Discussion Paper Series A No.409
Naoki Yoshihara
abstract: In this paper, we consider production economies with possibly unequal production skills and with possibility of technological innovations, in which resource allocations are determined via bargaining among individuals. We define the Nash bargaining solution as the (bargaining) allocation rule whose utility outcomes just result in the Nash bargaining outcomes. A new axion regarding compensation for low skill agents is introduced as a week version of solidarity condition w.r.t. change in production skills. Then, we show that the Nash bargaining solution is characterized as the unique efficient and symmetric bargaining allocation rule satisfying the responsibility and the compensation requirements, without the help of Nash IIA-flavor axiom.
keywords: Nash bargaining solution; Axiomatic characterization; Responsibility and compensation; Solidarity w.r.t. change in production skill; Nash IIA.
JEL classification: D63, D71, I31
creation-date: 2001-03
Discussion Paper Series A No.408
Myung Soo Cha
abstract: By rejecting government's bailout requests, the Bank of Japan knowingly caused a banking panic and cabinet change in 1927. The central bank was neither acting as a political agent, nor trying to deal with moral hazards. The refusal was to sustain monetary contraction aimed at lifiting gold embargo, an objective deemed urgent as Japan had been left as the only major off-gold country. The instability of party politics and organizational growth made the central bank sufficiently autonomous to defy the finance ministry.
JEL classification: E5, N1, N2
creation-date: 2001-02
Discussion Paper Series A No.406
Takashi Kurosaki
abstract: In this paper, the role of crop specialization and diversification in the process of agricultural transformation is empirically investigated for the case of Punjub. The analytical innovation of this paper is that changes in aggregate land productivity are structurally as-sociated with inter-crop, inter-district, and inter-household reallocation of land use. This structual association enables us to characterize the nature of market development and agricultural transformation in a specific region. The empirical part is based on newly-compiled production data Punjab's agriculture for the period c.1900-1995, where a rapid growth of agricultural production has been observed. Quantiative results show that, first, the diversity of a traditional and subsistence agriculture went down at the macro (national), semi-macro (district), and household levels, but at a lower pace at the macro level. This change was associated with crop shifts reflecting comparative advantages. Second, even in a region with the oldest history of commercialization of agriculture in developing countries, two phases were clearly distinguished in the specialization process-- the first phase in which local transactions such as intra-village sales enable each farm to specialize in crops and the secound phase in which inter-regional trading becomes more efficient, inducing a rapid specialization at that level.
JEL classification: O13, O47, Q10
creation-date: 2001-02
Discussion Paper Series A No.405
Alice H. Amsden and Kotaro Suzumura
abstract: Miyohei Shinohara is regarded in Japan as a highly accomlished but unconventional economist, with views on most subjects at odds with those of other major economists. Shinohara talks freely On His Early Formative Influences; On Friedman, Kuznets and Machlup; On the Effect of His Early Work on Japan's Indeustrial Policy; On Long-Term Economic Statistics: On Japan's Bubbles and Reccessions; On Business Cycles and Crises; and On World Hegemony, a Multiple Key Currency and Asia's Growth. Sinohara's stature as an original academic thinker and influential advisor to the government, someone who started his career before the war and participated in most major economic changes, makes this interview particularly informative to later generations.
JEL classification: A11, B41, C82, F14, I31, L52, N15, N45, O14
creation-date: 2001-02
Discussion Paper Series A No.397
Naoki Yoshihara
abstract: In pruoduction economies with skill differences, this paper discusses resource allocation schemes which are consistent with two notions of procedural fairness: labor sovereignty and equal-division-for-equal-work (EDEW)[Kranich(1994)]. The paper first shows that there always exists an efficient EDEW allocation [Kranich(1994)], which is supported as a Nash equilibrium of a game induced by a sharing mechanism which satisfies the above two principles. Second, since there still remains the implementation problem of efficient EDEW allocations, the paper provides a selection mechanism which itself satisfies labor sovereignty and EDEW, and appropriately selects a sharing mechanism which supports an efficient EDEW allocation under any particular economy. As a result, the paper shows that efficient EDEW allocations can be implemented in Nash equilibria via this selection mechanism.
JEL classification: D63, D71, I31
creation-date: 2000-10
Discussion Paper Series A No.396
Naoki Yoshihara
abstract: In production economies with unequal skills, this paper characterizes bargaining solutions by using axioms on allocation rules rather than axioms on classical bargaining solutions. Instead of Consistency of Resource Allocation across Dimension (CONRAD)[Roemer (1986, 1988)], which is essentially equivalent to the axiom of Welrfarism [Roemer (1988)], we introduce a weaker axiom, Consistency w.r.t. Technological Innovations (CTI), so that the non-welfaristic characterizations of bargaining solutions in the production economies are provided. By the characterizations, we can classify the three bargaining solutions (the Nash, the Kalai-Smorodinsky, and the Egalitarian solutions)from the viewpoint of responsibility and compensation discussed by Dwokin (1981, 1981a).
JEL classification: D63, D71, I31
creation-date: 2000-10
Discussion Paper Series A No.390
Hitoshi Tsubouchi
abstract: In an economy with infinitely-lived homogeneous and perfect capital market, gross interest rate is determined in equiliibrium as a reciprocal number of households' subjective discount factor as well known. They consume a constant fraction of their own total human and nonhuman wealth, and their nonhuman wealth does not change. On the other hand if households are heterogeneous, gross interest rate cannot be the same as a reciprocal number of their subjective discount factors any more for most of the households. Then majorities of the households are divided into two types. Those whose subject discount factors are higher than a reciprocal nunmber of gross interest rate, consume more and borrow the possible biggest amount to pay its interests in the long run, while those whose subjective discount factors are lower, consume less, save more for ever and their nonhuman wealth explodes in the long run. But most of households are not like either of them. This paper analyzes how imperfect capital market or liquidity constraints limit this sensitivity and dynamically stabilize asset or debt holding or debt holding of each household. Under imperfect capital market all types of heterogeneous households consume so that their absolute value of assets decreases up to zero according to Euler equation and they consume the same amount as their income after their net asset becomes zero. Equiliburium is proved to exist, where interest rate is determined to clear the capital market. Other findings are as follows. The Ricardian Equivalence may only be applicable for households who hold large assets or debts when tax cut or increase is Implemented so that it is financed while they have still assets or debts and are on their Euler equations. The larger the agency cost is, the more rapidly households decrease their absolute value of assets because of lower saving interest rate and higher borrowing interest rate. In equilibrium interest rate is determined to clear the capital market. Then it depends on the distribution of net asset holdings among households. The result depends on the assumption that income does not fluctuate a lot enough to make Euler equation valid for households without any assets. The sufficient conditions of the solution when income fluctuates are derived, then it is checked if there were any chances of consumption smoothing in Japan for rational households without any assets and found that under reasonable parameter values there had not been many chances in these ten years.
keywords: Imperfect Capital Market, Liquidity Constraints, Heterogeneous Households.
