layoffs. Next, we show empirically the trend whereby firms with performance-based payment systems are unlikely to implement wage cuts. Given this first-stage regression, the status of a performance-based payment system, based on the firm's past decision and assured to be exogenous, is employed as an instrumental variable (IV) for wage cuts in a layoff regression model to overcome simultaneous bias. In the second-stage regression, the IV estimates for the impact of wage cuts on layoffs are significantly negative: if a firm implements wage cuts, it will reduce the probability of layoffs by 0.172. This supports the theoretical implication that implementing wage cuts can be a potential device for reducing layoffs. These results may imply an unexpected side effect of the increasing use of performance-based payment systems: as such systems become more widespread, layoffs will increase because firms will become less likely to impose wage cuts, thus potentially resulting in high unemployment.Mon, 28 Sep 2015 22:58:59 GMTCentral bank notes and black markets: the case of the Japanese economy during and immediately after World War II
http://hdl.handle.net/10086/28801
Title: Central bank notes and black markets: the case of the Japanese economy during and immediately after World War II
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<br/>Authors: SAITO, Makoto
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<br/>Employing the Japanese case of large-scale black markets under extensive price controls in the years 1937 to 1949, this paper investigates how much income leaked out of the formal economy into the black markets, and the extent to which the circulation of Bank of Japan (BoJ) notes helped the leaked income to flow back into the formal economy when the notes were eventually held as an instrument to conceal illicit income by the black marketers. According to our estimates, 6% to 30% of national income leaked into the black markets in the above period, while more than 40% of the leaked income returned to the treasury as massive seigniorage revenues in the last years of the war. Thanks to strong money demand from the black marketers, inflations were not too high during the war. After the war, however, the black marketers shifted their portfolios from BoJ notes to physical assets, thereby reducing money demand and accelerating inflations. This paper also demonstrates that the black markets helped to reserve physical resources for the post-control economy starting from the early 1950s.
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<br/>Description : The Title of the First Version: On large-scale money finance in the presence of black markets: the case of the Japanese economy during and after World War II; First Version: January 2017, This Version: August 2017Sat, 29 Jul 2017 22:58:59 GMTConfidence Sets for the Date of a Mean Shift at the End of a Sample
http://hdl.handle.net/10086/28773
Title: Confidence Sets for the Date of a Mean Shift at the End of a Sample
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<br/>Authors: KUROZUMI, Eiji
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<br/>This paper proposes constructing a confidence set for the date of a structural change at the end of a sample in a mean shift model. While the break fraction, the ratio of the number of observations before the break to the sample size, is typically assumed to take a value in the (0, 1) open interval, we consider the case where a permissible break date is included in a fixed number of observations at the end of the sample and thus the break fraction approaches one as the sample size goes to infinity. We propose inverting the test for the break date to construct a confidence set, while critical values are obtained by using the subsampling method. By using Monte Carlo simulations, we show that the confidence set proposed in this paper can control the coverage rate in finite samples well, while the average length of the confidence set is comparable to existing methods based on asymptotic theory with a fixed break fraction in the (0, 1) interval.Tue, 29 Aug 2017 22:58:59 GMTPower Properties of the Modified CUSUM Tests
http://hdl.handle.net/10086/28728
Title: Power Properties of the Modified CUSUM Tests
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<br/>Authors: JIANG, Peiyun; KUROZUMI, Eiji
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<br/>The CUSUM test has played an important role in theory and applications related to structural change, but its drawback is that it loses power when the break is orthogonal to the mean of the regressors. In this study, we consider two modified CUSUM tests that have been proposed, implicitly or explicitly, in the literature to detect such structural changes, and investigate the limiting power properties of these tests under a fixed alternative. We demonstrate that the modified tests are superior to the classic tests in terms of both asymptotic theory and in finite samples, when detecting the orthogonal structural shift.Sat, 29 Jul 2017 22:58:59 GMTAdaptively weighted group Lasso for semiparametric quantile regression models
http://hdl.handle.net/10086/28459
Title: Adaptively weighted group Lasso for semiparametric quantile regression models
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<br/>Authors: HONDA, Toshio; ING, Ching-Kang; WU, Wei-Ying
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<br/>We propose an adaptively weighted group Lasso procedure for simultaneous variable selection and structure identification for varying coefficient quantile regression models and additive quantile regression models with ultra-high dimensional covariates. Under a strong sparsity condition, we establish selection consistency of the proposed Lasso procedure when the weights therein satisfy a set of general conditions. This consistency result, however, is reliant on a suitable choice of the tuning parameter for the Lasso penalty, which can be hard to make in practice. To alleviate this difficulty, we suggest a BIC-type criterion, which we call high-dimensional information criterion (HDIC), and show that the proposed Lasso procedure with the tuning parameter determined by HDIC still achieves selection consistency. Our simulation studies support strongly our theoretical findings.Wed, 29 Mar 2017 22:58:59 GMTOn wartime money finance in the Japanese occupied territories during the Pacific War: The case of instant reserve banks as bad central banks
http://hdl.handle.net/10086/28368
Title: On wartime money finance in the Japanese occupied territories during the Pacific War: The case of instant reserve banks as bad central banks
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<br/>Authors: SAITO, Makoto
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<br/>This paper explores how the Japanese government financed war expenditures locally in the occupied territories during the Pacific War. First, the reserve banks, founded instantly by the government, funded the occupation forces by issuing their bank notes in North/Central China, and Southern Regions. Second, the Japanese government financed military expenses by requesting the existing central banks to issue their legal tenders in Manchuria, Indochina, and Thailand. In the years 1943-1945, the first method in the regions with sharp inflations yielded 559.7 billion yen at face value, but only 7.2 billion yen at purchasing power parity (PPP), while the second in the regions with relatively low inflations generated only 5.8 billion yen at face value, but still 3.6 billion yen at PPP. In the former regions, the occupation forces did not acquire that much purchasing power, while in the latter regions, non-negligible portions of the occupied countries' nominal GDP were transferred to the occupation forces.Sun, 29 Jan 2017 22:58:59 GMTInference on Local Average Treatment Effects for Misclassified Treatment
http://hdl.handle.net/10086/28337
Title: Inference on Local Average Treatment Effects for Misclassified Treatment
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<br/>Authors: YANAGI, Takahide
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<br/>We develop point-identification and inference methods for the local average treatment effect when the binary treatment contains a measurement error. The standard instrumental variable estimator is inconsistent for the parameter since the measurement error is non-classical by construction. Our proposed analysis corrects the problem by identifying the distribution of the measurement error based on the use of an exogenous variable such as a covariate or instrument. The moment conditions derived from the identification lead to the generalized method of moments estimation with asymptotically valid inferences. Monte Carlo simulations demonstrate the desirable finite sample performance of the proposed procedure.
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<br/>Description : This version: February 21, 2017 First version: January 27, 2017Mon, 20 Feb 2017 22:58:59 GMTVariable selection and structure identification for varying coefficient Cox models
http://hdl.handle.net/10086/28268
Title: Variable selection and structure identification for varying coefficient Cox models
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<br/>Authors: HONDA, Toshio; YABE, Ryota
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<br/>We consider varying coefficient Cox models with high-dimensional covariates. We apply the group Lasso to these models and propose a variable selection procedure. Our procedure can cope with simultaneous variable selection and structure identification from a high dimensional varying coefficient model to a semivarying coefficient model. We also derive an oracle inequality and closely examine restrictive eigenvalue conditions. In this paper, we give the details for Cox models with time-varying coefficients. The theoretical results on variable selection can be easily extended to some other important models and we briefly mention those models since those models can be treated in the same way. The models considered in this paper are the most popular models among structured nonparametric regression models. The results of numerical studies are also reported.
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<br/>Description : First version : July 2016 / Second version : September 2016 / Third version : October 2016 / This version : January 2017Thu, 29 Dec 2016 22:58:59 GMTOn Stable and Strategy-Proof Rules in Matching Markets with Contracts
http://hdl.handle.net/10086/28238
Title: On Stable and Strategy-Proof Rules in Matching Markets with Contracts
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<br/>Authors: HIRATA, Daisuke; KASUYA, Yusuke
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<br/>This paper studies stable and (one-sided) strategy-proof rules in many-to-one matching markets with contracts. Not assuming any kind of substitutes condition or the law of aggregate demand, we obtain the following results. First, the number of stable and strategy-proof rules is at most one. Second, the doctor-optimal stable rule, whenever it exists, is the unique candidate for a stable and strategy-proof rule. Third, a stable and strategy-proof rule, whenever it exists, is second-best optimal for doctor welfare, in that no individually rational and strategy-proof rule can dominate it. This last result is further generalized to non-wasteful and strategy-proof rules. Due to the weak assumptions, our analysis covers a broad range of markets, including cases where a (unique) stable and strategy-proof rule is not equal to the one induced by the cumulative offer process or the deferred acceptance algorithm.
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<br/>Description : This Version: December, 2016Mon, 28 Nov 2016 22:58:59 GMTSupplementary Note to “On Stable and Strategy-Proof Rules in Matching Markets with Contracts”
http://hdl.handle.net/10086/28237
Title: Supplementary Note to “On Stable and Strategy-Proof Rules in Matching Markets with Contracts”
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<br/>Authors: HIRATA, Daisuke; KASUYA, Yusuke
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<br/>This note provides three additional results that are omitted from Hirata and Kasuya (2017) but were contained in an older version (Hirata and Kasuya, 2015).
