A quantitative appraisal of national economic policy

Zusammenfassung Eine quantitative Bewertung der Volkswirtschaftspolitik. Der Fall Japan. — Der Zweck des vorliegenden Aufsatzes besteht darin, die vorl?ufigen Ergebnisse einer quantitativen Analyse der Wirtschaftspolitik für Japan vorzulegen, die aus einem Modell für eine kurzfristige ?konomische Vorausschau entwickelt wurden. Zun?chst wurde ein Lohn-Preis-Spirale-Mechanismus in die Gleichungen eingeführt. Zweitens wurden Identit?tsgleichungen sowohl in laufenden Preisen als auch in realen Werten aufgestellt, um wirtschaftspolitisch orientierte Experimente zu erleichtern, da die meisten Variablen der Wirtschaftspolitik in laufenden Preisen ausgedrückt sind. Drittens wurden die durchschnittlichen Zinss?tze für Kredite aller Handelsbanken, die durch den Diskontsatz der Bank von Japan reguliert werden, ebenso wie das j?hrliche Verh?ltnis zwischen den laufenden Posten der Zahlungsbilanz zum Bruttosozialprodukt als Schlüsselvariable für wirtschaftspolitische Experimente berücksichtigt und als erkl?rende Variable in die Gleichungen sowohl für die Bildung von privatem Anlagekapital als auch für die Schwankungen bei der nichtlandwirtschaftlichen Lagerhaltung eingeführt. Au\erdem wurde die Kapazit?tsausnutzungsindex-Variable eingeführt, die aus den sektoralen Produktionsindizes durch Anwendung der Wharton-School-Methode gebildet wurde. Die systematische Ann?herung an das Problem der quantitativen Bewertung der Wirtschaftspolitik beruht auf einem ?konomischen Modell, das folgende drei Methoden verwendet: 1. Die Multiplikatoranalyse, 2. Simulationsexperimente und 3. einen Durchführbarkeitstest (feasibility test). Die Ergebnisse dieser Methoden werden dargestellt, und zum Schlu\- werden die Resultate des ?feasibility tests? diskutiert.

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Résumé Une évaluation quantitative de la politique économique nationale. Le cas du Japon. — Cet article présente les résultats de première tentative d’une analyse économique quantitative de la politique économique du Japon, résultats provenant d’un modèle de prévision économique à court terme. On a d’abord introduit dans les équations un mécanisme de spirale salaires-prix. Puis, on a pris en considération les identités exprimées en valeurs courantes aussi bien qu’en valeurs réelles, afin de faciliter les expériments de politique économique, puisque la plupart des variables de politique économique sont spécifiées par les valeurs courantes. Troisièmement, le taux moyen d’intérêt sur les prêts de toutes les banques commerciales — réglé par le taux d’escompte de la banque centrale — ainsi que la relation annuelle entre le compte courant de la balance des paiements et le produit national brut ont été considérés comme les variables principales dans les expériments de politique économique. Ils ont donc été introduits comme variables explicatives dans les équations relatives aux formations de capital fixe privé aussi bien qu’aux changements dans les inventaires non-agricoles. On a introduit également comme variable l’indice de l’utilisation de la capacité, qui fut calculé d’après les indices des secteurs de production, en utilisant la méthode Wharton School. En abordant systématiquement le problème d’une évaluation quantitative de la politique économique nationale, tout en se basant sur un modèle économétrique, on se sert des trois techniques suivantes: 1. analyse du multiplicateur, 2. expériments simulés, 3. épreuve de praticabilité (feasibility test). Les résultats de l’application de ces techniques sont présentés et, finalement, les résultats de l’épreuve de praticabilité sont discutés.

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Resumen Una evaluaci?n cuantitativa de la política económica. El caso del Japón. — El objetivo del presente ensayo consiste en presentar los resultados provisionales de un anál isis cuantitativo de la política económica del Japón, realizado por medio de un modelo de prognóstico a corto plazo. En primer lugar, se introdujo el mecanismo de la espiral salario-precio en el sistema de ecuaciones. A continuatión, se escribieron ecuaciones de identidad con precios tanto corrientes como constantes, para facilitar, en vista de que la mayória de las variables de la política económica viene expresada en precios corrientes, la realización de experimentos pol’tico-económicos. Luego, se introdujeron como variables clave para experimentos politico-económicos y como variables explicativas de la formatión de capital fijo privado y de las fluctuaciones en los stocks no agrarios, el tipo medio de interés para créditos de la banca comercial, que queda regulado por la tasa de descuento del Banco de Japón, así como la relación anual entre las operaciones corrientes de la balanza de pagos y el producto nacional bruto. Además, se introdujo como variable el indice de utilización de la capacidad productiva, que se calculó por el método de la ?Wharton School?, partiendo de indices de producción sectorales. La aproximacíón sistemática al problema de evaluación cuantitativa de la política económica se efectúa a través de un modelo, en el que se emplean très métodos, a saber: 1. el análisis del multiplicador, 2. experimentos de simulación, y 3. una prueba de viabilidad (feasibility test). Se presentan los resultados de estos métodos y se discuten, finalmente, los resultados del ?feasibility test?.