JEL classification: E21, E44, E62
creation-date: 2000-03
Discussion Paper Series A No.389
Reiko Gotoh and Naoki Yoshihara
abstract: This paper discusses and develops "non-welfare" arguments on distributive justice a la J.Rawls and A.K. Sen, and formalizes, in co-operative production economies, "non-welfaristic" distribution rules as game form types of resource allocation schemes. First, it conceptualizes the Needs Principle which the distribution rule taking individuals' needs into account should satisfy. Second, one class of distribution rules which satisfy the Needs Principle, a class of J-based Capability Maximin Rules, is proposed. Third, axiomatic characterizations of the class of J-based Capability Maximin Rules is provided.
JEL classification: D63, D71, I31
creation-date: 2000-02
Discussion Paper Series A No.388
Ryo Kato, Takashi Ui and Tsutomu Watanabe
abstract: We consider a competitive bank loan market model where the marginal costs of managing and monitoring loans are assumed to increase as a borrower's net worth decreases. We show that the responsiveness of equilibrium bank loan rates to changes in interbank money market rates becomes weaker as a borrower's net worth decreases. In other words, monetary policy becomes less effective as a borrower's net worth decreases. We test and confirm this prediction by estimating bank loan rate equations using Japanese data. We find that the effectiveness of expansionary monetary policy in the 1990s has been significantly weakened by the deterioration of borrowers' balance sheets, contributing to the long stagnation of the Japanese economy during the period.
creation-date: 2000-02
Discussion Paper Series A No.387
Naoki Yoshihara
abstract: We define two types of natural mechanisms, quantity and price-quantity types, in convex production economies, and characterize the class of Pareto subsolutions doubly implementable in Nash and strong Nash equilibria by these mechanisms respectively. First, we show that there is a class of Pareto subsolutions doubly implementable by natural quantity mechanisms, as long as prodution sets have smooth boundaries. We characterize the class of Pareto subsolution doubly implementable natural price-quantity mechanisms without assuming differentiability of utility functions. Third, we show that the Walrasian solution is the unique Pareto and fully individually rational solution naturally and doubly implementable in private ownership economies.
keywords: Double Implementation; Natural Mechanisms; Supporting Price Independence; the Walrasian Solution;
JEL classification: C72, D51, D78
creation-date: 2000-02
Discussion Paper Series A No.384
Bruno Dallago
abstract: The paper proposes an institutional-systemic analysis of small and medium-size enterprises (SME) and of local productive systems in Italy and Hungary. The analysis is based on four fundamental variables: the environment, the economic system, policies, and subjective factors. After defining the basic features of the variables and their interrelations, the paper examines the Italian experience as an often-quoted model for transition countries. Then presents the main features of SMEs development of dynamic local in Hungary since transition. A comparison is proposed between the two countries based on the four variables. It is concluded that chances are good in Hungary for a crucial role of SMEs and for the development of dynamic local productive systems. However, proper policies are needed. Very weak chances exist for the development of Italian-style industrial districts.
creation-date: 1999-12
Discussion Paper Series A No.383
Takashi Kurosaki
abstract: This paper investigates the extent to which rural households in developing countries are able to smooth consumption. A basic model of full-information intra-village risk sharing adopted by Townsend (1994) is extended to the case where participating households have different risk and time preferences. A resulting rule of risk allocation is characterized in an intuitive way, clarifying the effects of diverse preferences. Empirical models are applied to the ICRISAT household panel data collected from rural India to test full insurance and to investigate the structure of risk and time preferences. Estimation results strongly support the heterogeneity of risk preferences and their distribution is cosistent with households' social positions in the village. In contrast, only a weak evidence is found for the hypothesis of heterogeneous time preferences.
keywords: insurance, consumption smoothing, risk attitudes, discount rate.
JEL classification: O12, D12, Q12
creation-date: 1999-11
Discussion Paper Series A No.382
Kotaro Suzumura
abstract: Capitalizing on the recent work in social choice theory, we re-examine the foundations of post-Pigovian welfare economics and social choice theory. The structure of the "old" and "new" welfare economics is critically scrutinized, and the culprit of the poverty of welfare economics as well as Arrovian social choice theory is boiled down to their common information basis to be called the welfarist-consequentialism. Alternative avenues one may try out to escape from the poverty of normative economics are identified and examined, which are focused on interpersonal comparisons of welfare levels, preference for opportunities, and procedural fairness of social choice, respectively.
JEL classification: B21, D63, D71
creation-date: 1999-10
Discussion Paper Series A No.379
Reiko Goto, Kotaro Suzumura and Naoki Yoshihara
abstract: Following the viewpoint of pure procedural justice, we analyze a social decision procedure for choosing fair allocation rules in production economics, which is formulated as an extended Arrovian constitution that aggregates each profile of individual social welfare functios into a social social welfare function. The identified allocation rule is characterized by three axioms with Rawlsian flavor. The difference principle is formulated, not in terms of the Rawlsian primary social goods, but in terms of the common capability in the Sen space of functionings. In this sense, our theory synthesizes the Rawlsian theory of justice as fairness and the Sen theory of capability.