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<br/>Description : This Version: December, 2016Mon, 28 Nov 2016 22:58:59 GMTFrom Luxury to Necessity: Frankfurt am Main as the Pioneer of Urban Electrification
http://hdl.handle.net/10086/28224
Title: From Luxury to Necessity: Frankfurt am Main as the Pioneer of Urban Electrification
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<br/>Authors: MORI, Takahito
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<br/>In the urban history of Germany, it was the theory of Dieter Schott, the ‘networking of the city’, that turned historians' attention to the socioeconomic changes caused due to the introduction of electricity into a city. However, the paradigm shift in urban energy brought by electricity was not adequately elucidated as most studies were limited to the period before WWI, when electric lights were still a luxury and less than 10% of households used them. In this context, this paper examines the socioeconomic dynamism of urban electrification— fixation of the electricity as necessary energy in the urban life —using Frankfurt am Main as a case study.Mon, 28 Nov 2016 22:58:59 GMTドル化経済における企業の資金調達：カンボジアの事例
http://hdl.handle.net/10086/28158
Title: ドル化経済における企業の資金調達：カンボジアの事例
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<br/>Authors: 奥田, 英信; 相場, 大樹
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<br/>本研究は、カンボジア国家銀行と日本国際協力機構の共同調査によるアンケート･データを利用して、カンボジア企業の銀行借入比率の決定要因を推計した。推計結果によれば、企業のドル建銀行借入比率は固定資産の保有額に依存していた。更に、高収益性企業はドル建銀行借入を避ける傾向があったが、ドル建収入比率が高い高収益性企業はドル建銀行借入を利用する傾向があった。これらの事実は、カンボジアのように金融制度が未発達なドル化経済では、（i）企業の外部資金調達はコストが高く、企業が担保をどれだけ提供できるかに依存していること、また（ii）ドル化による追加的な営業リスクのために企業が銀行借入のような外部資金を利用することが一層難しくなっていることを示唆している。; This study estimated the determinants of the dollar-denominated bank borrowing ratios of Cambodian firms by using the survey data corrected by the joint research project of National Bank of Cambodia and Japan International Cooperation Agency. According to the estimation, the dollar-denominated bank borrowing ratios of firms depended positively on how much fixed assets they had. In addition, although the highly profitable companies tended to avoid the dollar-denominated bank borrowing, the highly profitable companies with high dollar-denominated income ratios tended to use the dollar-denominated bank borrowing. These results suggest that, in dollarized economies with underdeveloped financial systems such as that in Cambodia, (i) the external fund procurement of firms is costly and depends heavily on how much collateral they can provide for borrowing, and (ii) additional business risk accompanied with dollarization makes it more difficult for firms to use external funds like bank borrowing.Wed, 28 Sep 2016 22:58:59 GMTFinancial Dollarization: Evidence from a Survey on Branches of Cambodian Financial Institutions
http://hdl.handle.net/10086/28157
Title: Financial Dollarization: Evidence from a Survey on Branches of Cambodian Financial Institutions
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<br/>Authors: AIBA, Daiju
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<br/>We conducted a survey on Cambodian financial institutions and collected financial data at bank- and branch-level, in order to reveal the actual situation of dollarization in Cambodian financial institutions. We found that there were differences in shares of FX currency deposit and loans between commercial banks (CBs) and microfinance institutions (MFIs). MFIs are likely to have more local currency in their cash on hand, loans, deposits, and borrowings, while CBs rely mostly on FX currency in intermediation. Furthermore, although it is subtle, it can be observed that the share of local currency in deposits has increased over the period of 2009-2013 in the cases both of CBs and MFIs. It might suggest that there is the potential that local currency deposits can be facilitated. However, commercial banks did not allocate KHR funds, although they had large excess KHR funds in Phnom Penh. Moreover, FX currency shares in MFIs' loans have been increasing despite the increase of KHR currency in their deposits. Finally, we found that there were regional differences in dollarization of deposits and loans. In particular, branches in rural areas tend to extend more local currency loans than in Phnom Penh area.Wed, 28 Sep 2016 22:58:59 GMTDollarization and Enterprise's Behaviors: The Case of Cambodia
http://hdl.handle.net/10086/28156
Title: Dollarization and Enterprise's Behaviors: The Case of Cambodia
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<br/>Authors: AIBA, Daiju
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<br/>We investigated the Cambodian enterprises behaviors and its relation with dollarization using survey data. The data was collected in the survey carried out in 2014. We found that, in the case of Cambodia, that not only loans, but revenues, expenditures and price quotations are also highly dollarized. In addition, we found that the extents of dollarization vary across regions, firm size and industries. Furthermore, there was a currency mismatch between the currency compositions of revenues and expenditures. Especially, the mismatch is prominent in firms operating central area, firms of small sizes, or firms classified into the wholesale and retail trade sector. Importantly, we found that most of firms do not recognize the risk of exchange rate changes and do not have hedging strategies, although they cope with more than two currencies in their daily operation.Wed, 28 Sep 2016 22:58:59 GMTForeign Currency Usage and Perception: Evidence from a Survey on Cambodian Households
http://hdl.handle.net/10086/28155
Title: Foreign Currency Usage and Perception: Evidence from a Survey on Cambodian Households
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<br/>Authors: ODAJIMA, Ken
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<br/>Cambodia is highly dollarized in terms of macro aggregated figures, such as foreign currency deposit to M2. It is not well known that how households are living in the multi-currency environment. In this paper, the primary objective is to present the real picture of dollarization of households, using survey-based data from October 2014 to January 2015. This survey obtained responses from 2273 sample households from 25 provinces. It is possible to see different aspects of household behavior, such as income, expenditure, saving, borrowing, currency notes usage, potential risks of currency mismatches in the household's budget, and perception and opinions.Wed, 28 Sep 2016 22:58:59 GMTConfidence Sets for the Break Date in Cointegrating Regressions
http://hdl.handle.net/10086/28144
Title: Confidence Sets for the Break Date in Cointegrating Regressions
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<br/>Authors: KUROZUMI, Eiji; SKROBOTOV, Anton
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<br/>In this paper, we propose constructing confidence sets for a break date in cointegrating regressions by inverting a test for the break location, which is obtained by maximizing the weighted average of power. It is found that the limiting distribution of the test depends on the number of I(1) regressors whose coefficients sustain structural change and the number of I(1) regressors whose coefficients are fixed throughout the sample. By Monte Carlo simulations, we then show that compared with a confidence interval developed by using the existing method based on the limiting distribution of the break point estimator under the assumption of the shrinking shift, the confidence set proposed in the present paper has a more accurate coverage rate, while the length of the confidence set is comparable. By using the method developed in this paper, we then investigate the cointegrating regressions of Russian macroeconomic variables with oil prices with a break.Mon, 29 Aug 2016 22:58:59 GMTカンボジアとフィリピンのマイクロ金融機関の経営特性 : DEAによる経営効率性の計測とその主成分分析
http://hdl.handle.net/10086/28001
Title: カンボジアとフィリピンのマイクロ金融機関の経営特性 : DEAによる経営効率性の計測とその主成分分析
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<br/>Authors: 奥田, 英信; 姚, 一鳴; 外山, 雄介
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<br/>市場経済制度と複数政党制を持つ東南アジア諸国の中で、カンボジアとフィリピンは、MFIsが発達した国である。しかし、カンボジアとフィリピンの経営環境はかなりの違いがみられる。雨森（2010）によれば、カンボジアのMFIsは全体の傾向として持続的経営をより重視する経営特性を強めており、商業銀行に成長するMFIもある。一方、フィリピンでは非営利のマイクロ金融機関の役割が大きくMFIsの経営目的は収益性よりも貧困削減を重視する傾向があると指摘されている。本稿では、MIX（Microfinance Information Exchange）データベースから抽出した2014年のサンプルを利用して、Gutierrez-Nieto (2007)の分析方法に従って、カンボジアとフィリピンのMFIsの経営特性と経営効率性を比較検討した。本稿の分析結果は、先行研究による湯川（2009）と異なった。湯川（2009）は、経営形態の違いに関してNGOのMFIsとその他のMFIsとの間で効率性の違いが見いだせず、また両国のMFIsの間でも効率性に明瞭な違いが見られないと結論付けた。これに対して、本稿の分析結果は、カンボジアとフィリピンの間で以下のような違いが観察された。 本稿の分析結果は、カンボジアとフィリピンの間に次のような違いが見つかった。即ち、 第１にカンボジアのMFIsはSustainability傾向が強いのに対して、フィリピンのMFIsはOutreach傾向が強かった。第２にカンボジアでは規模が大きいMFIsは規模の小さい機関よりも総合効率性が高い傾向があるが、フィリピンではむしろその逆の傾向が見られた。第３にカンボジアではMFIsは人件費をそれ以外の費用より集約的に投入する経営しているが、フィリピンでは逆に人件費以外の非費用を人件費よりも集約的に投入する経営を行っていた。これらの結果は、雨森の指摘と整合的であった。; Among the Southeast Asian countries with a market economy and the multi-party political system, Cambodia and the Philippines have numerous well-developed microfinance institutions (MFIs). However, the business environments surrounding the MFIs differ considerably between these two countries. According to Amenomori (2010), Cambodian MFIs tend to have management characteristics emphasizing sustainable business operations, and several MFIs have grown and converted to commercial banks. On the other hand, the management objective of Philippine MFIs tends to focus on poverty reduction, and non-profit MFIs play a significant role in the Philippines.By applying the analytical methodology adopted in Gutierrez-Nieto (2007) and Yuzawa (2009) to the samples extracted from the MIX (Microfinance Information Exchange) database on MFIs in 2014, this study investigated the management characteristics and management efficiency of Cambodian and Philippine MFIs. Different from Yuzawa (2009) refuting the clear difference in management characteristics and efficiency between Cambodian and Philippine MFIs, this study found several differences between the two. First, Cambodian MFIs tended to target sustainability (profitability) oriented management, and Philippine MFIs tended to target outreach (financial service to the poor) oriented management. Secondly, the large sized MIFs tended to have higher overall efficiency than the small and medium sized MFIs in Cambodia, but this tendency was reversed in the Philippines. Thirdly, Cambodian MFIs used personnel expenses more intensively than other non-personnel expenses, but the tendency was reversed in the Philippines. These findings are consistent with the assertion claimed by Amenomori (2010).Tue, 28 Jun 2016 22:58:59 GMTTesting for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets
http://hdl.handle.net/10086/27952
Title: Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets
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<br/>Authors: HORIE, Tetsushi; YAMAMOTO, Yohei
<br/>
<br/>Towards the financial crisis of 2007 to 2008, speculative bubbles prevailed in various financial assets. Whether these bubbles are an economy-wide phenomenon or market-specific events is an important question. This study develops a testing approach to investigate whether the bubbles lie in the common or in the idiosyncratic components of large-dimensional financial panel data sets. To this end, we extend the right-tailed unit root tests to common factor models, benchmarking the panel analysis of nonstationarity in idiosyncratic and common component (PANIC) proposed by Bai and Ng (2004). We find that when the PANIC test is applied to the explosive alternative hypothesis as opposed to the stationary alternative hypothesis, the test for the idiosyncratic component may suffer from the nonmonotonic power problem. In this paper, we newly propose a cross-sectional (CS) approach to disentangle the common and the idiosyncratic components in a relatively short explosive window. This method first estimates the factor loadings in the training sample and then uses them in cross-sectional regressions to extract the common factors in the explosive window. A Monte Carlo simulation shows that the CS approach is robust to the nonmonotonic power problem. We apply this method to 24 exchange rates against the U.S. dollar to identify the currency values that were explosive during the financial crisis period.Thu, 16 Jun 2016 22:58:59 GMTManagement Characteristics of Cambodian Microfinance Institutions: Operational Efficiency and Management Objectives
http://hdl.handle.net/10086/27786
Title: Management Characteristics of Cambodian Microfinance Institutions: Operational Efficiency and Management Objectives
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<br/>Authors: OKUDA, Hidenobu; SHI, Minjie
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<br/>It is difficult to decide how to measure the efficiency of microfinance institutions' management. This is because, different from other profit maximizing financial institutions, an essential management characteristic of microfinance institutions involves working toward greater access for the poor. This paper seeks to describe the characteristics and efficiency of the management of microfinance institutions in Cambodia, in terms of microfinance institutions' specific objective of expanding access to the poor, by using the analytical methodology described in the work of Gutiérrez-Nieto et al. (2007), with respect to microfinance institutions in Latin America. The analysis was conducted in two steps: in Step 1, the operating efficiency indices of major microfinance institutions were measured, by conducting a Data Envelopment Analysis (DEA) using data from the National Bank of Cambodia's annual publications. Next, in Step 2, a principal component analysis was conducted using the efficiency indices measured in Step 1, and the management characteristics of each microfinance institution were analyzed. According to the results of our analyses, although great diversity exists among microfinance institutions in Cambodia, (1) large-scale microfinance institutions exhibit higher overall efficiency, (2) approximately one-third of microfinance institutions are oriented towards access for the poor, and (3) access-oriented institutions also exhibiting high overall efficiency comprised less than one-fifth of all microfinance institutions. These results suggest a need for policy that promotes expanding the scale of microfinance institutions, while simultaneously maintaining their orientation toward access for the poor.Wed, 30 Mar 2016 22:58:59 GMT中国農村社会の個人化とジェンダー問題
http://hdl.handle.net/10086/27785
Title: 中国農村社会の個人化とジェンダー問題
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<br/>Authors: 南, 裕子
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<br/>本稿の目的は、中国農村における個人化についての近年の研究をジェンダー研究と繋ぎ合わせることにより、農村部のジェンダー問題を個人化の展開という視角から考察することである。農村部の個人化の展開は、伝統的に形成されてきたジェンダー規範（ジェンダーの非対称な関係性）にいかなる影響をもたらすのかについて、文献資料と自らの調査事例を基に議論した。農村部において、主体的に自由に活動できる空間を拡大し、自分自身の生き方を求め、それを実現できるようになった女性は増えている。しかしその領域を見ると、家族・親族といった私的領域内では広がりが見られるが、公共的領域においては既存のジェンダー規範は根強く女性の行動を制約する傾向にある。また、そうした生き方が可能な女性とそれがかなわない女性に分化が生じ、個人化する社会のリスクが一部の女性に高くなっている。このことは、個人化する社会への適応における女性間の格差を示す。その要因は、個人の能力によるものと、元来のジェンダー間の非対称な関係性の残存が女性のエンパワーメントを阻害することに帰せられる部分とがある。こうした状況を理論的にいかにとらえることが可能か、さらにこのような個人化のリスクに対して、中国社会にはどのような対応の可能性が存在するのかを検討した。; This paper explores the impact of individualization on gender relations in contemporary rural China. The main question is whether ongoing individualization could dissolve the traditional norms of gender and emancipate rural women. Based on the studies on individualization and gender in rural China and findings from the author’s field research, this paper shows that there are an increasing number of women who have expanded their spheres for acting autonomously to search for the life of one’s own and to pursue individual desires. But this expansion proceeds disproportionately between the public domain and the private domain and we can find the differenciation among women in terms of the degree of individualization. This illustrates the gap of abilities to adopt individualization, and it is partly attributed to one’s own quality but also to failure of women’s empowerment caused by unchanged gender norm. To understand this situation, two contrastive theoretical explanations are presented. One is to perceive it as a transitional situation of individualization; the other is as a finiteness of individualization. In the last section this paper discusses possibility of Chinese society to cope with the risk accompanied by individualization.Sat, 27 Feb 2016 22:58:59 GMTMonitoring Parameter Constancy with Endogenous Regressors
http://hdl.handle.net/10086/27678
Title: Monitoring Parameter Constancy with Endogenous Regressors
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<br/>Authors: KUROZUMI, Eiji
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<br/>This paper proposes monitoring tests for parameter change in linear regression models with endogenous regressors. We consider a CUSUM-type test based on the instrumental variable (IV) estimation, as the IV method is standard for models with endogenous regressors. In addition, we propose a test based on the residuals from the least squares (LS) estimation. We show that for a given boundary function, both tests have the same limiting distribution under the null hypothesis, whereas their powers are different. In particular, when a structural change occurs early in a monitoring period, the test based on the LS method tends to detect it more rapidly than that based on the IV method. We apply our methods to investigate the Japanese Phillips curve and show that the LS based test performs well to detect a change in 2007, while neither test finds evidence of a change after 2013.Tue, 19 Jan 2016 22:58:59 GMTOn Stable and Strategy-Proof Rules in Matching Markets with Contracts
http://hdl.handle.net/10086/27590
Title: On Stable and Strategy-Proof Rules in Matching Markets with Contracts
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<br/>Authors: HIRATA, Daisuke; KASUYA, Yusuke
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<br/>This paper studies stable and (one-sided) strategy-proof matching rules in many-to-one matching markets with contracts. First, the number of such rules is shown to be at most one. Second, the doctor-optimal stable rule, whenever it exists, is shown to be the unique candidate for a stable and strategy-proof rule. Third, a stable and strategy-proof rule, when exists, is shown to be second-best optimal for doctor welfare, in the sense that no individually-rational and strategy-proof rule can dominate it. This last result is further generalized to non-wasteful and strategy-proof rules. Notably, all those results are established without any substitutes conditions on hospitals' choice functions, and hence, the proofs do not rely on the "rural hospital" theorem. We also show by example that the outcomes of a stable and strategy-proof rule do not always coincide with those of the cumulative offer process; hence, the above results hold NOT because the cumulative offer process is the only candidate for stable and strategy-proof rules.Thu, 24 Sep 2015 22:58:59 GMTRegression Discontinuity Designs with Nonclassical Measurement Error
http://hdl.handle.net/10086/27522
Title: Regression Discontinuity Designs with Nonclassical Measurement Error
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<br/>Authors: YANAGI, Takahide
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<br/>This paper develops a nonparametric identification analysis in regression discontinuity (RD) designs where each observable may contain measurement error. Our analysis allows the measurement error to be nonclassical in the sense that it can be arbitrarily dependent of the unobservables as long as the joint distribution satisfies a few smoothness conditions. We provide formal identification conditions under which the standard RD estimand based on the observables identifies a local weighted average treatment effect parameter. We also show that our identifying conditions imply a testable implication of the continuous density of the observable assignment variable.Mon, 26 Oct 2015 22:58:59 GMTBayesian Nash Equilibrium and Variational Inequalities
http://hdl.handle.net/10086/27485
Title: Bayesian Nash Equilibrium and Variational Inequalities
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<br/>Authors: UI, Takashi
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<br/>This paper provides a sufficient condition for the existence and uniqueness of a Bayesian Nash equilibrium by regarding it as a solution of a variational inequality. The payoff gradient of a game is defined as a vector whose component is a partial derivative of each player's payoff function with respect to the player's own action. If the Jacobian matrix of the payoff gradient is negative definite for each state, then a Bayesian Nash equilibrium is unique. This result unifies and generalizes the uniqueness of an equilibrium in a complete information game by Rosen (Econometrica 33: 520, 1965) and that in a team by Radner (Ann. Math. Stat. 33: 857, 1962). In a Bayesian game played on a network, the Jacobian matrix of the payoff gradient coincides with the weighted adjacency matrix of the underlying graph.
