Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method

In this paper, we propose an efficient Monte Carlo implementation of a non-linear FBSDE as a system of interacting particles inspired by the idea of the branching diffusion method of McKean. It will be particularly useful to investigate large and complex systems, and hence it is a good complement of our previous work presenting an analytical perturbation procedure for generic non-linear FBSDEs. There appear multiple species of particles, where the first one follows the diffusion of the original underlying state, and the others the Malliavin derivatives with a grading structure. The number of branching points are capped by the order of perturbation, which is expected to make the scheme less numerically intensive. The proposed method can be applied to semi-linear problems, such as American options, credit and funding value adjustments, and even fully non-linear issues, such as the optimal portfolio problems in incomplete and/or constrained markets.     

Global and Regional Geo-strategic Implications of China's Emergence

Now that China's "re-emergence" as a world center of production is obvious, concerns about its implications are being raised throughout the world, in general, and particularly in East Asia. China's economic growth is nothing but spectacular. If all parties are rational, however, a peaceful rise for China is possible. Peaceful management of the Taiwan Strait is critical in this respect. There are two possible scenarios for the peaceful rise of China: a unilateralist China in the multipolar world of competition, and a multilateralist, postmodern China embedded in an East Asian community. It is in the interest of Japan, the United States and other countries in the international society to induce China to take the latter scenario. To realize this goal, efforts on the part of China are critical, but the efforts of other countries such as the United States and Japan are also very important.     

Are Bank Mergers Good News for Shareholders? The Effect of Bank Mergers on Shareholder Value in Japan

This study investigates the effects of bank mergers on the welfare of affiliated client firms. The findings demonstrate that, in general, bank mergers increase the welfare of client firms. However, there are significant differences in the impact of a bank merger on client firms across different merger, bank, and firm characteristics. Client firms of banks involved in mega‐mergers do not enjoy an increase in welfare. Client firms of undercapitalized banks in fact suffer significant welfare losses. In the long‐run, weak “zombie” firms also in many cases experience welfare losses following the announcement of a merger by their main bank.     

Mechanization in land preparation and agricultural intensification: The case of rice farming in the Cote d'Ivoire

It is critically important to intensify farming systems in sub-Saharan Africa by disseminating improved agronomic practices and increasing the application of modern inputs. One of the region's problems is that proper land preparation is difficult due to the scarcity of draft animals and the underdevelopment of the tractor rental market. Our analysis of rice production in the Cote d'Ivoire reveals that farmers who use tractors in land preparation more intensively apply fertilizer and use more labor to carefully implement proper agronomic practices, thereby raising productivity. Thus, the diffusion of tractors appears to be key to the intensification of rice farming systems in sub-Saharan Africa.     

Development and validation of a situational judgement test of Japanese leadership knowledge

ABSTRACT

Leadership research has accumulated a wealth of empirical findings about what leadership behaviours are effective in various business environments. We took advantage of these empirical findings to develop a situational judgement test (SJT) of leadership knowledge with correct answers. The SJT contains four leadership dimensions: task-focused, relationship-focused, transformational, and developmental leadership. Item response theory and confirmatory factor analyses were used to examine the psychometric properties of the SJT, based on a sample of 658 Japanese college students. Ultimately, we confirmed a four-factor model and retained 21 of 53 situation questions for the final SJT.     

The Effect of Bank-firm Relationships on Sell-side Research

In this paper, I examine how the lending relationships between banks and their borrowers affect the quality of analysts’ earnings forecasts after financial deregulation in Japan. My findings show that short-term lending relationships improve the quality of analysts’ earnings forecasts and that these earnings forecasts are useful for predicting future returns. In contrast, long-term lending relationships decay the quality of forecast and are not valuable for the prediction of future returns. These empirical results indicate that the informational advantage that commercial banks acquire is short-term and that the costs of lending relationships surpass the informational benefits in the long run.     

Dynamic Interactions in Trade Policy in a Differential Game Model of Tariff Protection

This paper develops a two‐country dynamic game model of tariff protection to reconsider optimal trade policies and their implications for welfare. The authors show that an import subsidy is optimal in the feedback Nash equilibria, which results in a curious possibility that the domestic market is monopolized by the foreign firrm. However, welfare comparisons among Nash equilibria, free trade, and autarky reveal that feedback Nash equilibria involve higher welfare than both autarky and free trade, i.e. dynamic noncooperative choices of policy serve as tacit policy coordination and ensure larger trade gains relative to free trade.     

Non-ideal Brownian motion,generalized Langevin Equation and its application to the security market

Brownian motion has been extensively applied in the field of mathematical finance in modeling the stochastic processes of returns on securities. In this paper basic and generalized Langevin Equations with memory are used to augment Brownian motion to capture the well stylized facts of the financial market that frictions and imperfect information exist. The operator method of Fourier-Laplace transform with an appropriate kernel (influence function) is used to circumvent the difficulty associated with solving a time dependent nonlinear differential Equation, and a practical computational method is proposed.From the Langevin Equation, autocorrelation of the return process and the deviation of the return distribution from an ideal Brownian motion are extracted. It is also proven that the time-dependent differential Equation has a unique solution and that it is much more generalized than a martingale Brownian motion functional.     

The Long-run Trade Pattern in a Growing Economy

We analyze the determinants of the trade pattern in a two-country growing economy. The long-run trade pattern depends on the structure of the absolute advantage as well as the comparative advantage, because the absolute advantage determines the terms of trade and the value of the marginal product of capital which affect the growth rate in our model. Moreover, we find that opening trade reduces or removes the difference in the growth rates of the two countries when the country lagging in the growth rate has a comparative advantage in a consumption commodity. Received June 18, 2001; revised version received July 16, 2002 Published online: April 30, 2003     

Investment in Infrastructure and Effects of Tourism Boom

This paper develops a dynamic trade model of a small open economy with productivity effects of public infrastructure and inbound tourism (i.e. foreign visitors' consumption of nontradable goods produced in the home country). It is shown that the economy either specializes in the production of the nontradable good or diversifies production. In the case of specialization, a tourism boom, i.e. an increase in the foreign tourists' demand for the nontradable good, makes the economy better off. In the case of diversified production, by contrast, a tourism boom induces a deterioration in the terms of trade and the economy may be worse off.