JEL classification: D63, D71, I31
creation-date: 1999-01
Discussion Paper Series A No.378
Bruno Dallago
abstract: The economic system includes many assets that are system specific. Economic actors invest in such assets in order to capture the opportunities defined by the system. When systemic change is set in motion by systemic entrepreneurs, uncertainty is created. Together with externalities produced by investment in systemic change and the ensuing alteration of the property right structure, this determines the distribution of transition costs and gains. This produces opportunities for investing valuable resources to weaken third party enforcement and capture gains and avoid costs via transitional redistribution. This situation increases asymmetries, reduces the opportunities for productive outcome, and makes change costly and path dependent. This framework is used to explain the process of change in Central and Eastern Europe.
creation-date: 1999-06
Discussion Paper Series A No.376
K. Watanabe, T. Watanabe and T. Watanabe
abstract: This paper studies the extent to which the impact on consumer spending differs between temporary and permanent, as well as anticipated and unanticipated tax changes. To discriminate between them, we use institutional information such as legal distinction between temporary and permanent tax changes, as well as timing of policy announcement and implementation. We find that the impact of temporary changes is significantly smaller than that of permanent ones. We also find that more than 80 percent of Japanese consumers, including those who distinguish between temporary and permanent tax changes, respond to tax changes not at the timing of policy announcement but at the timing of implementation. We suggest an interpretation that some of them follow a near-rational decision rule.
keywords: Consumption; Permanent income hypothesis; Taxation; Near-rationality
JEL classification: E21, H31
creation-date: 1999-06
Discussion Paper Series A No.375
Kenji Nishizaki and Tsutomu Watanabe
abstract: The Japanese CPI inflation rates have been declining since the first quarter of 1991. The CPI inflation rates recorded negative values on the second and third quarters of 1995 and, since then, have been in the narrow range of zero and one percent. Near-zero inflation rates for about four years is an unprecendented experience not only for Japan but also for industrial countries in the postwar period. The purpose of this paper is provide new evidence about the cost of near-zero inflation using the Japanese data. We are interested in whether the relationship between the rate of inflation and the slackness of the economy, i.e. the short-run Phillips curve , depends on the level of inflation rates. We test a hypothesis that the short-run Phillips curve becomes flatter as the rate of inflation approaches zero. In implementing the test, we pay special attention on how to control for other factors affecting the rate of inflation. First, we use the skewness of the distribution of relative-price changes as a measure of supply shocks, expecting that relative-price changes would work better than import-price inflation during the period of "price-destruction" in the first half of the 1990s when disinflation was accelerated by domestic factors such as deregulation in the Japanese distribution system. Second, to control for changes in the expected rate of inflation, we construct a panel data set consisting of the rate of Phillips curve. To be more concrete, we construct a panel data set consisting of the rate of inflation as wall as the ratio of job offers to applicants, in 46 prefectures, 1971 to 1997. Then we transform the observed two variables by subtracting the appropriate national averages, thereby sweeping out the effects of nationwide shocks including changes in expectations about the future course of monetary policy conducted by a single central bank. Though a series of empirical analysis, we find evidences supporting the hypothesis that the slope of the short-run Phillips curve becomes smaller as the rate of inflation approaches zero. In particular, we find that the estimates slope in the 1990s is smaller than before. This regularity holds even when we control for variables such as supply shocks and expected inflation.
creation-date: 1999-06
Discussion Paper Series A No.372
Takatoshi Ito
abstract: This paper examines the causes for dramatic declines in (gross) exports among Asian countries in 1995-96. Common factors are the overvaluation of the exchange rate, partly due to yen depreciation in 1995-96, declines in export prices, especially for semi-conductors, and simultaneous declines in aggregate demand in the region. The possible long-term decline in the productivity in the region, a transition from high growth to moderate growth, is not likely related to this particular episode.
creation-date: 1999-03
Discussion Paper Series A No.368
Teruo Nakatsuma
abstract: In this paper, we apply a Markov mixture model to capturing complex dynamics in the cross section distribution of per capita income across countries and examining the convergence hypothesis in economic growth. A Markov mixture model is estimated by a Bayesian procedure via the Gibbs sampler. With the Markov mixture model, 120 countries are clustered into several income classes, and effects of this clustering on tests of the convergence hypotheses are examined. The Markov mixture model also gives us the probability of transition from one income class to the other as well as the probability for each country to belong to an income class at each time period. Our study supports convergence across countries within each income class, but reject it if all the 120 countries are treated as one class.
keywords: B convergence, o convergence, Markov mixture model Bayesian estimation, Gibbs sampler.
JEL classification: O41, C11, C15
creation-date: 1999-03
Discussion Paper Series A No.366
Kotaro Suzumura and Yongsheng Xu
abstract: Two features of Arrow's social choice theory are critically scrutinized. The first feature is the welfarist-consequentialism, which not only bases social judgements about right or wrong actions on the assessment of their consequences, but also assesses consequences in terms of people's welfare and nothing else. The second feature is a similarity of people's attitudes towards social outcomes as a possible resolvent of the Arrow impossibility theorem. Two extended frameworks, one consequentialist and the other non-consequentialist, are developed. Both frameworks are shown to admit some interesting resolutions of Arrow's general impossibility theorem, which are rather sharply contrasting with Arrow's own perspective.
JEL classification: D63, D71
creation-date: 1999-03
Discussion Paper Series A No.365
Kotaro Suzumura and Yongsheng Xu
abstract: By allowing for the possibility that individuals recognize the intrinsic value of choice along with the instrumental value thereof, we suppose that individuals express extended preference orderings of the following type: Choosing an outcome x from an opportunity set A is better than choosing an outcome y from an opportunity set B. Within this framework, we identify a consequentialist and a non-consequentialist, who show contrasting attitudes toward outcomes vis-a-vis opportunities. The task of this paper is to characterize these attitudes in terms of some axioms. The companion paper explores the implications of these concepts in the context of social choice.
JEL classification: D63,D71
creation-date: 1999-03
Discussion Paper Series A No.363
Zhong Maochu
abstract: In this thesis, the aggregate production functions of an economy of at a full demand and at without a full demand are constructed based on the analysis of the relations between aggregate production, aggregate demand and capital stock. The aggregate demand function of an economy is constructed based on the use of expected-income. Moreover, inflation and depression of economic activities are defined base on the advances of "economic support capability curve" and "economic drived curve". Using the models, the activities of an economy can be divided to 5 kinds.: normal, inflation, stagflation, unemployment, and depression. Following, 3 kinds of growth forms are inferenced using the above mentioned production functions. Final, a real economy (Chinese economy 1991-1998) is analyzed using the macroeconomic models.
keywords: aggregate production function, aggregate demand function, economic support curve, economic activity
creation-date: 1999-02
Discussion Paper Series A No.358
Takashi Kurosaki and Marcel Fafchamps
abstract: This paper tests the efficiency of insurance markets in the Pakistan Punjab by examining how crop choices are affected by the presence of price and yield risk. We estimate reduced-form and structural models of crop choices. Aithough we cannot reject the hypothesis that village members efficiently share risk among themselves, production choices are shown to depend on risk. Existing risk sharing and self-insurance mechanisms thus imperfectly protect Punjab farmers against village-level shocks. Results also indicate that households respond to consumption and input price risk, thereby suggesting that empirical and theoretical work on risk should avoid putting an exclusive emphasis on yield and output price risk.
keywords: risk; agricultural development; household models; insurance markets; structural estimation.