<br/>
<br/>Description : First Version: November 2004, This Version: October 2015Mon, 28 Sep 2015 22:58:59 GMTEvolution of Fairness and Group Formation in Multi-Player Ultimatum Games
http://hdl.handle.net/10086/27395
Title: Evolution of Fairness and Group Formation in Multi-Player Ultimatum Games
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<br/>Authors: NISHIMURA, Takeshi; OKADA, Akira; SHIRATA, Yasuhiro
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<br/>Group formation is a fundamental activity in human society. Humans often exclude others from a group and divide the group benefit in a fair way only among group members. Such an allocation is called in-group fair. Does natural selection favor an in-group fair allocation? We investigate the evolution of fairness and group formation in a three-person Ultimatum Game (UG) in which the group value depends on its size. In a stochastic model of the frequency-dependent Moran process, natural selection favors the formation of a two-person subgroup in the low mutation limit if its group value exceeds a high proportion (0.7) of that of the largest group. Stochastic evolutionary game theory provides theoretical support to explain the behavior of human subjects in economic experiments of a three-person UG.Wed, 29 Jul 2015 22:58:59 GMTAsymptotic Inference for Common Factor Models in the Presence of Jumps
http://hdl.handle.net/10086/27339
Title: Asymptotic Inference for Common Factor Models in the Presence of Jumps
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<br/>Authors: YAMAMOTO, Yohei
<br/>
<br/>Financial and macroeconomic time-series data often exhibit infrequent but large jumps. Such jumps may be considered as outliers that are independent of the underlying data-generating processes and contaminate inferences on their model. In this study, we investigate the effects of such jumps on asymptotic inference for large-dimensional common factor models. We first derive the upper bound of jump magnitudes with which the standard asymptotic inference goes through. Second, we propose a jump-correction method based on a series-by-series outlier detection algorithm without accounting for the factor structure. This method gains standard asymptotic normality for the factor model unless outliers occur at common dates. Finally, we propose a test to investigate whether the jumps at a common date are independent outliers or are of factors. A Monte Carlo experiment confirms that the proposed jump-correction method retrieves good finite sample properties. The proposed test shows good size and power. Two small empirical applications illustrate usefulness of the proposed methods.Wed, 01 Jul 2015 22:58:59 GMTImplementation with Transfers
http://hdl.handle.net/10086/27159
Title: Implementation with Transfers
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<br/>Authors: Chen, Yi-Chun; Kunimoto, Takashi; Sun, Yifei
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<br/>We say that a social choice rule is implementable with (small) transfers if one can design a mechanism whose set of equilibrium outcomes coincides with that specified by the rule but the mechanism allows for (small) ex post transfers among the players. We then show in private-value environments that any incentive compatible rule is implementable with small transfers. Therefore, our mechanism only needs small ex post transfers to make our implementation results completely free from the multiple equilibrium problem. In addition, our mechanism possesses the unique equilibrium that is robust to higher-order belief perturbations. We also identify a class of interdependent-value environments to which our results can be extended.Thu, 05 Mar 2015 22:58:59 GMTAn Equilibrium Foundation of the Soros Chart
http://hdl.handle.net/10086/26676
Title: An Equilibrium Foundation of the Soros Chart
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<br/>Authors: Kano, Takashi; Morita, Hiroshi
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<br/>The most prominent characteristic of the Japanese yen/U.S. dollar nominal exchange rate in the post-Plaza Accord era is near random-walk behavior sharing a common stochastic trend with the two-country monetary base differential augmented with excess reserves. In this paper, we develop a simple two-country incomplete-market model equipped with domestic reserve markets to structurally investigate this anecdotal evidence known as the Soros chart. In this model, we theoretically verify that a market discount factor close to one generates near random-walk behavior of an equilibrium nominal exchange rate in accordance with a permanent component of the augmented monetary base differential as an economic fundamental. Results of a Bayesian posterior simulation with post-Plaza Accord data of Japan and the United States plausibly support our model as a data generating process of the Japanese yen/U.S. dollar exchange rate. The model identifies the two-country differential in money demand shocks as the main generator of the sharp depreciation of the Japanese yen against the U.S. dollar under the Abenomics. We discuss data evidence that the identified money demand shocks are tightly correlated with longer-term interest rate differentials between the two countries.Thu, 26 Mar 2015 22:58:59 GMTThe Impact of Tax Reform in Japan on the Work-Hour and Income Distributions of Married Women
http://hdl.handle.net/10086/27036
Title: The Impact of Tax Reform in Japan on the Work-Hour and Income Distributions of Married Women
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<br/>Authors: YOKOYAMA, Izumi
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<br/>In 2004, Japan abolished part of its spousal exemption regulations. This paper examines, on theoretical and empirical levels, the effects of this tax reform on the income of married women, allowing for heterogeneous effects across income distribution. The empirical results from quantile difference-in-difference estimations and novel decomposition methods indicate that low-income wives increased their labor supply and incomes, in accordance with changes in tax incentives. In contrast, medium- and high-income wives, who were presumably unaffected by the tax reform, decreased their incomes in response to the upward trend of their husbands’ incomes during the same period. I argue that this behavior of middle- to high-income wives is due to an increased awareness of the shape of the budget line that were less conspicuous under the previous tax regime.Mon, 29 Dec 2014 22:58:59 GMTConfidence Sets for the Break Date Based on Optimal Tests
http://hdl.handle.net/10086/27032
Title: Confidence Sets for the Break Date Based on Optimal Tests
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<br/>Authors: KUROZUMI, Eiji; YAMAMOTO, Yohei
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<br/>This study proposes constructing a confidence set for the date of a one-time structural change using a point optimal test. Following Elliott and Müller (2007), we first construct a test for the break date that maximizes the weighted average of the power function. The confidence set is then obtained by inverting the test statistic. We carefully choose the weights and show by Monte Carlo simulations that the confidence set based on our method has a relatively accurate coverage rate, while the length of our confidence set is significantly shorter than the lengths proposed in the literature.Wed, 21 Jan 2015 22:58:59 GMTEstimating Upward Bias of Japanese Consumer Price Index Using Engel's Law
http://hdl.handle.net/10086/27018
Title: Estimating Upward Bias of Japanese Consumer Price Index Using Engel's Law
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<br/>Authors: HIGA, Kazuhito
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<br/>The Japanese Consumer Price Index (CPI) is considered to be upwardly biased. This paper estimated the Engel curve based on National Survey of Family Income and Expenditure data to measure the bias. The estimated bias for the period 1989 to 2004 was 0.53 percentage points per annum. Correcting the bias led to a lower inflation rate of 0.14 percent per year, against the official inflation rate of 0.65 percent during the period. A demographic analysis showed that a household with a non-working spouse faced a larger bias suggesting that the opportunity cost of shopping determines the size of the bias.Tue, 16 Dec 2014 22:58:59 GMTEmpirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models
http://hdl.handle.net/10086/26956
Title: Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models
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<br/>Authors: YABE, Ryota
<br/>
<br/>By using the empirical likelihood (EL), we consider the construction of pointwise confidence intervals (CIs) for nonparametric nonlinear nonstationary regression models with nonlinear nonstationary heterogeneous errors. It is well known that the EL-based CI has attractive properties such as data dependency and automatic studentization in cross-sectional and weak-dependence models. We extend EL theory to the nonparametric nonlinear nonstationary regression model and show that the log-EL ratio converges to a chi-squared random variable with one degree of freedom. This means that Wilks' theorem holds even if the covariate follows a nonstationary process. We also conduct empirical analysis of Japan's inverse money demand to demonstrate the data-dependency property of the EL-based CI.Fri, 28 Nov 2014 22:58:59 GMTInternational Cooperation and Institution Formation: A Game Theoretic Perspective
http://hdl.handle.net/10086/26955
Title: International Cooperation and Institution Formation: A Game Theoretic Perspective
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<br/>Authors: OKADA, Akira
<br/>
<br/>Game theory presents a useful analytical tool for addressing the problem of international cooperation and the formation of institutions. We first examine four problems that must be solved to achieve international cooperation: the common knowledge problem, agreement problem, compliance problem, and participation problem. An institution is a mechanism used to enforce participants to cooperate for collective benefits. We consider a multi-stage game model of institution formation and show that a group of participants voluntarily forms an institution for international cooperation in a strict subgame perfect equilibrium if and only if the group satisfies the criticality condition. Some of the implications on the international frameworks that attempt to prevent the proliferation of nuclear weapons in East Asia are finally discussed.Fri, 28 Nov 2014 22:58:59 GMTAsymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)
http://hdl.handle.net/10086/26948
Title: Asymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)
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<br/>Authors: YABE, Ryota
<br/>
<br/>This paper considers the conditional sum of squares estimator (CSSE) for the moderate deviation MA(1) process that has the parameter of the MA(1) with the distance between the parameter and unity being larger than O(T -1). We show that the asymptotic distribution of the CSSE is normal, even though the process belongs to the local-to-unity class. The convergence rate continuously changes from an invertible order to a noninvertible one. In this sense, the moderate deviation process in MA(1) has a continuous bridge property like the AR process.Fri, 28 Nov 2014 22:58:59 GMTEstimating the Residential Land Damage of the Fukushima Accident
http://hdl.handle.net/10086/26945
Title: Estimating the Residential Land Damage of the Fukushima Accident
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<br/>Authors: KAWAGUCHI, Daiji; YUKUTAKE, Norifumi
<br/>
<br/>The cost of nuclear power generation critically depends on the damages caused by plant failure. We estimate the residential land damage caused by the failure of the Fukushima Daiichi nuclear power plant, as it forms a substantial part of the total damage, by observing the change in transaction prices before and after the accident with the degree of radioactive contamination. The estimates based on hedonic price equations, with the degree of radioactive contamination measured by airborne surveys, indicate that the contamination significantly decreased the price of residential land. The estimated total residential depreciation ranges from 2.19 to 2.65 trillion yen, approximately equivalent to 21.9-26.5 billion US dollars, or about 0.5% of Japan's GDP.Thu, 27 Nov 2014 22:58:59 GMTImproving the Finite Sample Performance of Tests for a Shift in Mean
http://hdl.handle.net/10086/26936
Title: Improving the Finite Sample Performance of Tests for a Shift in Mean
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<br/>Authors: YAMAZAKI, Daisuke; KUROZUMI, Eiji
<br/>
<br/>It is widely known that structural break tests based on the long-run variance estimator, which is estimated under the alternative, suffer from serious size distortion when the errors are serially correlated. In this paper, we propose bias-corrected tests for a shift in mean by correcting the bias of the long-run variance estimator up to O(1/T). Simulation results show that the proposed tests have good size and high power.Sun, 09 Nov 2014 22:58:59 GMT防災集団移転事業などの復興政策の現状と課題
http://hdl.handle.net/10086/26920
Title: 防災集団移転事業などの復興政策の現状と課題
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<br/>Authors: 中川, 雅之; 齊藤, 誠
<br/>
<br/>本論文は、東日本大震災の被災地域の復興政策、特に、防災集団移転事業について、現在の状況と将来の課題を議論している。特に、被災地が縮小期にあることを踏まえて、防災集団移転事業を評価していく。具体的なケースとして、ハリケーンカトリーナで著しく被災したニューオリンズの住宅復興政策と比較しながら、東日本大震災で甚大な被害を受けた石巻市の住宅復興政策の現状と課題を整理していく。本論文の結論としては、被災地域に居住制限をかけて強制的に移住させるのでなく、自然災害リスクの情報開示したうえで、居住者に対して、継続居住か移転かの選択を委ねる住宅復興政策が望ましいことを提案する。; In this paper, we explore the current situations and future issues about the earthquake recovery policies, in particular, the group relocation projects for disaster mitigation, which have been applied to the residential areas severely damaged by tsunamis in the Great East Japan Earthquake. In doing so, we pay serious attention to the fact that these damaged areas had been shrinking in terms of population even before the Earthquake. As a case study, we carefully compare Ishinomaki City with New Orleans, both of which were hit by severe natural disasters when they were shrinking. Based on our investigation, we propose a recovery policy which allows residents to dwell in tsunami-damaged areas if they wish unlike the current policy which forces residents to leave damaged areas.Wed, 29 Oct 2014 22:58:59 GMTDeterminants of Operational Efficiency and Total Factor Productivity Change of Major Cambodian Financial Institutions : A Data Envelopment Analysis during the Period of 2006-2013
