Search

February 2010, Revised October 2010, Secondly Revised November 2011, This paper estimates the economic value in the 1980s and 1990s of corporate assets in Japan, including both tangible and intangible assets, based on the neoclassical framework of McGrattan and Prescott (2005). Our estimates use a new micro-data set that comprises the accounting statements of all listed, non-financial companies in Japan. We find that in 1981-86, a period that immediately preceded Japan’s so-called “bubble economy”, our assessed value of corporate productive assets, net of the value of corporate debt, is approximately equal to the actual stock market value of Japanese corporate equity. The finding differs from previous results based on studies of aggregate data sets or based on studies of micro data sets that neglected intangible capital. We also show that the Japanese ratio of the amount of intangible capital stock to the amount of tangible capital stock is comparable to the analogous ratios for the U.S. and U.K.

経済主体が持つ情報に不完全性があることが想定されたマクロ経済モデルに関する研究は2000年代に入り再び活発に行われ，それまでの研究では得ることのなかった多くの知見が蓄積されている．本稿では，その中でも共有知識の不完全性に焦点を当てた理論研究に関して，戦略的補完性や高次の予想などの重要な概念を解説した後，特に金融政策と政府の情報公開の問題を中心に近年の成果を紹介し，また今後の課題について考察する．, In this paper we survey the literature on imperfect common knowledge in macroeconomics. We begin with a simple model that helps to understand key concepts in this literature, such as imperfect common knowledge, strategic complementarity, and higher-order expectations. We then use our model to discuss macroeconomic issues such as the real effect of monetary policy shocks, the welfare effect of public announcement, and the optimal monetary policy.

Employing a new accounting data set we apply the framework of McGrattan and Prescott (2005) to the Japanese economy in order to assess if Japanese stocks were priced correctly in the period after 1980. We find that the stock market tended to undervalue the fundamental value of installed capital. We also provide a new interpretation of Japanese stock market phenomena during the "bubble period" and suggest that from a theoretical perspective, stock prices during the "bubble period" were correctly valued. Changes in the reproducible cost of intangible capital play an important role in our new interpretation.

Employing a new accounting data set we apply the framework of McGrattan and Prescott (2005) to the Japanese economy in order to assess if Japanese stocks were priced correctly in the period after 1980. We find that the stock market tended to undervalue the fundamental value of installed capital. We also provide a new interpretation of Japanese stock market phenomena during the 'bubble period' and suggest that from a theoretical perspective, stock prices during the 'bubble period' were correctly valued. Changes in the reproducible cost of intangible capital play an important role in our new interpretation.

June 2009, We extend the beauty contest framework to allow the disclosure of the authority to be received with an additional noise, the realization of which varies among agents. In this setup, we find that there could be a situation in which an anti-transparency policy maximizes welfare however precise the signal the authority can obtain., 日本学術振興会・科学研究費補助金（学術創成研究費） = JSPS Grant-in-Aid for Creative Scientific Research

This paper constructs an endogenous growth New Keynesian model and considers growth and welfare effect of Taylor-type (operational) monetary policy rules. The Ramsey equilibrium and optimal operational monetary policy rule is also computed. In the calibrated model, the Ramseyoptimal volatility of inflation rate is smaller than that in standard exogenous growth New Keynesian model with physical capital accumulation. Optimal operational monetary policy rule makes nominal interest rate respond strongly to inflation and mutely to real activity, as in standard New Keynesian model. Growth-maximizing operational monetary policy is not identical to optimal operational monetary policy. Welfare cost of responding to real activity is two or three times larger than that of exogenous growth New Keynesian model.