JEL classification: Q12, Q12
creation-date: 1998-11
Discussion Paper Series A No.356
Takatoshi Ito and Yuri Nagataki Sasaki
abstract: This paper examines how the risk-based capital standards, the so-called Basle Accord, influenced 87 major Japanese major Japanese banks' behavior between 1990 and 1993. As the Japanese stock prices fell, banks' latent capital gains, which is part of tier II capital became smaller. Empirical findings are consistent with a view that banks with lower capital ratios tended to issue more subordinated debts (tier II) and to reduce lending (risk assets).
keywords: Japanese banks, capital standard, BIS
JEL classification: G18, G21, G28
creation-date: 1998-09
Discussion Paper Series A No.353
Kaoru Hosono
abstract: Using Japanese firm data in the machinery industry over 1987 through 1996, we found that the ratio of bank loan to debt is negatively related to R&D expenditure, profitability and size. We also found that the close relationship with the main bank, measured by its loan share and the transfer of directors, increases bank loan and decreases R&D. The negative relationship between R&D and bank loan suggests that the problem of information disclosure via capital market, as stressed by Yosha (1995) and others, is not relevant for the listed machinery companies in Japan. Our results do not support the theories, either, which focus only on the positive role of bank loan in reducing the agency costs of debt. Instead, they suggest the relevancy of the theory that stresses the costs of bank monitoring and their effects on the borrower's incentive, such as Diamond (1991) and Rajan (1992). Our reslts suggest that the main banks have not exacerbated the banks' rent extraction, but rather either alleviated them or reduced the monitoring costs.
creation-date: 1998-07
Discussion Paper Series A No.350
Takeaki Kariya and Hiroshi Kurata
abstract: In this paper, first we make a maximal extension of the well known gauss-Markov Theorem (GMT) in its linear framework. In particular, the maximal class of distributions of error term for which teh GMT holds is derived.Second, we establish a nonlinear version of the maximal GMT and describe some interesting families of distributions of error term for which the nonlinear GMT holds.
keywords: Gauss-Markov Theorem, Nonlinear Gauss-Markov Theorem, equivariant estimator in regression, elliptically symmetric distribution.
creation-date: 1998-04
Discussion Paper Series A No.347
Graham Elliott and Takatoshi Ito
abstract: This paper examines the efficiency of the forward yan/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural trading rule.We find that although the survey data are not the best predictor of future spot rates in terms of typical mean square forecast error criteria, the survey data can be used to obtain on average positive profits. However, these profits generated by a trading rule using regression forecasts. The profits are found to be correlated with risk type variables but not other available information.
keywords: Foreign exchange rate; Expectations; Forward rate; and Efficient markets.
JEL classification: F31, G14, F15
creation-date: 1998-03
Discussion Paper Series A No.345
Hiroshi Tsuda and Takeaki Kariya
abstract: Kariya and Tsuda (1994) proposed the TDM (Time Dependent Markov) bond pricing model and showed that it is of great in-sample performance. In less than 0.5 yen in each month over 12 years, implying that the error rate is less than 0.5%. In addition, Kariya and Tsuda (1996) demonstrated the significant predictive power of the model for indeividual bond prices of JG bonds. In this pper, the TDM model is applied to US-T (Treasury) bond and note data, and the in-sample performance for the US T-bonds is shown to be greater than that of JG bonds. Further the predictive performance of individual prices and returns is as good as that of JG bonds. Hence for the US T-bonds, the TDM model will be a very useful model for construction of bond portfolios and bond trading in practice.
keywords: Randam discount function, time-dependent Markov model for pricing individual US T-bonds
creation-date: 1998-02
Discussion Paper Series A No.341
Suzumura Kotaro
abstract: This paper examines the logical performance of new welfare economics from the viewpoint of social choice theory.We show that the logical completeness of its research program hinges squarely on the possibility that, for each Paretian Bergson-Samuelson social welfare ordering R, the social choice set from any opportunity set can be recovered by finding the maximal set for each and every partial preference relation that is both a sub-relation of R and an extension of the Pareto quasiordering, and taking the intersection of these maximal sets. A neccessary and sufficient condition for this recoverability property is identified.
JEL classification: B21, D63, D71
creation-date: 1998-01
Discussion Paper Series A No.338
Kotaro Suzumura
abstract: This paper reflects on consequentialism which underlies the traditional normative economics. It asserts that the informatioanl basis of normative economics should be expanded so that the intrinsic value of social choice procedures should be properly taken into account along with the value of their consequences. Three examples--the problem of fair cake division, the role of competition in the promotion of economic welfare, and bilateral trade restrictions--are invoked to pinpoint the services rendered by procedural considerations in making social welfare judgements. The Pareto libertarian paradox is also re-examined within the extended framework incorporating procedural considerations along with consequential considerations.
JEL classification: D63, D71, F12, L13
creation-date: 1997-07
Discussion Paper Series A No.320
Shi-ichi Fukuda
abstract: This paper investigates the effects of inflation on the equilibrium growth in the cash-in-advance model when a social technology can display increasing returns-to-scale in capital and labor. In the analysis, we first consider the economy where there exists a constant steady state equilibrium. To the extent that a social technology displays decreasing returns-to-scale in capital, inflation has a negative effect on the steady-state capital stock, labor input, and output. However, when a social technology displays increasing returns-to scale in capital, inflation increases the steady-state capital stock and output, although it decreases the steady-state labor input. In the second part of this paper, we examine the economy where per capita output grows endogenously. When a social technology displays decreasing returns-to-scale in labor, inflation has a negative effect on a unique balanced growth. However, when a social technology displays some significant increasing returns-to-scale in labor, the ecoonmy can have two balanced growth paths with a high and low growth rates. In particular, if the economy is on the balanced growth paths with a low growth rate, inflation increases the growth rate of capital stock and the level of labor input.