http://hdl.handle.net/10086/26918
Title: Determinants of Operational Efficiency and Total Factor Productivity Change of Major Cambodian Financial Institutions : A Data Envelopment Analysis during the Period of 2006-2013
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<br/>Authors: OKUDA, Hidenobu; AIBA, Daiju
<br/>
<br/>This study is the first attempt to estimate the determinants of the operational efficiency and total factor productivity (TFP) change of major financial institutions in Cambodia during the period 2006 to 2013. The technical efficiency score and the TFP change were measured using conventional data envelopment analysis (DEA) and the Malmquist index, and these obtained indexes were then regressed to find their determinants. The empirical results obtained reveal that the efficiency of large institutions is higher and more stable than that of small institutions, and the efficiency of domestic institutions is better than that of their foreign counterparts. Furthermore, institutions that are more resilient and operationally stable can generate profits more efficiently, and institutions that are more diversified are more efficient. It was also observed that sound and diversified institutions tend to increase their total factor productivity, and some exogenous factors, such as increased household reserves of financial assets and improved economic infrastructure, contributed to the improvement of productivity change. These observations suggest that further improvement of Cambodian financial institutions requires an increase in operational capacity, appropriate selection of foreign ownership, enhanced soundness of management, and greater diversification.Tue, 04 Nov 2014 22:58:59 GMT東日本大震災の社会経済的な影響について
http://hdl.handle.net/10086/26847
Title: 東日本大震災の社会経済的な影響について
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<br/>Authors: 齊藤, 誠; 中川, 雅之; 顧, 濤
<br/>
<br/>本論文は、①東日本大震災による人的・物的な被害、②津波被災地域の大震災前の社会経済状況、③大震災前後の日本経済を取り巻いた国際環境、④日本政府が抱えていた財政状況、⑤震災復興からの回復過程が、どのように政策決定者の間で認識されてきたのかを実証的に解明している。その上で、これらの側面における政策決定者の認識の錯誤が、過大な規模の震災復興予算につながり、震災復興政策において非効率的な資源配分を招いてしまったことを明らかにしている。; This paper empirically explores how ineffectively policymakers recognized (i) the casualty and physical damages caused by the Great East Japan Earthquake, (ii) the social and economic states of the tsunami-damaged areas prior to the occurrence of the disaster, (iii) the global economic conditions which surrounded the Japanese economy before and after the Earthquake, (iv) the fiscal condition faced by the Japanese Government, and (v) the economic recovery process from the disaster. Given those findings, it demonstrates that their serious mistakes in recognition of the above aspects led eventually to an excessively large national budget for reconstruction from the disaster, and resulted in inefficient allocation of scarce resources in the reconstruction policy.Sun, 28 Sep 2014 22:58:59 GMTA Non-cooperative Bargaining Theory with Incomplete Information: Verifiable Types
http://hdl.handle.net/10086/26008
Title: A Non-cooperative Bargaining Theory with Incomplete Information: Verifiable Types
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<br/>Authors: OKADA, Akira
<br/>
<br/>We consider a non-cooperative sequential bargaining game with incomplete information where two players negotiate for mechanisms with ex post verifiable types at the interim stage. We prove the existence of a stationary sequential equilibrium of the bargaining game where the ex post Nash bargaining solution with no delay is asymptotically implemented with probability one. Further, the ex post Nash bargaining solution is a unique outcome of a stationary equilibrium under the property of Independence of Irrelevant Types (IIT), whereby the response of every type of a player is independent of allocations proposed to his other types, and under a self-selection property of their belief. Interim efficiency (insurance benefit) in the Bayesian bargaining problem is not necessarily supported in a non-cooperative approach.Sun, 28 Sep 2014 22:58:59 GMTDefending the municipal electric services against privatization : a case study of Frankfurt am Main during the Weimar period
http://hdl.handle.net/10086/26833
Title: Defending the municipal electric services against privatization : a case study of Frankfurt am Main during the Weimar period
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<br/>Authors: Mori, Takahito
<br/>
<br/>It has been generally assumed in the study of German urban history that the municipal electric services were brought to an end by the growth of regional power networks during the Weimar period. However, municipal electric services were not completely replaced by regional power systems. So, this paper examines, on the basis of a case study of Frankfurt am Main, how the municipal electric services were able to sustain themselves as an autonomous system against the expanding influence of regional power networks based on private capital during the Weimar period. Frankfurt tried not only to enlarge its power stations but also to utilize the waterpower and brown coal obtained nearby the city, with a view to defending its autonomy against the Rheinisch-Westfälisches Elektrizitätswerk AG. These attempts enabled Frankfurt to preserve its autonomous electric services until the second half of the 20th century, though it owed a lot to the assistance from Preussenelektra, the national electric power company of Prussia.Fri, 29 Aug 2014 22:58:59 GMTCooperation and Institution in Games
http://hdl.handle.net/10086/26832
Title: Cooperation and Institution in Games
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<br/>Authors: Okada, Akira
<br/>
<br/>Based on recent developments in non-cooperative coalitional bargaining theory, I review game theoretical analyses of cooperation and institution. The first part presents basic results of the random-proposer model and applies them to the problem of involuntary unemployment in a labor market. Extensions to cooperative games with externality and incomplete information are discussed. The second part considers enforceability of an agreement as an institutional foundation of cooperation. I re-examine the contractarian approach to the problem of cooperation under the view that individuals may voluntarily create an enforcement institution.Fri, 29 Aug 2014 22:58:59 GMTEconomic Consequences of Employment Quota System for Disabled People: Evidence from a Regression Discontinuity Design in Japan
http://hdl.handle.net/10086/26830
Title: Economic Consequences of Employment Quota System for Disabled People: Evidence from a Regression Discontinuity Design in Japan
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<br/>Authors: Mori, Yuko; Sakamoto, Norihito
<br/>
<br/>This study examines the effect of Japanese employment quota system for disabled people on their employment. By using official data pertaining to Japan, we show that a levy-grant scheme increases the employment of disabled workers in Japan’s manufacturing industry. In addition, we find that small-sized firms hire disabled workers when increasing firm size, although they are not obligated to pay a levy. Finally, we use the increase in the number of disabled workers by the quota system as an instrumental variable (IV) to evaluate the impact of disability employment on a firm’s profit rate. The results of the fuzzy regression discontinuity design (RDD) suggest that an increase in the number of disabled workers does not necessarily decrease firms’ profit rates, which is in contrast to the results of the ordinary least squares (OLS) regression that suggest negative relationships between a firm’s profit rate and the number of disabled workers.Fri, 29 Aug 2014 22:58:59 GMTGISデータに基づいた東日本大震災津波被害と原発事故の影響に関する推計手続きについて
http://hdl.handle.net/10086/26829
Title: GISデータに基づいた東日本大震災津波被害と原発事故の影響に関する推計手続きについて
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<br/>Authors: 齊藤, 誠; 中川, 雅之; 顧, 濤; 泉谷, 将登; 岩佐, 丈; 木澤, 諒平; 武藤, 蔵; 張, 瑩; 中村, 京介
<br/>
<br/>本テクニカルペーパーは、GISデータベース（地理情報データベース）に基づきながら東日本大震災津波被害と原発事故の影響を推計する作業に関して詳細な手順と主要な結果をまとめたものである。ここでは、東日本大震災の直接被害が岩手県、宮城県、福島県の津波被災地域に集中していたために被害の地理的範囲を正確に特定できることに着目して、「国勢調査」、「事業所調査」、「農林センサス」などの政府作成の電子地図統計と、国土交通省が作成した「津波被災市街地域復興手法検討調査」のGISデータを重ね合わせることを通じて推計作業を行っている。また、原発事故の影響についても、上述の政府電子地図統計を用いながら福島第一原発の30キロ圏内の社会経済特性を分析している。; In this technical paper, we describe the methods which are employed for the estimation of the damage caused by the Great East Japan Earthquake, and report the detailed estimation results. We exploit the information contained in the digital maps of the tsunami damaged areas, including Iwate, Miyagi, and Fukushima, which were compiled by the Ministry of Land, Infrastructure, Transport and Tourism immediately after the earthquake, and obtain the precise estimation of the earthquake damage by overlapping the information with that available from other digital maps compiled by several government institutions, including the population censuses and the censuses of establishment.Fri, 29 Aug 2014 22:58:59 GMTThe Formation and Long-run Stability of Cooperative Groups in a Social Dilemma Situation
http://hdl.handle.net/10086/26134
Title: The Formation and Long-run Stability of Cooperative Groups in a Social Dilemma Situation
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<br/>Authors: Maruta, Toshimasa; Okada, Akira
<br/>
<br/>We consider the formation and long-run stability of cooperative groups in a social dilemma situation where the pursuit of individual interests conicts with the maximization of social welfare. The adaptive play model of Young (1993) is applied to a group formation game where voluntary participants negotiate to create an institution that enforces cooperation. For the class of group formation games with two types, the stochastically stable equilibrium can be characterized in terms of the Nash products of the associated hawk-dove games, which summarize the strategic interaction among the individuals in the game.Fri, 29 Aug 2014 22:58:59 GMTExchange Rates and Fundamentals: Closing a Two-country Model
http://hdl.handle.net/10086/25834
Title: Exchange Rates and Fundamentals: Closing a Two-country Model
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<br/>Authors: Kano, Takashi
<br/>
<br/>In an influential paper, Engel and West (2005) claim that the near random-walk behavior of nominal exchange rates is an equilibrium outcome of a present-value model of a partial equilibrium asset approach when economic fundamentals follow exogenous first-order integrated processes and the discount factor approaches one. Subsequent empirical studies further confirm this proposition by estimating a discount factor that is close to one under distinct identification schemes. In this paper, I argue that the unit market discount factor implies the counterfactual joint equilibrium dynamics of random-walk exchange rates and economic fundamentals within a canonical, two-country, incomplete market model. Bayesian posterior simulation exercises based on post-Bretton Woods data from Canada and the United States reveal difficulties in reconciling the equilibrium random-walk proposition within the two-country model; in particular, the market discount factor is identified as being much lower than one.Sat, 02 Aug 2014 22:58:59 GMTマクロ計量分析におけるDSGEモデルの役割：「最小解釈」の導入と応用
http://hdl.handle.net/10086/26041
Title: マクロ計量分析におけるDSGEモデルの役割：「最小解釈」の導入と応用
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<br/>Authors: 加納, 隆
<br/>
<br/>本稿では、動学的確率的一般均衡モデルのマクロ計量経済分析における役割を、Geweke (2010)による強解釈と弱解釈および最小解釈の3分類に従って批判的に略説する。最小解釈の応用例として、Kano and Nason (2014)による消費の習慣形成の金融政策ショック伝播メカニズムとしての役割に関する実証分析を紹介する。最後に将来研究への展望を議論する。; This paper critically reviews roles of dynamics stochastic general equilibrium (DSGE) models in macroeconometrics, introducing econometric categorizations of DSGE models made by Geweke (2010): strong, weak, and minimal econometric interpretations. As an application of the minimal interpretation, this paper introduces the Bayesian Monte Carlo exercise conducted by Kano and Nason (2014) for investigating business cycle implications of consumption habits as a propagation mechanism of monetary policy shocks.Sat, 28 Jun 2014 22:58:59 GMTA Modified Confidence Set for the Structural Break Date in Linear Regression Models
http://hdl.handle.net/10086/26678
Title: A Modified Confidence Set for the Structural Break Date in Linear Regression Models
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<br/>Authors: Yamamoto, Yohei
<br/>
<br/>Elliott and Müller (2007) (EM) provides a method to construct a confidence set for the structural break date by inverting a locally best test statistic. Previous studies show that the EM method produces a set with an accurate coverage ratio even for a small break, however, the set is often overly lengthy. This study proposes a simple modification to rehabilitate their method. Following the literature, we provide an asymptotic justification for the modified method under a nonlocal asymptotic framework. A Monte Carlo simulation shows that like the original method, the modified method exhibits a coverage ratio that is very close to the nominal level. More importantly, it achieves a much shorter confidence set. Hence, when the break is small, the modified method serves as a better alternative to Bai's (1997) confidence set. We apply these methods to a small level shift in post-1980s Japanese inflation data.Tue, 06 May 2014 22:58:59 GMTComparing Preference Orders:Asymptotic Independence
http://hdl.handle.net/10086/26653
Title: Comparing Preference Orders:Asymptotic Independence
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<br/>Authors: Kikuchi, Kazuya
<br/>