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Riassunto Una valutazione quantitativa delia politica economica. Il caso Giappone. — Lo scopo del presente saggio consiste nel presentare i risultati provvisori di un’analisi quantitativa della politica economica per il Giappone che furono ricavati da un modello per una previsione economica a breve termine. In un primo momento fu introdotto nelle equazioni un meccanismo spirale salari-prezzi. In secondo luogo furono poste equazioni d’identità tanto nei prezzi correnti che nei valori reali per facilitare esperimenti politici orientati in senso politico-economico; infatti la maggior parte delle variabili della politica econ?mica sono espressi in prezzi correnti. In terzo luogo furono presi in considerazione i tassi medi d’interesse per crediti di tutte le banche commerciali i quali sono regolati mediante il tasso di sconto della Banca del Giappone, altrettanto come la relazione annuale tra le partite correnti della bilancia di pagamento per il reddito nazionale lordo come variabile chiave per esperimenti politico-economici e furono introdotti come variabile esplicativa nelle equazioni tanto per la formazione di capitale d’investimento privato che per le fiuttuàzioni nel magazzinaggio non agricole Inoltre fu introdotta la variabile indice di capacità di utilizzazione che si formò dagli indici settoriali di produzione mediante l’applicazione del metodo Wharton-School. L’avvicinamento sistematico al problema della valutazione quantitativa della politica economica si basa su un modello economico che impiega i tre seguenti metodi: 1) l’analisi moltiplicatrice, 2) esperimenti di simulazione e 3) un test di eseguibilità (feasibility test). I risultati di questi metodi sono descritti ed alla fine sono discussi i risultati del ?feasibility test?.

     

Fiscal policy switching in Japan, the US, and the UK

This paper estimates fiscal policy feedback rules in Japan, the United States, and the United Kingdom for more than a century, allowing for stochastic regime changes. Estimating a Markov-switching model by the Bayesian method, we find the following: First, the Japanese data clearly reject the view that the fiscal policy regime is fixed, i.e., that the Japanese government adopted a Ricardian or a non-Ricardian regime throughout the entire period. Instead, our results indicate a stochastic switch of the debt-GDP ratio between stationary and nonstationary processes, and thus a stochastic switch between Ricardian and non-Ricardian regimes. Second, our simulation exercises using the estimated parameters and transition probabilities do not necessarily reject the possibility that the debt-GDP ratio may be nonstationary even in the long run (i.e., globally nonstationary). Third, the Japanese result is in sharp contrast with the results for the US and the UK which indicate that in these countries the government’s fiscal behavior is consistently characterized by Ricardian policy.     

Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk

The purpose of this paper is to demonstrate the powerful and flexible applicability of the Gram–Charlier expansion to pricing of a wide variety of interest rate related products involving interest rate risk and credit risk. In this paper, we develop easily implemented approximations of the prices of several derivatives; swaptions, CMS, CMS options, and vulnerable options. Associated with the default risk, a survival contingent forward measure is constructed.     

A choice of auction format in seller cheating: a signaling game analysis

In this paper, we examine which auction format, first-price or second-price, a seller will choose when he can profitably cheat in a second price auction by observing all bids by possible buyers and submitting a shill bid as pretending to be a buyer. We model this choice of auction format in seller cheating as a signaling game in which the buyers may regard the selection of a second price auction by the seller as a signal that he is a shill bidder. By introducing trembling-hand perfectness as a refinement of signaling equilibrium, we find two possible strictly perfect signaling equilibria. One is a separating equilibrium in which a noncheating honest seller selects a first price auction and a cheating seller does a second price auction. In another pooling equilibrium, however, both cheating and non-cheating sellers select a second price auction. The conclusion that a seller chooses a second price auction even if he cannot cheat is in contrast to the previous literature, which focused on the case of independent values. We thank an anonymous referee for useful comments that have improved the paper. This research was partially supported by the Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Scientific Research (B) 15310023 and (C) 18530139.     

Micro Price Dynamics during Japan's Lost Decades

We study micro price dynamics and their macroeconomic implications using daily scanner data from 1988 to 2013. We provide five facts. First, posted prices in Japan are ten times as flexible as those in the US scanner data. Second, regular prices are almost as flexible as those in the USA and Euro area. Third, the heterogeneity of frequency and size of price change across products is sizable and maintained throughout the sample period. Fourth, during Japan's lost decades, temporary sales have played an increasingly important role in households' consumption expenditure. Fifth, the frequency of upward regular price revisions and the frequency of sales are significantly correlated with the macroeconomic environment, in particular indicators associated with a labor market, while other components of price changes are not.     

ChatGPT and consumers: Benefits,Pitfalls and Future Research Agenda

The need of the hour is to encourage research on topics with newness and novelty. In this context, this article discusses multidimensional benefits and potential pitfalls of using artificial intelligence-based Chat Generative Pre-trained Transformer (ChatGPT), and provides numerous ideas for future research in consumer studies and marketing in the context of ChatGPT. ChatGPT provides algorithm-generated conversational responses to text-based prompts. Since its launch in the late 2022, ChatGPT has generated significant debate surrounding its hallmarks, benefits and potential pitfalls. On the one hand, ChatGPT can offer enhanced consumer engagement, improved customer service, personalization and shopping, social interaction and communication practice, cost-effectiveness, insights into consumer behaviour and improved marketing campaigns. On the other hand, potential pitfalls include concerns about consumer well-being, bias, misinformation, lack of context, privacy concerns, ethical considerations and security. The article concludes by outlining a potential future research agenda in the area of ChatGPT and consumer studies. Overall, this article provides valuable insights into the benefits and challenges associated with ChatGPT, shedding light on its potential applications and the need for further research.     

Marketmaking Middlemen

This article develops a model in which market structure is determined endogenously by the choice of intermediation mode. There are two representative modes of intermediation that are widely used in real-life markets: one is a middleman mode where an intermediary purchases inventory from the wholesale market and resells to buyers; the other is a market-making mode where an intermediary offers a platform for buyers and sellers to meet and trade. We show that a marketmaking middleman, who adopts a mixture of these two intermediation modes, can emerge in a directed search equilibrium and discuss implications for the market structure.