creation-date: 1996-03
Discussion Paper Series A No.312
Tsutomu Miyagawa
abstract: This paper surveys the role of technological developments in Japanese environmental problems. After summarizing the brief history of Japanese pollution problems, we examine effects of regulations and investment for pollution control. In Japanese case, pollution control regulations promoted investment which embodied new pollution control technology. As for exhaust desulfurization technology, Japanese companies improved imported technology and diffused desufurization facilities which contributed to decrease SOx emissions. We also focus on energy saving technology which control CO2 emissions Japanese energy saving technology such as continuous casting process was developed and diffused in the late 1970s and the early 1980s due to the oil shock. However, more energy saving technology is required for fear of stopping the global warming. Several techological developments in supply side in electric utility are in progress.
creation-date: 1995-07
Discussion Paper Series A No.310
Rene Belderbos, Clive Jie a Joen and Leo Sleuwaegen
abstract: Cascading contingent protection may occur when protection of an upstream industry transfers injury to the downstream industry and increases the likelihood that this industry asks and receives protection. This paper shows that the political economy of cascading contingent protection can be represented by a sequential bidding game in expected payoffs where the upstream industry acts as a Stackelberg leader. A simple model of competition in, and vertical linkage between, an upstream and downstream industry is developed to examine in which type of industries cascading contingent protection is most likely to occur. Analysis of welfare effects shows that the circumstances which make cascading protection more likely to occur, also make it more likely that it has serious negative welfare consequences.
keywords: Protection, Market Structure, Antidumping
JEL classification: F13, L13
creation-date: 1995-06
Discussion Paper Series A No.309
Kenji Kamizono and Takeaki Kariya
abstract: In this paper, an empirical implementation of the HJM model is attempted with an application to Japanese interest futures and the self-consistency is tested. Our empirical results show tha the model we specify can be used to price contigent claims on Bond futures traded at the Tokyo International Financial Futures Exchange.
creation-date: 1995-04
Discussion Paper Series A No.307
Shin-ichi Fukuda
abstract: This paper investigates why invoice rations of the Japanese yen are relatively low for Japan's foreign trades. The first part of the paper investigates the determinants of invoice currencies in Japan's exports with East Asian countries. Focusing on the heavy reliance of Japan's exports on the United States, we show that "pricing-to-market"(PTM) behavior of Japanese exporters may explain the choice of invoice currency by Japanese exports well. The second part of the paper considers other structural determinants of the invoice currencies. In the analysis, we focus on invoice currency rations in Japan's imports and on the relation between invoice ratios and the trade dependency. We show that low yen-invoiced rations are mainly caused by the large shares of oil and raw materials in Japan's imports. We also show that recent changes in Japan's invoice currency ratios are due to the changing trade dependency to the United States.
creation-date: 1995-03
Discussion Paper Series A No.304
Shin-ichi Fukuda
abstract: The purpose of this paper is to investigate the optimal rate of money supply growth when a moral hazard problem in an insurance market makes the risk diversification incomplete. The analysis is based on a simple overlapping generations model of fiat money with idiosyncratic uncertainty. Without a moral hazard problem, no inflationary policy is desirable even if the insurance contract is incomplete. However, when a possibility of the insured to shirk makes the insurance contract incomplete, some moderate inflation policy may enhance each individual's utility, althourh hyperinflation is still harmful. The reason is that inflation which reduces real balances is more costly for the shirking individual than the non-shirking individual. Thus, to the extent that insurance companies attempt to induce their customers not to shirk, increasing the inflation rate can increase the amount of insurance and reduce idiosyncratic risks in the economy.
JEL classification: E31, E52, D82
creation-date: 1995-01
Discussion Paper Series A No.300
Kyoji Fukao, Toshiyasu Izawa, Morio Kuninori and Toru Nakakita
abstract: This paper studies determinants of the decision to invest abroad. Among them, we follow the current mainstream theory of foreign direct investment so as to emphasize the stock of technological knowledge. We explicitly solve the optimal geographical composition(i.e. domestic vs. abroad) of the total production of companies. The analysis suggests that the relationship between technological knowlege and overseas production depends on relative prices of factors of production at home and abroad and on the elasticity of substitution between them. It is especially shown that under certain realistic assumptions, companies with a larger stock of technological knowlege have a lower proportion of production in developing countries, but have a higher proportion developed countries exclusive of Japan. We test this hypothesis using corporate data of Japan's electric machinery industry. The empirical results are consistent with the theory. Besides the stock of technological knowledge, the paper investigates the explanatory power of other factors, such as company size, advertising intensity, and horizontal keiretsu.
creation-date: 1994-11
Discussion Paper Series A No.298
Hiroshi Fujiki and Yukinobu Kitamura
abstract: A central concern in the field of international finance is always capital mobility. Feldstein-Horioka(1980) propose a simple test for international capital mobility and obtain a sign of very low capital mobility. Their interesting result is often described as the Feldstein-Horioka paradox. This paper re-examines their study using panel data analysis. Following the standard model selection procedure, preferred estimators of the elasticity of domestic investment-GDP ratio on domestic saving-GDP ratio are always significantly lower than one. In the light of our results, the Feldstein-Horioka paradox turns out to be not so robust because of cross country heterogeneities.
creation-date: 1994-10
Discussion Paper Series A No.297
Yoshihiko Konno, Takeaki Kariya and William E. Strawderman
abstract: This paper extensively investigates the theory of estimating the regression coefficient matrix for the normal GNANOVA model. We explicitly construct estimators which improve the maximum likehood estimator under an invariant scalar loss function. These include the double shrinkage estimators and those shirinking the maximum likelihood estimators diretly. The underlying method is the decomposition of the problem into the conditional subproblems due to Kariya and Konnno(1994)and application of integration-by part techiniqe to derive an unbiased estimate of the risk for certain class of invariant estimators.
creation-date: 1994-10
Discussion Paper Series A No.296
Shin-ichi Fukuda
abstract: Introducing informational asymmetry, this paper shows that endogeneous stock price fluctuations may make the stock price highly volatile in a present value model. In the analysis, we assume that the firm's productivity is stochastic and can be good type or bad type. We also assume that the firm puts up its asset, net worth, as collateral. Under these circumstances, the informational asymmetry may introduce agency costs that bad firms invest the funds in a negative present value project. In additon, the self-selection mechanism rules out bad firms if and only if the stock price is expected to be high. Consenquently, the stock price boom is self-fulfilled when the stock price is expected to be high, while the slump is self-fulfilled when it is expected to be low. In particular, stationary sunspot equilibria become more outcome in a present value model of stock price.