<br/>A decision maker is presented with two preference orders over n objects and chooses the one which is “closer” to his own preference order. We consider several plausible comparison rules that the decision maker might employ. We show that when n is large and the pair of orders to be compared randomly realizes, different comparison rules lead to statistically almost independent choices. Thus, two people with a common preference relation may nonetheless exhibit almost uncorrelated choice patterns.Mon, 28 Apr 2014 22:58:59 GMTThe Social Value of Public Information with Convex Costs of Information Acquisition
http://hdl.handle.net/10086/26604
Title: The Social Value of Public Information with Convex Costs of Information Acquisition
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<br/>Authors: Ui, Takashi
<br/>
<br/>In a beauty contest framework, welfare can decrease with public information if the precision of private information is exogenous, whereas welfare necessarily increases with public information if the precision is endogenous with linear costs of information acquisition. The purpose of this paper is to reconcile these results by considering nonlinear costs of information acquisition. The main result of this paper is a necessary and sufficient condition for welfare to increase with public information. Using it, we show that costs of information acquisition are linear if and only if welfare necessarily increases with public information. Thus, welfare can decrease with public information for any strictly convex costs. This is because convex costs mitigate the so-called crowding-out effect of public information on private information, thereby making the social value of public information with endogenous precision closer to that with exogenous precision.Mon, 28 Apr 2014 22:58:59 GMTA Hybridized Discontinuous Galerkin FEM with Lifting Operator for Plane Elasticity Problems
http://hdl.handle.net/10086/26140
Title: A Hybridized Discontinuous Galerkin FEM with Lifting Operator for Plane Elasticity Problems
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<br/>Authors: KOYAMA, Daisuke; KIKUCHI, Fumio
<br/>
<br/>We present a formulation of the hybridized DGFEM with lifting operator for the plane elasticity problem. To validate the formulation, we establish an inequality of the Korn type by following the method of proof due to Brenner [Math. Comp., 73 (2004), 1067–1087]. Using the inequality, we can demonstrate the well-posedness of a discrete problem arising in the formulation, and derive a priori error estimates for solutions of the discrete problem.Wed, 29 Jan 2014 22:58:59 GMTOperational Efficiency and TFP Change of Major Cambodian Financial Institutions:A Data Envelopment Analysis during the 2006-2011 Period
http://hdl.handle.net/10086/26081
Title: Operational Efficiency and TFP Change of Major Cambodian Financial Institutions:A Data Envelopment Analysis during the 2006-2011 Period
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<br/>Authors: Okuda, Hidenobu; Poleng, Chea; Aiba, Daiju
<br/>
<br/>This study examines the technical efficiency and productivity of 18 major domestic and foreign financial institutions in Cambodia during the period of 2006 to 2011. Data envelopment analysis was employed to estimate the efficiency of business operations and the Malmquist productivity index was used to identify the reasons for their productivity changes. Empirical results reveal that during the research period, the efficiency scores were high, while they were higher in large institutions than in small ones. When measured using a value-added approach that focused on the fund mobilization capability of financial institutions, the efficiency of domestic institutions was found to be better than that of their foreign counterparts; when measured using an operational approach that focused on the income earning capacity of institutions, there was no significant difference in technical efficiency between domestic and foreign institutions. It was also observed that Cambodian financial institutions suffered a slight drop in total factor productivity during the research period. These observations suggest that further improvement of Cambodian financial institutions’ technical efficiency requires an increase in the operational capacity of individual institutions and the introduction of advanced banking technologies and skills.Sun, 29 Dec 2013 22:58:59 GMTTesting for Factor Loading Structural Change under Common Breaks
http://hdl.handle.net/10086/26010
Title: Testing for Factor Loading Structural Change under Common Breaks
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<br/>Authors: YAMAMOTO, Yohei; TANAKA, Shinya
<br/>
<br/>This paper proposes a new test for factor loading structural change in dynamic factor models. The proposed test is robust to the nonmonotonic power problem that occurs if the factor loadings exhibit structural changes at common dates over cross-sections. To illustrate the usefulness of our test, we first show that the leading test proposed by Breitung and Eickmeier (2011) exhibits nonmonotonic power, essentially because the breaks are considered as spurious factors with stable factor loadings. We use both local and non-local asymptotic frameworks to investigate the power of their test. The new test eliminates the effects of the spurious factors by maximizing the test statistic over possible numbers of the original factors. This approach is effective because the original factors are not identified under the alternative hypothesis. Monte Carlo simulations and an empirical example using U.S. Treasury yield curve data clearly illustrate the validity of the asymptotic power analysis and usefulness of the proposed test.Thu, 28 Nov 2013 22:58:59 GMTStrong Lp Convergence Associated with Rellich-type Discrete Compactness for Discontinuous Galerkin FEM
http://hdl.handle.net/10086/26009
Title: Strong Lp Convergence Associated with Rellich-type Discrete Compactness for Discontinuous Galerkin FEM
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<br/>Authors: KIKUCHI, Fumio; KOYAMA, Daisuke
<br/>
<br/>In a preceding paper, we proved the discrete compactness properties of Rellich type for some 2D discontinuous Galerkin finite element methods (DGFEM), that is, the strong L2 convergence of some subfamily of finite element functions bounded in an H1-like mesh-dependent norm. In this note, we will show the strong Lp convergence of the above subfamily for 1 ≦ p < ∞. To this end, we will utilize the duality mappings and special auxiliary problems. The results are applicable to numerical analysis of various semi-linear problems.Thu, 28 Nov 2013 22:58:59 GMTA note on the existence of Walras equilibrium in irreducible economies with satiable and non-ordered preferences
http://hdl.handle.net/10086/25918
Title: A note on the existence of Walras equilibrium in irreducible economies with satiable and non-ordered preferences
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<br/>Authors: Miyazaki, Kentaro; Takekuma, Shin-Ichi
<br/>
<br/>Irreducible exchange economies in which consumers’ preferences are satiable and non-ordered are considered. A general existence theorem of dividend quasi-equilibrium is proved and by the theorem the existence of Walras equilibrium is proved under weaker assumptions of non-satiation.Sat, 28 Sep 2013 22:58:59 GMTGoods Revenue Monotonicity in Combinatorial Auctions
http://hdl.handle.net/10086/25908
Title: Goods Revenue Monotonicity in Combinatorial Auctions
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<br/>Authors: Muto, Nozomu; Yasuhiro, Shirata
<br/>
<br/>We study a new monotonicity problem in combinatorial auctions called goods revenue monotonicity, which requires that the auctioneer earn no more revenue by dropping goods from the endowments. Although no mechanism satisfies goods revenue monotonicity together with strategy-proofness, efficiency, and participation even in the domain of substitute valuations, we find a restricted domain called per-capita goodsbidder submodular domain in which there exists a goods revenue monotone mechanism satisfying the above three conditions. The restriction is likely to be met when bidders’ valuations are similar. Finally, we provide a relation to the monopoly theory, and argue that per-capita goods-bidder submodularily is independent of the standard elasticity argument.Sat, 28 Sep 2013 22:58:59 GMTNovel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed
http://hdl.handle.net/10086/25907
Title: Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed
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<br/>Authors: Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao
<br/>
<br/>In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic distributions of the tests, which are derived with N fixed and T going to infinity, are shown to be standard normals. The effects of serial correlation and cross-sectional dependence are mopped out via long-run variances. An effective bias correction is derived which is shown to work well in finite samples; particularly when N is smaller than T. Our panel tests are robust to possible cointegration across units.Thu, 29 Aug 2013 22:58:59 GMTTullock Contests with Asymmetric Information
http://hdl.handle.net/10086/25902
Title: Tullock Contests with Asymmetric Information
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<br/>Authors: Einy, E; Haimanko, O; Moreno, D; Sela, A; Shitovitz, B
<br/>
<br/>Under standard assumptions about players’ cost functions, we show that a Tullock contest with asymmetric information has a pure strategy equilibrium. Moreover, when players have a common value and a common state independent linear cost function, a two player Tullock contest in which one player has an information advantage has a unique equilibrium. In this equilibrium both players exert the same expected effort, although the player with information advantage has a greater payoff and wins the prize less frequently than his opponent. When there are more than two players in the contest, an information advantage leads to higher payoffs, but the other properties of equilibrium no longer hold.Thu, 29 Aug 2013 22:58:59 GMTThe Rejective Core of an Economy with Profit-Making Firms
http://hdl.handle.net/10086/25900
Title: The Rejective Core of an Economy with Profit-Making Firms
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<br/>Authors: Takekuma, Shin-Ichi
<br/>
<br/>In this paper, we consider an economy with producers and introduce a kind of "money" into the economy in order to incorporate producers' behaviors of profit maximization. We define a modified concept of "rejective core" which depends on both consumers' and producers' criterions, and prove the identity of the rejective core and the competitive equilibrium. Namely, the purpose of this paper is to characterize the competitive equilibrium in Arrow-Debreu type economies by applying the concept of "rejective core".Thu, 29 Aug 2013 22:58:59 GMTAn Analysis of Changes in Wealth Distribution upon the Entrance of Foreign Direct Investment Firms
http://hdl.handle.net/10086/25899
Title: An Analysis of Changes in Wealth Distribution upon the Entrance of Foreign Direct Investment Firms
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<br/>Authors: Duong, Tran Lam Anh
<br/>
<br/>This paper investigates the role of foreign direct investment (FDI) firms with respect to various economic aspects in developing countries, such as the determination of wealth distribution and the entry and exit of entrepreneurs. The model used in this paper is based on the theoretical framework developed in Matsuyama (2011). Unlike the original model focusing on a closed economy, this paper will introduce the arrival of FDI firms as a new actual foreign factor. It is shown that the FDI firms can possibly have various negative effects. More specifically, the following somewhat interesting results are obtained. First, the paper is the first to describe how the entrance of FDI firms can effect both wealth equality and inequality. This entrance can cause equality by acting as either a "big push" to push all the poorer members of society out of the poverty trap so that all domestic agents may become more equal with respect to wealth distribution and more free with respect to job selection. Conversely, it could lead to an "underdevelopment trap" whereby all domestic agents have no other choice than to work for FDI firms. On the other hand, the entrance of FDI firms may also cause inequality by widening the gap between rich and poor. The cost of starting a new business, the bequest motive and the world interest rate play critical roles in the determination of the effects of FDI-firm entry. Second, entry and exit of entrepreneurs is also analyzed under profitability and borrowing constraints and its relation to equality is also discussed.Thu, 29 Aug 2013 22:58:59 GMTChoice via Grouping Procedures
http://hdl.handle.net/10086/25887
Title: Choice via Grouping Procedures
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<br/>Authors: Matsuki, Jun; Tadenuma, Koichi
<br/>
<br/>In this paper, we consider a natural procedure of decision-making, called a “Grouping Choice Method”, which leads to a kind of bounded rational choices. In this procedure a decision-maker (DM) first divides the set of available alternatives into some groups and in each group she chooses the best element (winner) for her preference relation. Then, among the winners in the first round, she selects the best one as her final choice. We characterize Grouping Choice Methods in three different ways. First, we show that a choice function is a Grouping Choice Method if and only if it is a Rational Shortlist Method (Manzini and Mariotti, 2007) in which the first rationale is transitive. Second, Grouping Choice Methods are axiomatically characterized by means of a new axiom called Elimination, in addition to two well-known axioms, Expansion and Weak WARP (Manzini and Mariotti, 2007). Third, Grouping Choice Methods are also characterized by a weak version of Path Independence.Thu, 29 Aug 2013 22:58:59 GMTPer-Capita Income as a Determinant of International Trade and Environmental Policies
http://hdl.handle.net/10086/25791
Title: Per-Capita Income as a Determinant of International Trade and Environmental Policies
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<br/>Authors: Markusen, James R.
