A cointegrated commodity pricing model

We propose a commodity pricing model that extends the Gibson–Schwartz two‐factor model to incorporate the effect of linear relations among commodity spot prices, and provide a condition under which such linear relations represent cointegration. We derive futures and call option prices for the proposed model, and indicate that, unlike in Duan and Pliska (2004), the linear relations among commodity prices should affect commodity derivative prices, even when the volatilities of commodity returns are constant. Using crude oil and heating oil market data, we estimate the model and apply the results to the hedging of long‐term futures using short‐term ones.     

The effect of collaboration network on inventors' job match,productivity and tenure

It has been argued in the economic literature that job search through informal job networks improves the employer–employee match quality. This paper argues that inventors' research collaboration networks reduce the uncertainty of firms about the match qualities of inventors prior to hiring. We estimate the effect of inventors' collaboration networks on their productivity and mobility using the U.S. patent application database. It is found that networked inventors are more productive and have longer tenure than non-networked inventors. The evidence from fixed-effect regressions shows that the higher productivity and longer tenure of networked inventors are not solely attributable to unobserved ability of inventors or unobserved characteristics of firms. These results are consistent with the job match hypothesis between inventors and firms through their collaboration networks.     

Asset price fluctuations in Japan: 1980–2000

In this paper, we try to account for the recent fluctuations in asset prices in Japan using a dynamic stochastic general equilibrium model. In our model, a key to explain the land-price fluctuation is how people's expectations about future productivity growth evolve over time. Specifically, by assuming adaptive learning on the growth rate of productivity, our model can replicate the Japanese land-price fluctuations over the period 1980–2000. However, even with adaptive learning, habit persistence, and costly capital accumulation, a substantial portion of the stock-price fluctuation is left unexplained, and a puzzle remains.     

Causality-in-mean and causality-in-variance among electricity prices,crude oil prices,and yen–US dollar exchange rates in Japan

In this study, we test the Granger-causality-in-mean and Granger-causality-in-variance among electricity prices, crude oil prices, and yen-to-US-dollar exchange rates in Japan using a cross-correlation function approach. We find Granger-causality-in-mean from neither the exchange market nor the oil market to the power market; the same was true of Granger-causality-in-variance, although both the exchange rates and oil prices greatly influence power generation costs in Japan. We suspect the efficiency of this market is at play.     

HOME EQUITY IN RETIREMENT

Retired homeowners dissave more slowly than renters, which suggests that homeownership affects retirees' saving decisions. We investigate empirically and theoretically the life-cycle patterns of homeownership, housing, and nonhousing assets in retirement. Using an estimated structural model of saving and housing decisions, we find first that homeowners dissave slowly because they prefer to stay in their house as long as possible but cannot easily borrow against it. Second, the 1996–2006 housing boom significantly increased homeowners' assets. These channels are quantitatively significant; without considering homeownership, retirees' net worth would be 28%–44% lower, depending on age.     

Sunspot Fluctuations in Asset Prices and Business Cycles in Japan Over 1986–1999

If individuals receive utility directly from the value of their wealth, equilibrium may be indeterminate so that sunspot equilibria may exist. In such an equilibrium, the price of an asset may fluctuate stochastically, as a result of spontaneous revisions of agents' expectations. A neoclassical growth model with such a utility function is used to show that those fluctuations in asset prices can generate co-movement among output, consumption and investment, even without assuming non-convex technology. In particular, numerical results show that the model can replicate well the business cycles in Japan over the period 1986–1999.     

An Index Number Method for Estimating Scale Economies and Technical Processes Using Time-series of Cross-section Data: Sources of Total Factor Productivity Growth for Japanese Manufacturing, 1964–1988

Sample multicollinearity often makes it difficult to estimate returns to scale. We present an index number method to overcome potential multicollinearity problems when the production function is homogeneous of degree k . We apply our method to estimate empirically the effects of returns to scale and technical progress on growth in total factor productivity (TFP) using establishment data for Japanese manufacturing industries. We find that, while significant scale economies exist in many manufacturing industries, the TFP growth in the last twenty-five years is attributable primarily to technical progress. This finding also validates the current practice of assuming constant-returns-to-scale production functions in macroeconometric modelling.
JEL Classification Numbers: C43, D24, 030.     

Completing Incomplete Revealed Preference Under Limited Attention

This paper discusses how to improve the identification of the preference of a decision‐maker (DM) with limited attention proposed by Masatlioglu, Nakajima and Ozbay (2012). in “Revealed Attention”. Their identification method relies on choice reversals so the obtained revealed preference is often incomplete. We propose three approaches to address this problem. The first one is accommodating a model‐free approach, which respects the DM's choice in making a welfare analysis, as long as it does not contradict the revealed preference of Masatlioglu et al. The second approach incorporates the DM's exogenously obtained attention/inattention information into the model of Masatlioglu et al. The third approach is to take framings that influence the DM's attention into effect for the identification.     

INTANGIBLE INVESTMENT IN JAPAN: MEASUREMENT AND CONTRIBUTION TO ECONOMIC GROWTH

Following the approach of Corrado, Hulten, and Sichel (2005, 2006 ), we measure intangible investment and examine the contribution of intangible capital to economic growth in Japan. We find that the ratio of intangible investment to GDP in Japan has risen during the past 20 years and now stands at 11.1 percent, which is lower than the ratio estimated for the U.S. in the early 2000s. The ratio of intangible to tangible investment in Japan is also lower than equivalent values estimated for the U.S. In addition, we find that, in stark contrast to the U.S., where intangible capital grew rapidly in the late 1990s, the growth rate of intangible capital in Japan declined from the late 1980s to the early 2000s. Our conclusions regarding intangible investment in Japan remain largely unchanged even if, using data with respect to firm-specific resources, we take on-the-job training into account.