creation-date: 1994-08
Discussion Paper Series A No.292
Takeaki Kariya and Yoshihiko Konno
abstract: In the GMANOVA model or equivalentry growth curve model, shrinkage effects on the MLE are considered under an invariant risk matrix. We first study the fundamental structure of the problem through which we decompose the estimation problem into some conditional problems and then demonstrate some classes of double shrinkage minimax estimators which uniformly dominate the MLE in the matrix risk.
creation-date: 1994-05
Discussion Paper Series A No.290
Hiroshi Kurata and Takeaki Kariya
abstract: In a general normal regression model, this paper first derives the LUB(least upper bound)for the covariance matrix of a GLSE relative to the applied to the (unrestricted) Zellner estimator in the N-equation SUR model and to the GLSE in a heteroscedastic model.
creation-date: 1994-03
Discussion Paper Series A No.289
Shin-ichi Fukuda and Ji Cong
abstract: This paper investigates why invoice ratios of the Japanese yen are relatively low for Japan's exports. Given "pricing-to-market"(PTM) behavior of Japanese exporters, we show that the demand conditions in the markets can explain the choice of invoice currency by Japanese exporters. In particular, our empirical evidence explains why yen-denominated invoice rations of TVs, VCRs, and automobiles are so low in exporting to the United States but are very high in exporting to the East Asian countries.
JEL classification: F31, F36
creation-date: 1994-03
Discussion Paper Series A No.288
Shin-ichi Fukuda and Nobusumi Sagara
abstract: The purpose of this paper is to investigate how the existence of near-rational agents will affect the existence of sunspots in a simple overlapping generations model of fiat money. In the model, near-rational agents are irrational in the sense that they do not literally maximize all the time. However, these agents are close to rational agents in that the utility difference between rational and near-rational agents is second order for first-order price fluctuations. We show that when these near-rational agents exist, the model may have stationary sunspot equilibria even if the degree of risk aversion is very small. In addition, economic fluctuations under sunspot equilibria cause first order consequences by redistribution intergeneratonal welfare.
creation-date: 1994-02
Discussion Paper Series A No.287
James B. Rebitzer and Tsuyoshi Tsuru
abstract: The United States' labor force is rapidly becoming a nonunion labor force. Outside of the United States, many other OECD countries have also experienced declines in union density. During the 1970's and 1980's, the country that experienced the most dramatic union decline after the United States is Japan. In this paper, we consider wherther explanations of union decline developed in the United States can account for the process of union decline in Japan. In particular, we use data from a newly completed Japan Institute of Labor(JIL) survey to assess whether rising employer resistance offers a plausible explanation for Japanese union decline. We find that Japanese unions do share with their counterparts in the United States an apparent inability to organize new firms. Relative to the United States, however, the difference in wages and benefits between union and nonunion workers is very small. Non-union workers (particularly males)are interested in unions to the extent that they improve wages and working conditions. Thus the absence of union wage and benefit differentials severely limits the ability of unions to attract new members. Evidence also suggests that employers have reduced their level of resistance to unions during the recent period of rapid union decline. Japanese unions do dramatically improve the ability of employees to 'voice' dissatisfaction on workplace issues. However this 'voice' effect does not appear to reduce stated exit propensities.
creation-date: 1994-02
Discussion Paper Series A No.286
Shin-ichi Fukuda and Hideki Toya
abstract: The purpose of this paper is to investigate whether the difference in human capital accumulation can explain the non-convergent feature in East Asian countries. The paper first presents the cross-country evidence that growth rates in East Asian countries had little correlation with the starting level of income for the last few decades. In addition, the paper shows that this non-convergent result does not change even if the regressions allow the difference in school-enrollment rates. Nothing that gorvernment expenditure on education can improve the quality of education, the paper then demonstrates that government expenditure on education played a special role for East Asian miraculous economic growth for the last few decades. The paper also shows that exports played a special role in explaining the convergence hypothesis in East Asian countries.
creation-date: 1994-02
Discussion Paper Series A No.283
Takeaki Kariya and Hiroshi Tsuda
abstract: In this paper, first the cross-sectional bond pricing model for individual bonds Kariya (1993) proposed by formulating stochastic discount function (term structure) is applied to Japanese T-bond data and it is observed that the model performs very well as it stands. Second, we generalize the cross-sectional model into two types of time-dependent Markov models (TDM's ) with the term structure of discount rates of each bond at it being dependent on the one at it-1, and apply it to the same data to find significantly improved results over those of the cross-sectional model. In fact, almost all the differences between actual prices and model values are less than 0.5 yen in each month over 12 years. On the basis of our analysis, we propose a TDM as a model for T-bond trading.
creation-date: 1993-12
Discussion Paper Series A No.282
Shin-ichi Fukuda
abstract: This paper investigates how some intrinsic uncertainty will affect the existence of sunspot equilibria and deterministic cycles in a simple overlapping generations model. In the model, there exists an intrinsic uncertainty under which each individual independently has a small probability of losing comsumption goods. Because of the law of large numbers, this intrinsic unvertainty causes no fundamental macroeconomic fluctuation. However, under some parameters, it can change the dynamic stability. Thus, the model may have both stationary sunspot equilibria and deterministic cycles even if the degree of relative risk aversion is small. In particular, these sunspot equilibria and deterministic cycles can exist even if the probability of loss is negligible.
JEL classification: E32, E40
creation-date: 1993-11
Discussion Paper Series A No.281
Kotaro Suzumura and Akira Goto
abstract: This paper Crystallizes some salient features of collaborative R&D among firms competing in the product market with special reference to the Japanese experience. To begin with, we present a succinct overview of R&D collaborations among Japanese firms, capitalizing on the 1982 Fair Trade Commission of Japan (JFTC) Srvey. Then we briefly examine the theoretical properties of collaborative R&D with special emphasis, firstly, on its welfare performance vis-a-vis competitive R&D and, secondly, on the issue of sustainability of this organizational device thorough private incentives. In so doing, the crucial role of information sharing among member firms and R&D spillovers are clarified. Lastly, the policy implications of R&D collaborations with special reference to industrial and competition policies are examined. In this context, the Antimonopoly Act Guidelines Concerning Joint Research and Development, recently published by JFTC, are briefly commented on.