<br/>
<br/>International trade policy analysis has tended to focus on the production side of general equilibrium, with policies such as a tariff or carbon tax affecting international and internal income distributions through a Heckscher-Ohlin nexus of factor intensities and factor endowments. Here I move away from this structure to focus on demand, preferences, and endogenous policy in a trade/environment setting by assuming a high income elasticity of demand for environmental quality. I show how both non-cooperative and cooperative abatement policies in a two-country (rich and poor) setting are affected by non-homotheticity.
I examine “issue linking” in international bargaining, in which one country is both large and rich, and hence has both a high tariff and a high abatement effort in a non-cooperative equilibrium. Several cooperative bargaining agreements are computed under alternative assumptions about linking or separating trade and environment negotiations. A final exercise considers “policy leakage”, in which one country has an incentive to reduce its optimal abatement effort when the other country increases its effort. The paper will also introduce many readers to a new solver in GAMS for a class of problems referred to as MPECs: mathematical programming with equilibrium constraints. This problem class has wide applications in economics, including solving for multiple optimal tax rates to provide public goods, redistribute income, internalize externalities, exploit monopoly power in trade and so forth, when the underlying general-equilibrium model is a set of constraints on the optimization problem.Fri, 28 Sep 2012 22:58:59 GMTIndustrial Development through Takeovers and Exits: the Case of the Cut Flower Exporters in Ethiopia
http://hdl.handle.net/10086/25757
Title: Industrial Development through Takeovers and Exits: the Case of the Cut Flower Exporters in Ethiopia
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<br/>Authors: Mano, Yukichi; Suzuki, Aya
<br/>
<br/>The exit and takeover of firms influence the structure and economic efficiency of an industry. The existing literature suggests that firms gradually learn about their own productivity. Some stagnate and ultimately exit if they encounter unfavorable prospects; others survive and grow. This selection process implies that the probability of firm exit initially increases with firm age as learning progresses before it eventually falls as learning is completed. We use a firm-level panel of Ethiopia’s cut flower industry to confirm this theoretical implication. The empirical results also suggest that takeover improves productivity and profitability of average firms endowed with a favorable business environment.Wed, 29 May 2013 22:58:59 GMTMeasuring Agglomeration Economies: The Case of the Ethiopian Cut Flower Industry
http://hdl.handle.net/10086/25583
Title: Measuring Agglomeration Economies: The Case of the Ethiopian Cut Flower Industry
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<br/>Authors: Mano, Yukichi; Suzuki, Aya
<br/>
<br/>Industrial clusters are ubiquitous, and the associated low transaction costs allow producers to benefit from information spillovers, interfirm division and specialization of labor, and the development of skilled-labor markets. Previous studies, however, have seldom quantified the benefits on business performance. Ethiopia’s cut flower industry provides a rare opportunity to compare agglomerated with dispersed producers. Agglomerated farms frequently share technological knowledge and market information to decide when and even whether products are worth harvesting and shipping and to select product varieties. Econometric results indicate that agglomerated farms export higher valued flowers and achieve higher productivity and profitability. These findings imply that promotion of industrial clusters would further develop the industry.Fri, 29 Mar 2013 22:58:59 GMTThe Price of Distance: Producer Heterogeneity, Pricing to Market, and Geographic Barriers
http://hdl.handle.net/10086/25529
Title: The Price of Distance: Producer Heterogeneity, Pricing to Market, and Geographic Barriers
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<br/>Authors: Kano, Kazuko; Kano, Takashi; Takechi, Kazutaka
<br/>
<br/>This study investigates the effect of distance on price differentials across regions. To identify the distance effect, we need to incorporate producer heterogeneity and pricing-to-market behavior. Because geographic barriers alter the threshold levels of productivity to set a positive price across markets, the effect of distance on price differentials can be underestimated if heterogeneity and pricing to market are not accounted for. By incorporating these factors, empirical analysis using micro-level data reveals that the distance effect is significantly large, suggesting that the price of geographic barriers is still high for regional transportation.Tue, 26 Feb 2013 22:58:59 GMTCharacterizing Social Value of Information
http://hdl.handle.net/10086/25516
Title: Characterizing Social Value of Information
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<br/>Authors: Ui, Takashi; Yoshizawa, Yasunori
<br/>
<br/>This paper examines the social value of information in symmetric Bayesian games with quadratic payoff functions and normally distributed public and private signals. The main results identify necessary and sufficient conditions for welfare to increase with public or private information. Using the conditions, we classify games into eight types by welfare effects of information. In the first type, welfare necessarily increases with both public and private information. In the second type, welfare can decrease, but only with public information. In the third type, welfare can decrease as well as increase with both public and private information. In the fourth type, welfare can decrease with both, but can increase only with private information. The remaining four types are the counterparts of the above four types with the opposite welfare effects of information. For each type, we characterize a socially optimal information structure and a socially optimal Bayesian correlated equilibrium.Tue, 26 Feb 2013 22:58:59 GMTList-based decision problems
http://hdl.handle.net/10086/25504
Title: List-based decision problems
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<br/>Authors: Dimitrov, Dinko; Mukherjee, Saptarshi; Muto, Nozomu
<br/>
<br/>When encountering a set of alternatives displayed in the form of a list, the decision maker usually determines a particular alternative, after which she stops checking the remaining ones, and chooses an alternative from those observed so far. We present a framework in which both decision problems are explicitly modeled, and axiomatically characterize a stop-and-choose rule which unifies position-biased successive choice and satisficing choice.Tue, 26 Feb 2013 22:58:59 GMTBusiness Cycle Implications of Internal Consumption Habit for New Keynesian Models
http://hdl.handle.net/10086/25327
Title: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
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<br/>Authors: Kano, Takashi; Nason, James M.
<br/>
<br/>We study the implications of internal consumption habit for new Keynesian dynamic stochastic general equilibrium (NKDSGE) models. Bayesian Monte Carlo methods are employed to evaluate NKDSGE model fit. Simulation experiments show that internal consumption habit often improves the ability of NKDSGE models to match the spectra of output and consumption growth. Nonetheless, the fit of NKDSGE models with internal consumption habit is susceptible to the sources of nominal rigidity, to spectra identified by permanent productivity shocks, to the choice of monetary policy rule, and to the frequencies used for evaluation. These vulnerabilities indicate that the specification of NKDSGE models is fragile.Mon, 29 Oct 2012 22:58:59 GMTAppendix: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
http://hdl.handle.net/10086/23297
Title: Appendix: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
<br/>
<br/>Authors: Kano, Takashi; Nason, James M.
<br/>
<br/>The appendix discusses computational aspects of the paper “Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.” These topics range from solving the baseline new Keynesian dynamic stochastic general equilibrium (NKDSGE) model, estimating the structural infinite-order vector moving averages, checking whether these models recover the fundamental shocks, to computing the permanent and transitory output and consumption growth spectral densities. More evidence about the fit of the NKDSGE models is also reviewed. The NKDSGE models are evaluated using alternative priors, and modification of the VARs generating the posterior distributions, and a different goodness of fit statistic. These evaluations reflect the robustness of the evidence about NKDSGE model fit reported in “Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.”Mon, 29 Oct 2012 22:58:59 GMTPublic perceptions of earthquake risk and its impact on land pricing: The case of the Uemachi fault line in Japan
http://hdl.handle.net/10086/23296
Title: Public perceptions of earthquake risk and its impact on land pricing: The case of the Uemachi fault line in Japan
<br/>
<br/>Authors: Gu, Tao; Nakagawa, Masayuki; Saito, Makoto; Yamaga, Hisaki
<br/>
<br/>In this paper, we explore how asset pricing reflects public perceptions of earthquake risk using officially appraised prices of land situated along the Uemachi fault, lying along a north-south axis in the east of Osaka prefecture in Japan. We find that active fault risk has been included significantly in land pricing, only since residents and even policymakers first realized considerable earthquake risk involved in the land along the Uemachi fault by observing that in January 1995, the earthquake driven by the Rokko-Awaji fault had catastrophic damages on the southern part of Hyogo prefecture. We estimate that nonresidential land prices along the Uemachi fault are discounted by 4 percent for every 100 meters closer to the fault line.Mon, 29 Oct 2012 22:58:59 GMTThe Stationary Equilibrium of Three-Person Cooperative Games: A Classification
http://hdl.handle.net/10086/23256
Title: The Stationary Equilibrium of Three-Person Cooperative Games: A Classification
<br/>
<br/>Authors: Okada, Akira
<br/>
<br/>We present a classification of all stationary subgame perfect equilibria of the random proposer model for a three-person cooperative game according to the level of efficiency. The efficiency level is characterized by the number of "central" players who join all equilibrium coalitions. The existence of a central player guarantees asymptotic efficiency. The marginal contributions of players to the grand coalition play a critical role in their expected equilibrium payoffs.Fri, 28 Sep 2012 22:58:59 GMTフィリピン銀行部門再編が経営効率性に与える影響： マルムクィストDEAによるフィリピン銀行の経営効率性の計測とその決定要因
http://hdl.handle.net/10086/23229
Title: フィリピン銀行部門再編が経営効率性に与える影響： マルムクィストDEAによるフィリピン銀行の経営効率性の計測とその決定要因
<br/>
<br/>Authors: 齋藤, 純
<br/>
<br/>本稿の目的は、まず、フィリピン銀行業の経営効率性を計測し、経営効率性の変化が銀行業全体の技術進歩によるものであるのか、銀行の規模経済性の変化によるものであるのか、または個別銀行独自の経営努力によるものであるのかを分析することである。さらに、その経営効率化もしくは経営非効率化が、銀行の健全性、成長性、収益安定性などの経営体質、また人件費や物件費、金利収入、手数料収入などの経営活動内容、そして、2000年代に頻発した銀行間の統合・合併など、どのような要因によるものかを分析することである。経営効率性の計測の結論を整理すると以下の通りである；第一に、2000年代のフィリピン銀行業の経営効率化は、一般的に改善している。第二に、銀行業全体の技術革新が認められる。第三に、規模の経済性が計測された。最後に、民間商業銀行と専業貯蓄銀行の純技術効率性は増加した一方で、政府系銀行、外国銀行、関連貯蓄銀行については低下した。生産性指数を被説明変数とした回帰分析の結果からは、以下のことが結論づけられる；第一に、銀行間の合併・統合は経営効率性の改善には繋がらなかった。第二に、金利収入は経営効率性に負の影響を与え、手数料収入は正の影響をを与えていた。; This paper measures efficiency of the Philippine banking sector in 2000s and investigates the component of efficiency change. Moreover, this paper analyzes the factors of the efficiency changes. The conclusion of the efficiency analysis of the Philippine banking by Malmquist DEA is as the following;. First, total efficiency index was improved in 2000s. Secondly, technical innovation was observed in the whole Philippine banking sector. Thirdly, scale effect was measured at the positive value. Finally, larg and middle Philippine banks didn't improve their pure technical efficiency. The regression analysis also showed that bank mergers do not improve bank efficiency in the Philippine.Wed, 29 Aug 2012 22:58:59 GMT発展途上国におけるイスラーム銀行 ： バハレーン銀行部門の経営効率性分析
http://hdl.handle.net/10086/23228
Title: 発展途上国におけるイスラーム銀行 ： バハレーン銀行部門の経営効率性分析
<br/>
<br/>Authors: 齋藤, 純
<br/>
