Inference on impulse response functions in structural VAR models

Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers commonly report the vector of pointwise posterior medians of the impulse responses as a measure of central tendency of the estimated response functions, along with pointwise 68% posterior error bands. It can be shown that this approach cannot be used to characterize the central tendency of the structural impulse response functions. We propose an alternative method of summarizing the evidence from sign-identified VAR models designed to enhance their practical usefulness. Our objective is to characterize the most likely admissible model(s) within the set of structural VAR models that satisfy the sign restrictions. We show how the set of most likely structural response functions can be computed from the posterior mode of the joint distribution of admissible models both in the fully identified and in the partially identified case, and we propose a highest-posterior density credible set that characterizes the joint uncertainty about this set. Our approach can also be used to resolve the long-standing problem of how to conduct joint inference on sets of structural impulse response functions in exactly identified VAR models. We illustrate the differences between our approach and the traditional approach for the analysis of the effects of monetary policy shocks and of the effects of oil demand and oil supply shocks.     

Market design for standardization problems with agent-based social simulation

This paper provides a computational market model with technological competitions among standards and presents simulations of various scenarios concerning standardization problems. The market model has three features: (1) economic entities such as consumers and firms are regarded as autonomous agents; (2) micro interactions among consumer agents or firm agents have essential mechanisms interpretable in real markets; and (3) consumers’ preferences and firms’ technologies co-affect their evolutionary behavior. In recent years, consumers have experienced various inconveniences from de facto competition based on a market mechanism. Standardization communities or committees such as the International Organization for Standardization (ISO) and the International Electrotechnical Commission (IEC) need to design a compatible standard or a de jure standard in a market. However, it is difficult for market designers to decide a method or timing for the standardization. Here, by introducing a novel technique used in agent-based social simulation (ABSS), which we call “scenario analysis,” we aim to support such decision making. Scenario analysis provides the possible market changes that can occur following implementation of a design policy under a specific market situation and the market mechanisms that generate these market changes.     

A generalization of the Samuelson reciprocity relation,the Stolper-Samuelson theorem and the Rybczynski theorem under variable returns to scale

Assuming the Marshallian externalities, a generalization of the Samuelson reciprocity relation, the Stolper–Samuelson theorem and its dual Rybczynski theorem is demonstrated with n commodities and n inputs. Further it is shown that the ‘weak’ Stolper–Samuelson property does not coincide with the ‘strong’ property even when n=2. Then the effect of an own or other commodity price change on a commodity output is examined.     

The Stability of the Japanese Banking System: A Historical Perspective

In this paper we study the stability of the Japanese banking system in the prewar period. First, we review the development of the Japanese banking system from the Meiji Restoration until the Second World War. It will be shown that government policy toward the banking industry changed drastically after the 1927 banking panic. Second, we examine the causes of bank closings in 1927. We test whether or not such bank closings were due to their unsound management, which was reflected in the structure of assets and liabilities and bank performance, using a qualitative model. Our empirical results conclude that bank closings occurred more for banks with unsound management and inefficient operations. J. Japan. Int. Econ., December 1993, 7(4), pp. 387–407. School of Political Science and Economics, Waseda University, 6-1 Nishiwaseda 1-chome, Shinjuku-ku, Tokyo 160, Japan; and University of Tokyo, Hongo, Bunkyo-ku, Tokyo, Japan.     

The Sale of Assets to Manage Earnings in Japan

In this article we investigate Japanese managers' use of income from the sale of fixed assets and marketable securities to manage earnings. The earnings management target examined is Japanese managers' forecasts of current–year earnings. We find a negative relation between income from asset sales and management forecast error. When current reported operating income is below (above) management's forecast of operating income, firms increase (decrease) earnings through the sale of fixed assets and marketable securities. The results hold after controlling for expected future performance, debt–to–equity ratio, size, growth, and last year's income from asset sales.     

On sooner and later waiting time distributions associated with simple patterns in a sequence of bivariate trials

In this article, we study sooner/later waiting time problems for simple patterns in a sequence of bivariate trials. The double generating functions of the sooner/later waiting times for the simple patterns are expressed in terms of the double generating functions of the numbers of occurrences of the simple patterns. Effective computational tools are developed for the evaluation of the waiting time distributions along with some examples. The results presented here provide perspectives on the waiting time problems arising from bivariate trials and extend a framework for studying the exact distributions of patterns. Finally, some examples are given in order to illustrate how our theoretical results are employed for the investigation of the waiting time problems for simple patterns.     

The Boosting Effect of E-WOM on Macro-level Consumption: A Cross-Industry Empirical Analysis in Japan

In this study, we carry out an empirical analysis on how electronic word-of-mouth (hereinafter “e-WOM”) marketing on e-WOM websites and electronic-commerce websites on the Internet boosts consumption on a macro-level. In our analysis, we conduct a model analysis of consumer behavior using data composed of more than 30,000 questionnaire surveys and quantitatively find the elasticity coefficient of the boost to consumption by performing a two-step GMM (generalized method of moments), which uses instrumental variables. The results of the analysis show e-WOM significantly increased expenditures in six fields: computers, electrical appliances, etc.; music; hobbies; clothing, accessories, etc.; beauty products, etc.; and goods for everyday life, etc. Furthermore, there was no field that had a significantly negative value. These results showed that, in the majority of the target fields, e-WOM had not only the effect of winning customers from the competition, but also the effect of boosting consumption on a macro-level. In addition, even from people’s subjective evaluations, there were many in all the generational groups who said that e-WOM boosted expenditures.     

Policy trade-off in the long run: A new Keynesian model with technological change and money growth

In this study, we introduce a constant rate of technological change and money growth into the standard new Keynesian model, in which both prices and nominal wages are supposed to be sticky. Using such a model, we examine whether a policy trade-off exists between curbing inflation and stabilizing the welfare-relevant output gap in the steady state. If we take only price stickiness into consideration, a policy trade-off does not occur. However, if both nominal wage stickiness and price stickiness are taken into consideration, a policy trade-off occurs.