JEL classification: L52, O32, O38
creation-date: 1993-09
Discussion Paper Series A No.278
Shin-ichi Fukuda and Ji Cong
abstract: This paper investigates how the adverse selection effects of net worth will change the welfare effects of demand and supply shocks. In the economy, there exists asymmetric information in the financial market, under which an increase in the value of net worth may rule out good type of firms from the financial market. We show that in this type of economy, expansional shocks, which usually improves social welfare, may cause the crash of land price and deteriorate economic welfare. We also show that expansional government policies are not necessarily desirable and that the asset price (i.e., the price of land) canbe a good indicator for policymakings.
creation-date: 1993-08
Discussion Paper Series A No.272
Kotaro Suzumura and Jota Ishikawa
abstract: The purpose of this paper is to examine the welfare implications of voluntary trade restraints in the context of duopoly with product differentiation. It is shown that, irrespective of whether firms compete in quantities or prices, a voluntary export restraint (VER) set at the free trade equilibrium level of foreign exports lowers domestic welfare if and only if it induces the foreign firm to comply voluntarily with the VER. We also examine the welfare implications of a voluntary import expansion (VIE), which is the import side counterpart of a VER. It is shown that the imposition of a VIE is at least as harmful as the imposition of a VER from the point of view of social welfare.
JEL classification: F12,F13
creation-date: 1993-03
Discussion Paper Series A No.270
Shin-ichi Fukuda
abstract: This paper empirically investigates the determinants of capital controls and their effects on trade balance during the period of capital market liberalization in Japan. As is well known, the capiral market in Japan was gradually liberalized in the 1970s. By paying the special attention to the role of Japan's Multinational Trading Companies, the paper analyzes how different effects capital controls had on trade balance in the 1970s. In the analysis, we measure the degree of capital liberalization by the deviation from the covered interest rate parity condition. If the capital market is perfectly liberalized, this covered interest rate parity condition must always hold. In fact, after December 1980, the deviation from the covered interest rate parity condition became negligible in Japan. However, the deviation was very significant for several periods in the 1970s. Thus, we can approximately measure the degree of capital control in Japan by using this deviation in the 1970s. In the paper, we first reconfirm the previous proposition that the degree of capital control in Japan was determined by the excess deficit and surplus in current account in the 1970s. We then empirically show that Japan's Multinational Trading Companies played the special role in changing the distributional pattern of Japanese internationl trade under capital controls.
creation-date: 1993-03
Discussion Paper Series A No.266
Masaaki Kuboniwa
abstract: This paper develops further comparative analysis of the structure of the Russian economy, the main successor of the former Soviet Union. Clarifying the features of the Russian input-output accountings, it presents an impact and skyline analysis of the economy and further shows that a description of the industrial output structures heavily relies on the trearment of subsidies and the price structures. Computing Russian world price and hybrid price indexes, it also discusses a key problem confronting the economy-the conflict inherent in the need to reform domestic prices to more closely reflect world price levels, while at the same time to reform domestic prices to more closely reflect scarcity of resources and to drastically reduce subsidies.
creation-date: 1993-01
Discussion Paper Series A No.258
Shin-ichi Fukuda
abstract: This paper investigates effects of money growth on the non-convergent dynamic paths in a model of money in the utility function with liquidity-in-advance. We show that the effects generally depend on the form of utility function of money. That is, when the relative risk aversion is decreasing in money, a period-doubling bifurcation is always associated with a high money supply growth. However, when the relative risk aversion is increasing in money, it is ambiguous whether it is associated with a high or low money supply growth. The paper also investigates the same problem in a "shopping costs" model. We show that the results essentially depend on the form of shopping cost function.
creation-date: 1992-05
Discussion Paper Series A No.257
Takatoshi Ito
abstract: The object of this paper is two-fold. First, the paper evalutes U.S. pressure for economic liberalization in Japan. Second, its implications for economic and political aspects of the East Asian regional future will be discussed. I will argue that there have been three types of the U.S. pressure on Japan: (i) The traditional type with VERs and other export-limiting measures on Japan; (ii) The SII/MOSS -type in that market access of Japan, which improves the Japanese consumers' welfare, is discussed; and (iii) The result-oriented type where unilateral U.S. gains are sought. The pressure from the United States will not turn Japan to the Asian countories for now. Japan still lacks a market to absorb Asian goods or an idea and principle to lead the Asian countries. However, if EC and NAFTA becomes a reality, the Asian bloc may be formed as a reaction to them.
creation-date: 1992-04
Discussion Paper Series A No.256
Juro Teranishi
abstract: Japan is the only major country which has successfully achieved secondary import substitution policy in this century. This paper tries to clarify the reasons for this success as well as the significant cost associated with the policy. Japan maneged to implement import substitution owing to fortuitous increases in foreign reserves, the liberal economic atmosphere of the early 20th century, the absence of labor protection policy, and the relatively weak political power of landlord. It seems to have paid a considerable cost, however, in overall reduction of the macro utility level. This was a consequence of the deepening of the dual structure of the economy during the fifty years of import substitution.
creation-date: 1992-04
Discussion Paper Series A No.255
Kyoji Fukao and Masayuki Otaki
abstract: Characteristics of business cycles are quite different across developed countries. As Gordon (1982) pointed out, in the United States real wages and the adjustment of working hours are less flexible than in Britain and Japan. Using a business cycle model with a microeconomic foundation, this paper provides an economic explanation of these differences across the countries. The cost of on-the-job training plays a crucial role. Since the training is a sunk cost, a worker seldom quits his job after participating such training. Hence, the training cost, sometime causes hysteresis. In an economy with high training cost, variances of employment and output are relatively small. In the case of high training cost, exogenous shocks tend to be absorbed by the adjustment of working hours and real wages instead of the emplyoment level. Since a stable employment level and flexible real wages are influences by high traing cost, these characterisitics of time series do not necessarily indicate higher efficiency of the economy. Our model also explains some important characteristics of actual macroeconomic time series, which have not been given enough consideration in existing real business cycle models such as those of Kydland and Prescott (1982) and Hansen (1985). Specifically, in our model the correlation between the employment level and output is low in an economy with high training cost. In addition, in our model labor hoarding phenomena occur and labor productivity is negatively correlated with past output, as is the case in actual economies.