<br/>本稿では、中東・北アフリカ諸国でも整備された競争環境を持つ2000年代バハレーンの銀行業を対象にして、DEAによる経営効率性の計測を行った。DEAによるバハレーン銀行業の効率性分析から得られた結論を整理すると以下の通りである；2002－2006年においては、人件費や物件費高騰などにより、バハレーン銀行業全体の効率性は低下したが、各銀行が貸出金やイスラーム金融商品を積極的に拡大することで規模経済性を発揮させたことと、特にイスラーム銀行、外資系銀行、中規模銀行が各自の生産技術の改善を行ったことによって、銀行業全体の効率性を改善するができた。; This paper measures an efficiency of Bahrain banking sector in the 2000s which has the competition environment. Using Data Envelopment Analysis and Malmquist productivity Indices, we find that the efficiency of the whole Bahrain banking sector declined in 2002-2006. Furthermore, Bahrain banks have expanded loan and Islamic financial products and showed economy of scale. Islamic banks, foreign banks and medium-size banks improved technical efficiency in this period.Wed, 29 Aug 2012 22:58:59 GMTOn the existence of Walras equilibrium in irreducible economies with satiable and non-ordered preferences
http://hdl.handle.net/10086/23217
Title: On the existence of Walras equilibrium in irreducible economies with satiable and non-ordered preferences
<br/>
<br/>Authors: Miyazaki, Kentaro; Takekuma, Shin-Ichi
<br/>
<br/>Irreducible exchange economies in which consumers’ preferences are satiable and non-ordered are considered. A general existence theorem of dividend quasi-equilibrium is proved and by the theorem the existence of Walras equilibrium is proved under weak assumptions of non-satiation.Wed, 29 Aug 2012 22:58:59 GMT活断層リスクの社会的認知と活断層帯周辺の地価形成の関係について：上町断層帯のケース
http://hdl.handle.net/10086/23092
Title: 活断層リスクの社会的認知と活断層帯周辺の地価形成の関係について：上町断層帯のケース
<br/>
<br/>Authors: 顧, 濤; 中川, 雅之; 齊藤, 誠; 山鹿, 久木
<br/>
<br/>本稿は、大阪府の東部を南北に走る上町断層帯周辺の地価形成に関する実証分析を通じて、兵庫県南部地震というイベントが活断層リスク認知に与えた影響を検証している。上町断層帯の両側2km圏内において断層近接地ほど地価が有意に低下する傾向は、1995年1月に起きた兵庫県南部地震以降に顕著となった。一方、兵庫県南部地震で地震エネルギーが解放された六甲・淡路島断層帯の周辺地価は、兵庫県南部地震で甚大な被害を受けた地域では地価が低下したものの、断層近接地においての地価の有意な低下傾向は認められなかった。上町断層帯は、1970年代よりその存在が知られていたが、その危険性が社会的、政策的に認知されたのは兵庫県南部で都市直下型地震が起きてからである。本稿の実証結果は、兵庫県南部地震の勃発で上町断層帯に対する認識が一変し、経済取引において上町断層帯にかかわる危険性が土地価格に強く反映されるようになったことを示している。; In this paper, we explore how social recognition toward active fault risks is reflected in asset pricing using the officially appraised prices of the land that is situated in the neighborhood of the Uemachi active fault line, lying along a north-south axis in the eastern part of Osaka prefecture. The presence of the Uemachi active fault line has been well recognized among scientific researchers since the 1970s. However, these active fault risks have been registered significantly in land pricing, only since ordinary citizens and even policymakers first realized considerable earthquake risks involved in the land along active fault lines by observing that in January 1995, the earthquake driven by the Rokko-Awaji active fault line had catastrophic damages on the southern part of Hyogo prefecture, which is adjoining at the west of Osaka prefecture.Tue, 29 May 2012 22:58:59 GMTExaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions
http://hdl.handle.net/10086/22973
Title: Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions
<br/>
<br/>Authors: Kano, Kazuko; Kano, Takashi; Takechi, Kazutaka
<br/>
<br/>This paper empirically establishes the significant roles of transport costs in price dispersions across regions. We identify and estimate the iceberg-type distance-elastic transport costs as a parameter of a structural model of cross-regional price differentials featuring product delivery decisions. Utilizing a data set of wholesale prices and product delivery patterns of agricultural products in Japan, our structural estimation approach finds large distance elasticities of the transport costs. The result confirms that geographical barriers are an economically significant contributor to the failures of the law of one price.Sat, 28 Apr 2012 22:58:59 GMTJAPANESE FIRMS’ DEBT POLICY AND TAX POLICY
http://hdl.handle.net/10086/21194
Title: JAPANESE FIRMS’ DEBT POLICY AND TAX POLICY
<br/>
<br/>Authors: Kunieda, Shigeki; Takahata, Junichiro; Yada, Haruna
<br/>
<br/>Understanding the effects of marginal tax rate on debt policy is crucial not only for considering various capital structure theories of firms but also for evaluating corporate tax reform proposals. In this empirical study, we have found a positive relation in most cases between the firm-specific marginal tax rates (simulated using the method of Shevlin (1990) and Graham (1996)) and the debt ratio increase of Japanese firms. This result shows that the marginal tax rates significantly affect the debt policies of Japanese firms. Corporate tax reform to produce equal treatment of equity and debt is desirable in Japan.Mon, 28 Nov 2011 22:58:59 GMTThe context effect in the choice of earthquake insurance contracts in Japan
http://hdl.handle.net/10086/19331
Title: The context effect in the choice of earthquake insurance contracts in Japan
<br/>
<br/>Authors: SATO, Motohiro; SAITO, Makoto
<br/>
<br/>In this paper, we investigate the context effect in the choice of public and private earthquake insurance contracts using data from a questionnaire survey completed by an identical set of approximately 2,000 households in 2008 and again in 2009. According to the 2008 survey, the public earthquake insurance (PEI) was not popular among those who felt that the premiums were too high. On the other hand, the 2009 survey demonstrates that the choice of earthquake insurance changed substantially when a hypothetical private earthquake insurance contract, much more expensive than the PEI, was added to a choice menu. In particular, those who had initially felt that PEI was too expensive tended to find it less expensive relative to private insurance, and worth purchasing. A crucial advantage of the above choice architecture is that including additional options helps private insurance companies to develop market activities.Mon, 29 Aug 2011 22:58:59 GMTImpossibilities of Paretian Social Welfare Functions for Infinite Utility Streams with Distributive Equity
http://hdl.handle.net/10086/19290
Title: Impossibilities of Paretian Social Welfare Functions for Infinite Utility Streams with Distributive Equity
<br/>
<br/>Authors: Sakamoto, Norihito
<br/>
<br/>This paper examines the logical relationship between distributive equity and efficiency in aggregating infinite utility streams. Our main results show that there exist social welfare functions which satisfy the axioms of Pigou-Dalton Transfer Principle and a weak version of efficiency, but there exists no social welfare function which satisfies all of the distributive equity requirements and Weak Pareto Principle at the same time. Thus, we can prove that no Paretian ranking can satisfy the numerical representability and all of the distributive equity properties in the setting of intertemporal social choice.
<br/>
<br/>Description : This Version: August, 2011Fri, 29 Jul 2011 22:58:59 GMTNo-Envy, Efficiency, and Collective Rationality
http://hdl.handle.net/10086/19289
Title: No-Envy, Efficiency, and Collective Rationality
<br/>
<br/>Authors: Sakamoto, Norihito
<br/>
<br/>We consider the problem of a fair collective choice function (fair CCF) which maps each profile of extended preference orderings into the set of fair social states (the set consists of alternatives which are both Pareto efficient and envy-free) when such a set exists. Our main objective is to examine compatibility of fair social choices with collective rationality. We formulate desirable properties of collective rationality, and look for CCFs satisfying them. Next, we show that there is no CCF that satisfies most of the choice-consistency properties and a simple concept of fairness simultaneously. Moreover, we reveal that there exists no collective choice function that selects efficient and envy-free states cannot be rationalized by a social preference relation.
<br/>
<br/>Description : This Version: August, 2011Fri, 29 Jul 2011 22:58:59 GMTDistributions of Quadratic Functionals of the Fractional Brownian Motion Based on a Martingale Approximation
http://hdl.handle.net/10086/19243
Title: Distributions of Quadratic Functionals of the Fractional Brownian Motion Based on a Martingale Approximation
<br/>
<br/>Authors: Tanaka, Katsuto
<br/>
<br/>We discuss some computational problems associated with distributions of statistics arising from the fractional Brownian motion (fBm). In particular, we deal with (ratios of) its quadratic functionals. While it is easy in principle to deal with the standard Bm, the fBm is difficult to analyze because of its non-semimartingale nature. Here we suggest how to derive and compute the distributions of such functionals by using a martingale approximation. For this purpose we employ the Fredholm theory concerning the integral equations, illustrating how to compute the characteristic function via the Fredholm determinant. We also apply the present methodology to compute the fractional unit root distribution, and demonstrate some interesting moment properties.Sun, 29 May 2011 22:58:59 GMTDistributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process
http://hdl.handle.net/10086/19244
Title: Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process
<br/>
<br/>Authors: Tanaka, Katsuto
<br/>
<br/>We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process driven by the fractional Brownian motion (fBm). In particular, we are concerned with the estimation of the drift parameter, assuming that the Hurst parameter H is known and is in [1/2, 1). Under this setting we compute the distributions of the maximum likelihood estimator (MLE) and the minimum contrast estimator (MCE) for the drift parameter, and explore their distributional properties by paying attention to the influence of H and the sampling span M. We shall also derive the asymptotic distributions of the two estimators as M becomes large. We further deal with the ordinary least squares estimator (OLSE) and examine the asymptotic relative efficiency. It is shown that the MCE is asymptotically efficient, while the OLSE is inefficient. We also consider the unit root testing problem in the fO-U process and compute the power of the tests based on the MLE and MCE.Fri, 29 Jul 2011 22:58:59 GMTLinear Nonstationary Models : A Review of the Work of Professor P.C.B. Phillips
http://hdl.handle.net/10086/19242
Title: Linear Nonstationary Models : A Review of the Work of Professor P.C.B. Phillips
<br/>
<br/>Authors: Tanaka, Katsuto
<br/>
<br/>The work of Professor P.C.B. Phillips, even if it is focused on the area of linear nonstationary models, is enormous. So it is hard for me to explore the whole of his work in this paper. Therefore I have decided to take up only a few results of his work. The topics chosen here are applications of the martingale approximation and the problem of choosing between stochastic and deterministic trends, which I discuss and, hopefully extend.Tue, 29 Mar 2011 22:58:59 GMTRellich-type Discrete Compactness for Some Discontinuous Galerkin FEM
http://hdl.handle.net/10086/19031
Title: Rellich-type Discrete Compactness for Some Discontinuous Galerkin FEM
<br/>
<br/>Authors: KIKUCHI, Fumio
<br/>
<br/>We deduce discrete compactness of Rellich type for some discontinuous Galerkin finite element methods (DGFEM) including hybrid ones, under fairly general settings on the triangulations and the finite element spaces. We make use of regularity of the solutions to an auxiliary second-order elliptic boundary value problem as well as the error estimates of the associated finite element solutions. The present results can be used for analyzing DGFEM applied to some boundary value and eigenvalue problems, and also to derive the discrete Poincar´e-Friedrichs inequalities.Tue, 29 Mar 2011 22:58:59 GMTSequential Estimation of Dynamic Programming Models with Unobserved Heterogeneity
http://hdl.handle.net/10086/18960
Title: Sequential Estimation of Dynamic Programming Models with Unobserved Heterogeneity
<br/>
<br/>Authors: Kasahara, Hiroyuki; Shimotsu, Katsumi
<br/>
<br/>This paper develops a new computationally attractive procedure for estimating dynamic discrete choice models that is applicable to a wide range of dynamic programming models. The proposed procedure can accommodate unobserved state variables that (i) are neither additively separable nor follow generalized extreme value distribution, (ii) are serially correlated, and (iii) affect the choice set. Our estimation algorithm sequentially updates the parameter estimate and the value function estimate. It builds upon the idea of the iterative estimation algorithm proposed by Aguirregabiria and Mira (2002, 2007) but conducts iteration using the value function mapping rather than the policy iteration mapping. Its implementation is straightforward in terms of computer programming; unlike the Hotz-Miller type estimators, there is no need to reformulate a fixed point mapping in the value function space as that in the space of probability distributions. It is also applicable to estimate models with unobserved heterogeneity. We analyze the convergence property of our sequential algorithm and derive the conditions for its convergence. We develop an approximated procedure which reduces computational cost substantially without deteriorating the convergence rate. We further extend our sequential procedure for estimating dynamic programming models with an equilibrium constraint, which include dynamic game models and dynamic macroeconomic models.Sat, 26 Feb 2011 22:58:59 GMT東京都内の家計向け地震保険加入率・付帯率の決定メカニズムに関するノート