creation-date: 1992-03
Discussion Paper Series A No.253
Wen-Ling Lin, Robert F. Engle and Takatoshi Ito
abstract: This paper investigates empirically how returns and volatilities correlated between Tokyo and New York stock indices (Nikkei 225 and s&p500). First, intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight hours, while New York daytime hours overlap with Tokyo overnight hours. We find that in general Tokyo (New York) daytime returns are significantly correlated with New York (Tokyo) overnight returns. This suggests that information revealed during the trading hours of one market has a global impact on the returns of the other market. One exception is that after the crash, the Tokyo overnight returns are not significantly affected by New York daytime returns. A signal extraction model with GARCH processes, with intradaily data, is proposed to determine a global factor from daytime returns. This is problem of investors for pricing the opening price of a domestic market conditional on the foreign daytime returns. In addition, lagged returns and volatilities are investigated. Except for a lagged return spillover from New York to Tokyo for the period after the crash, there are no significant lagged spillovers in returns and volatilities are detected.
creation-date: 1992-02
Discussion Paper Series A No.250
Prasanta K. Pattanaik and Kotaro Suzumura
abstract: The purpose of this paper is to propose an ectended conceptual framework for analysing social choice and welfare. Instead of aggeregating individual preference orderings over the set X of conventionally defined social states into a social preference ordering over X, we propose to work with individual preference orderings over the set X × G of extended social states, where G denotes the set of all conceivable rights-structure. Each rights-structure G ∈ G is a specification of a game form GA = {N, S1, ..., Si, ..., Sn, g} for each issue A ∈ X, where N is the set of all individuals Si is the set of all admissible strategies of i ∈ N, g is the outcome function, and X is the set of all non-empty finits subsets of X. It is hoped that this extended framework for social choice and welfare analysis helps us clarify several issues related to the concept of individual rights and the consistency social choice.
creation-date: 1992-01
Discussion Paper Series A No.245
Kotaro Suzumura and Noriyuki Yanagawa
abstract: The positive and normative effects of cooperative R&D are examined vis-a-vis non-cooperative R&D, socially second-best R&D in terms of a two-stage model of oligopolisiic competition with product differetiation. It is shown that both non-cooperative and cooperative R&D levels are socially insufficient at the margin in terms of first-best, as well as second-best, criterion if firms compete in terms of prices, irrespective of the number of firms and the extent of R&D spillovers.
creation-date: 1991-11
Discussion Paper Series A No.242
Masahiro Okuno-Fujiwara and Kotaro Suzumura
abstract: Recently, Mankiw-Winston [1986] and Suzumura-Kiyono [1987] have shown that socially excessive firm entry occurs in unregulated oligopoly. This paper extends this "excess entry" results by looking into strategic aspects of cost-reducing R&D investment that creates incentives towards socially excessive investments. In the first stage, firms decide whether or not to enter the market. In the second stage, firms make a commitment to cost-reducing R&D investment. In the thrid stage, firms compete in output quantities. It is shown that the excess entry holds even in the presence of strategic commtiments.
creation-date: 1991-07
Discussion Paper Series A No.241
Kyoji Fukao and Masayuki Otaki
abstract: Characteristics of business cycles are quite different across developed countries. As Gordon (1982) pointed out, in the United States real wages and the adjustment of working hours are less flexible than in Britain and Japan. Using a business cycle model with microeconomic foundation, this paper provides an economic explanation of these differences across the countries. Cost of on-the-job training plays a crucial role. Since the cost is sunk, once a worker participates, he seldom quits his job. Hence, the training cost causes hysteresis phenomena. In an economy with high training cost, variances of employment and output are relatively small. Instead of the employment level, working hours per employed worker and real wages mainly absorb exogenous shocks. Since a stable employment level and flexible real wages are caused by the high training cost, these characteristics of time series do not necessarily indicate higher efficiency of the economy. Our model can explain some important characters of actual macroeconomic time series, which existing real business cycles models such as those of Kydland and Prescott (1982) and Hansen (1985)cannot explain. Firstly, in our model the correlation between the employment level and output is low in an economy with high training cost. Secondly, labor hoarding phenomena occur in our model and labor productivity is negatively correlated with past output as it is the case in actual economies.
creation-date: 1991-04
Discussion Paper Series A No.238
Wulf Gaerther, Prasanta K. Pattanaik and Kotaro Suzumura
abstract: Since Sen's contribution on the impossibility of a Paretian liberal, his formulation of libertarian rights has been under debate. In this paper, we highlight some important strands in this debate, and achieve some conceptual clarification of the different and often incompatible views of individual rights. We demonstrate in terms of a counter-example and general reasoning that Sen's concept can, more often than not, be inconsistent with our intuitive view of rights and fails to capture important categories of rights. An alternative formulation in terms of game form is introduced, and its relative merit vis-a-vis Sen's formulation is discussed.
creation-date: 1991-03
Discussion Paper Series A No.233
Thomas A. Barthold and Takatoshi Ito
abstract: The objective of this paper is two-fold. First, we describe and compare the gift and bequest (estate) tax systems in the United States and Japan. Second, we use tax data to estimate the magnitude of inter-generational transfers. The magnitude of intergenerational transfers provides aid intermining how much outstanding wealth is obtained through intergenerational transfers, an issue of current controversy. In both Japan and the United States, a substantial portion of wealth, and especially of land in Japan, is bequeathed from a generation to next.
creation-date: 1991-03
Discussion Paper Series A No.228
Takatoshi Ito
abstract: This paper presents an overlapping generation model for the framework of analyzing the long-run trend in land prices, with the following propositions: First, it is possible to define a steady state in which land price measured in terms of the commodity price is rising. The land price increase in this case is due to "fundamentals". In the model, there is no room for deterministic bubbles. Second, when there are two countries, one with a land supply constraint and another without it, the real exchange rate of the land-constrained country appreciates. When a combination of a tax on residential use and a subsidy for productive (non-housing) activity is introduced to this economy, the ratio of residential use will decrease. Moreover, the size of current account imbalance will increase by the tax-subsidy program. The Japanes and U.S. data were examined for the implication of the model, namely the land value and GNP would increase at the same rate. Data for the U.S. data and Japan before the mid 1970s look consistent with the theoretical prediction. Since the mid-1970s, a large fluctuation and an increasing trend are prominent in the Japanese land value/GNP ratio. Several possible reasons for this phenomnenon were discussed without pinpointing to the cause.
creation-date: 1990-10
Discussion Paper Series A No.226
Takeaki Kariya and Yoshihiko Tsukuda
abstract: This article proves that the stochastic process of returns decribed by S. Taylor's heteroscedastic nonlinear model converges in distribution to an iid normal process (normal white noise) as the number of the terms of temporal aggregetion increases.
creation-date: 1990-04
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