http://hdl.handle.net/10086/18930
Title: 東京都内の家計向け地震保険加入率・付帯率の決定メカニズムに関するノート
<br/>
<br/>Authors: 齊藤, 誠; 顧, 濤
<br/>
<br/>本研究ノートは、市区別平均所得、地震危険度（建物倒壊危険度・火災危険度）を用いて、東京都の市区別の地震保険付帯率・地震保険加入率の決定メカニズムについて分析した。主に以下の結果が得られた。（1）高所得者層ほど地震保険加入率が高い、（2）危険度の異なる地域間でクロス・サブシディゼーション（cross-subsidization）が生じている、（3）地震危険度が高い地域において地震保険加入率が高く、家計の方の災害意識がある程度高い。; In this research note, we analyze the mechanism behind Tokyo residents’ earthquake insurance purchase decision by means of average household income data and earthquake risk indices. The main results are (1) there is a positive relationship between the earthquake insurance participation rate and average household income, (2) cross-subsidization occurs between areas with different earthquake risk index values, and (3) the earthquake insurance participation rate is high in areas where earthquake risk index values are high, implying household earthquake awareness is relatively high.Sat, 29 Jan 2011 22:58:59 GMTPrivately informed parties and policy divergence
http://hdl.handle.net/10086/18814
Title: Privately informed parties and policy divergence
<br/>
<br/>Authors: Kikuchi, Kazuya
<br/>
<br/>This paper presents a Downsian model of political competition in which parties have incomplete but richer information than voters on policy effects. Each party can observe a private signal of the policy effects, while voters cannot. In this setting, voters infer the policy effects from the party platforms. In this political game with private information, we show that there exist weak perfect Bayesian equilibria (WPBEs) at which the parties play different strategies, and thus, announce different platforms even when their signals coincide. This result is in contrast with the conclusion of the Median Voter Theorem in the classical Downsian model. Our equilibrium analysis suggests similarity between the set of WPBEs in this model and the set of uniformly perfect equilibria of Harsanyi and Selten (1988) in the model with completely informed parties which we studied in a previous paper (Kikuchi, 2010).Wed, 29 Dec 2010 22:58:59 GMTThe Walrasian Distribution of Opportunity Sets : An Axiomatic Characterization
http://hdl.handle.net/10086/18783
Title: The Walrasian Distribution of Opportunity Sets : An Axiomatic Characterization
<br/>
<br/>Authors: Tadenuma, Koichi; Xu, Yongsheng
<br/>
<br/>Economic systems generate various distributions of opportunity sets for individuals to choose consumption bundles. This paper presents an axiomatic analysis on distributions of opportunity sets. We introduce several reasonable properties of distributions of opportunity sets, and characterize the distributions of opportunity sets in the market economy by these properties.Sun, 28 Nov 2010 22:58:59 GMTCumulative Effect of Inequality : A Computational Study of Conflict Models
http://hdl.handle.net/10086/18697
Title: Cumulative Effect of Inequality : A Computational Study of Conflict Models
<br/>
<br/>Authors: Takeuchi, Kan
<br/>
<br/>This paper examines the relationship between inequality and economic growth using conflict models and computational simulations. I construct a dynamic sequential conflict model that allows us to observe the cumulative effect of inequalities in wealth and ability in a single framework. The computational simulation illustrates the dynamics of the wealth level of players. The main findings are as follows: (1) if the conflict is not intensive, then the equilibrium that achieves equal distribution of wealth is unique and stable; (2) if the conflict is intensive, the equal distribution equilibrium becomes an unstable saddle point; and furthermore (3) when the productivity of one player is lower than the other, the less productive player exploits the other through the conflict process.Tue, 28 Sep 2010 22:58:59 GMT活断層リスクの社会的認知と活断層帯周辺の地価形成の関係について : 上町断層帯のケース
http://hdl.handle.net/10086/18689
Title: 活断層リスクの社会的認知と活断層帯周辺の地価形成の関係について : 上町断層帯のケース
<br/>
<br/>Authors: 顧, 濤; 中川, 雅之; 齊藤, 誠; 山鹿, 久木
<br/>
<br/>本稿は、大阪府の東部を南北に走る上町断層帯周辺の地価形成に関する実証分析を通じて、活断層リスクがどの程度認知されてきたのかを検証している。上町断層帯の両側2km 圏内において断層近接地ほど地価が有意に低下する傾向は、1995 年1 月に起きた兵庫県南部地震以降に顕著となった。一方、兵庫県南部地震で地震エネルギーが解放された六甲・淡路島断層帯の周辺地価は、兵庫県南部地震の甚大な被害で相対的に低下したものの、災害復旧が進んだ2000 年代半ばまでに従来の水準まで回復した。上町断層帯は、1970年代よりその存在が知られていたが、その危険性が社会的、政策的に認知されたのは兵庫県南部で都市直下型地震が起きてからである。本稿の実証結果は、兵庫県南部地震の勃発で上町活断層帯に対する認識が一変し、経済取引において上町断層帯にかかわる危険性が土地価格に強く反映されるようになったことを示している。; In this paper, we explore how social recognition toward active fault risks is reflected in asset pricing using the officially appraised prices of the land that is situated in the neighborhood of the Uemachi active fault line, lying along a north-south axis in the eastern part of Osaka prefecture. The presence of the Uemachi active fault line has been well recognized among scientific researchers since the 1970s. However, these active fault risks have been registered significantly in land pricing, only since ordinary citizens and even policymakers first realized considerable earthquake risks involved in the land along active fault lines by observing that in January 1995, the earthquake driven by the Rokko-Awaji active fault line had catastrophic damages on the southern part of Hyogo prefecture, which is adjoining at the west of Osaka prefecture.Tue, 28 Sep 2010 22:58:59 GMT東京都における地域危険度ランキングの変化が地価の相対水準に及ぼす非対称的な影響について : 市場データによるプロスペクト理論の検証
http://hdl.handle.net/10086/18688
Title: 東京都における地域危険度ランキングの変化が地価の相対水準に及ぼす非対称的な影響について : 市場データによるプロスペクト理論の検証
<br/>
<br/>Authors: 顧, 濤; 中川, 雅之; 齊藤, 誠; 山鹿, 久木
<br/>
<br/>本実証研究では、東京都において2000 年代の都市再開発が進行した結果、地域危険度に直接影響を与える周辺環境が著しく改善して、地域別の地域危険度ランキングが大きく入れ替わったことを活用して、地域危険度ランキングの変化が地価の相対水準（ 各時点の平均地価からの乖離率） に及ぼす効果について計測している。主要な結論としては、（ 1） 相対的に安全な地域では、地域危険度ランキングが低下して相対地価が上昇する変化率の方が、地域危険度ランキングが上昇して相対地価が下落する変化率よりも大きい、（ 2） 相対的に危険な地域では、地域危険度ランキングが上昇して相対地価が大きく下落する一方、地域危険度ランキングの低下については相対地価がほとんど上昇しない。本稿では、地域危険度ランキングの変化が相対地価に及ぼす非対称的な影響について、プロスペクト理論に沿って、前者の結果をゼロリスク指向として、後者の結果を現状維持バイアスとして解釈するとともに、その政策インプリケーションを考察している。; In this paper, we investigate the asymmetry in effects of changes in regional risk rankings on relative land prices by exploiting the fact that the urban redevelopment proceeding during the 2000s changed dramatically regional risk rankings in the Tokyo metropolitan area. We find that in previously safe areas, a decrease in risk rankings (being even safer) has significantly positive impacts on relative land prices, while in previously dangerous areas, an increase in risk rankings (being even riskier) has substantially negative effects on them. These findings may be interpreted according to some implications of prospect theory; the former as a preference for zero risk and the latter as status-quo effects.Tue, 28 Sep 2010 22:58:59 GMT地震保険加入行動におけるコンテクスト効果について
http://hdl.handle.net/10086/18686
Title: 地震保険加入行動におけるコンテクスト効果について
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<br/>Authors: 佐藤, 主光; 齊藤, 誠
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<br/>本論文は、2008 年と2009 年に約2,000 の世帯に対して継続して実施したアンケート調査に基づきながら、家計の公的・民間地震保険に対する選択行動におけるコンテクスト効果を検証している。2008 年アンケートでは、低所得、低貯蓄、保険料の割高感が公的地震保険への加入を妨げていたことが明らかになった。一方、2009 年アンケートでは、民間地震保険契約を提示メニューに追加することによって、地震保険への選択行動が大きく変化する可能性を検証した。その推計結果によると、①2008 年アンケートに回答したことで公的地震保険制度への理解が高まり公的地震保険への選好を全般的に高めた（バックグラウンド・コンテクスト効果）、②民間地震保険契約をメニューに加えることによって公的地震保険料の割高感が解消し、公的地震保険への加入に消極的であった世帯が選好するようになった（ローカル・コンテクスト効果）、③高所得者層を中心として民間地震保険契約自体への潜在的なニーズも強いことが明らかになった。; In this paper, we investigate the context effect in the choice of public and private earthquake insurance contracts using the questionnaires that were filled out by about two thousand households in 2008 and 2009. According to the 2008 survey, the public earthquake insurance was not popular among those who felt that its premium was too high. On the other hand, the 2009 survey demonstrates that the choice of earthquake insurance contracts changes substantially once a private insurance, much more expensive than the public insurance, is added into the choice menu offered to the survey respondents. In particular, those who felt that the public insurance was too expensive in the 2008 survey found that the public insurance fairly cheap relative to private ones and worth participating in.Tue, 28 Sep 2010 22:58:59 GMTExact Local Whittle Estimation of Fractionally Cointegrated Systems
http://hdl.handle.net/10086/18681
Title: Exact Local Whittle Estimation of Fractionally Cointegrated Systems
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<br/>Authors: Shimotsu, Katsumi
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<br/>Semiparametric estimation of a bivariate fractionally cointegrated system is considered. We propose a two-step procedure that accommodates both (asymptotically) stationary (d<1/2) and nonstationary (d>=1/2) stochastic trend and/or equilibrium error. A tapered version of the local Whittle estimator of Robinson (2008) is used as the first-stage estimator, and the second-stage estimator employs the exact local Whittle approach of Shimotsu and Phillips (2005). The consistency and asymptotic distribution of the two-step estimator are derived. The estimator of the memory parameters has the same Gaussian asymptotic distribution in both the stationary and nonstationary case. The convergence rate and the asymptotic distribution of the estimator of the cointegrating vector are affected by the difference between the memory parameters. Further, the estimator has a Gaussian asymptotic distribution when the difference between the memory parameters is less than 1/2.Sun, 29 Aug 2010 22:58:59 GMT上海における自動車保有台数の推移に関する一考察 : 「ナンバープレート・オークション制」に着目して
http://hdl.handle.net/10086/18670
Title: 上海における自動車保有台数の推移に関する一考察 : 「ナンバープレート・オークション制」に着目して
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<br/>Authors: 傅, 喆
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<br/>In 2009 China passed the United States to become the world's top country in terms of motor vehicle manufacturing and sales. One factor behind automobile industry development is motorization. Motorization is perceived as a synonym for an affluent life, but as one can see from the examples of developed countries, it has brought about grave environmental problems in urban areas. Improving one's understanding of motorization is important for considering how to deal with environmental problems. This paper discusses the trend in motor vehicle ownership by examining its historical changes since reform and opening, using Shanghai as an example. The reasons for choosing Shanghai are that the city has a policy that is unusual (illegal from the government's point of view) for China on personal vehicle ownership, and that the city government maintains a license plate auction system. This paper is primarily an analysis of how this system influences the trend in vehicle ownership. Thanks to the system's effectiveness, Shanghai has kept the level of ownership per 1,000 people at a low level.Sun, 29 Aug 2010 22:58:59 GMTNonparametric Identification of Multivariate Mixtures
http://hdl.handle.net/10086/18669
Title: Nonparametric Identification of Multivariate Mixtures
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<br/>Authors: Kasahara, Hiroyuki; Shimotsu, Katsumi
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<br/>This article analyzes the identifiability of k-variate, M-component finite mixture models in which each component distribution has independent marginals, including models in latent class analysis. Without making parametric assumptions on the component distributions, we investigate how one can identify the number of components and the component distributions from the distribution function of the observed data. We reveal an important link between the number of variables (k), the number of values each variable can take, and the number of identifiable components. A lower bound on the number of components (M) is nonparametrically identifiable if k >= 2, and the maximum identifiable number of components is determined by the number of different values each variable takes. When M is known, the mixing proportions and the component distributions are nonparametrically identified from matrices constructed from the distribution function of the data if (i) k >= 3, (ii) two of k variables take at least M different values, and (iii) these matrices satisfy some rank and eigenvalue conditions. For the unknown M case, we propose an algorithm that possibly identifies M and the component distributions from data. We discuss a condition for nonparametric identi fication and its observable implications. In case M cannot be identified, we use our identification condition to develop a procedure that consistently estimates a lower bound on the number of components by estimating the rank of a matrix constructed from the distribution function of observed variables.Thu, 29 Jul 2010 22:58:59 GMT