Capital requirement and financial crisis: The case of Japan and the 1997 Asian crisis

This study investigates the direct link between the implementation of the 1988 Basel capital requirement in Japan and the shrinkage of banks’ foreign assets, particularly in Thailand in the 1990s. The empirical analysis proceeds in two stages. The first stage investigates the hypothesis that the capital crunch in Japan induced Japanese banks to alter their portfolios and reduce their foreign assets. The second step tests the hypothesis that the change in behaviour of the Japanese banks induced the increase of the probability of financial crisis in Asia. Our results support the responsibility of the Japanese capital requirement, among other factors, in triggering the 1997 Asian financial crisis as an external common shock and give a new angle on the financial crisis literature.     

Crisis in the Russian mortgage market through the lens of financial accelerator theory

This paper analyzes the influence of the economic crisis on the Russian mortgage market from the position of the financial accelerator theory. It shows that the level of financial stability of banks and borrowers on the eve of the crisis was determining the dynamics of their development and solvency during the crisis. The “flight to quality” effect, which is inextricably connected to the financial accelerator mechanism, showed that the largest domestic banks and credit organizations that were controlled by nonresident companies and mainly specialized in mortgages were in the most advantageous position in the mortgage market. In regions, this effect manifested itself through a reduction in mortgage lending for borrowers registered in other regions and an increase in the number of credit provided by Moscow banks.     

日本金融改革的性质及其效果分析

日本金融业在战后日本经济发展过程中发挥了举足轻重的作用。无论是战后经济高速发展的奇迹,还是失去的15年的磨难,日本金融体制均扮演了主要角色。分析战后日本历次金融改革,结果表明,第一,美国主导的战后金融改革尽管发生了目标与结果的背离,但是其"吸收"、"改良"与"创建"的制度建设过程体现了改革的主导思想。第二,金融"大爆炸"是对日本战后30年金融体制的本质变革,然而,安全第一惯性思维下的错失良机,决定了这场改革依然无法摆脱高成本和不彻底的命运。第三,"金融再生"改革强化监管与治理的重拳出击对根治银行坏账的决定性效果值得肯定。但是,政府注资不能与市场优胜劣汰制度建设相结合的局限性,使得改革最终未能实现挽救经济困局的使命。     

Public investment and business cycles: The case of Japan

This paper examines the effect of public investment on macroeconomic fluctuations in Japan by comparing the effects of central and local government investments. Impulse response functions show that central government investments slightly but persistently stimulate industrial production, while local government investments have no positive impact on business cycles. In terms of policy effectiveness, these results suggest that the Japanese government should not employ local public sector investments as a policy instrument for economic stabilization.     

Skills and changing comparative advantage: The case of Japan

Is the skill gap of net exports widening? This question is nontrivial for many industrial countries because, with the rapid growth of emerging countries, human capital is considered one of the most important sources of comparative advantage. Theoretically, however, the answer is not necessarily obvious because of changing comparative advantage. This paper attempts to answer this question by extending the analysis of Wolff (2003) and by focusing on one of the largest OECD countries, Japan, for the period 1980–2005. The results indicate that the answer to the above question may well be “no.” Although Japan is still a net exporter of skill-intensive goods, the skill gap of net exports has been narrowing since the mid-1990s, mainly as a result of the changes in the composition of trade. This implies that some OECD countries, including Japan, may have been losing their comparative advantage in skill-intensive goods in recent years.     

RMA and Strategic intelligence: The case of China and Japan

Two cases of China and Japan are compared in the two dimensions of strategic doctrine and the RMA program. China is disadvantaged in its general military capability; it cannot help but gain the initiative by striking first and doing the operation under a high degree of secrecy, mobility, accuracy in its concentration of firepower, and surprise. This is called the doctrine of “strategic attack” and the Chinese defense planning is called “strategic modernization.” On the other hand, the Japanese approach to RMA is called “Info‐RMA”. The Japanese basic defense strategy is a passive one and it is critical to protect the information infrastructure as Japanese territories might turn out to be the battlefield. Japan should be ready for the possibility that some pre‐RMA forces would employ asymmetrical means such as weapons of mass destruction (WMD), terrorism, or guerilla warfare. Self‐Defense Forces (SDF) also should be ready to accomplish diverse missions, such as rear‐area support for U.S. troops, as well as peacekeeping operations and disaster relief. It is ironic that the Chinese doctrine could not help but be aggressive to compensate for the weakness of strategic intelligence capability in comparison to the U.S. On the other hand, Japan could develop power‐projection capability under the name of strategic intelligence as a part of the Exclusively Defense‐Oriented Policy.     

Saving,investment, growth and the cost of financial repression

This paper presents a quantitative estimate of the cost of financial repression in developing countries. Here, financial repression is interpreted as the technique of holding institutional interest rates (particularly deposit rates of interest) below their market equilibrium levels. For a sample of developing countries, saving is found to be affected positively by the real deposit rate of interest, as is real money demand, where money is defined broadly to include savings and time deposits. Under disequilibrium interest rate conditions, higher saving which raises real money demand increases pari passu the real supply of credit. Credit availability is an important determinant not only of new investment but also of capacity utilization of the entire capital stock. Hence, the growth rate is itself affected positively by the real deposit rate of interest through two channels – first, the volume of saving and investment and, second, capacity utilization of the entire capital stock, i.e. the measured incremental capital/output ratio. Estimates of saving and growth functions lead to the conclusion that the cost of financial repression appears to be around half a percetage point in economic growth foregone for every one percentage point by which the real deposit rate of interest is set below its market equilibrium rate.     

Capital gains tax and individual trading: The case of Japan

Japan implemented a capital gains tax reform and reduced its flat rate in 2003. This study attempts to explain how this has contributed to the recent surge of individual trading, using three different methods of analysis. First, we perform a time-series analysis with the aggregate, market-level data. Second, we use firm-level, by-stock data to conduct a similar time-series analysis, as well as a panel data analysis. Third, we examine the price-change sensitivity of winners’ volume before and after the reform. The results clearly indicate that the tax cut has helped expand individual trading, as the average tax rate negatively correlates significantly with individual trading.     

Tax reforms and stock return volatility: The case of Japan

Although global financial turmoil in recent years has resulted in renewed interest in taxing financial markets, the existing evidence is inconclusive regarding the effect of stock transaction taxes (STT) on stock return volatility. In this respect, Japan provides an excellent opportunity to address the issue, as the country enacted major tax reforms during the long recession beginning in the early 1990s, not only abolishing STT in 1999, but also reducing the capital gains and dividend taxes in 2003. The present paper exploits these tax reform episodes and examines whether and how they affected stock return volatility. In so doing, it employs GARCH-type models using standard daily stock data, as well as HAR models based on realized volatility constructed from high-frequency, intraday data. The estimation results are consistent with the views that, in line with some earlier findings, the STT abolition in 1999 reduced volatility, and that the tax reforms in 2003 also reduced volatility through a cut in the dividend tax, but not in the capital gains tax.     

Corporate governance and the cost of public debt financing: Evidence from Japan

This paper explores the relationship between corporate governance mechanisms and the cost of public debt financing in Japan. Using a sample of corporate bonds newly issued in Japan during the period 2005–2008, I find that CEO ownership is associated with higher yield spreads after controlling for other governance, bond, and firm characteristics. Founding family ownership is also positively related to yield spreads. In contrast, firms with large corporate shareholders enjoy lower yield spreads. These results are robust to various alternative specifications. Overall, my results indicate the importance of corporate governance mechanisms in Japanese corporate bond markets.     

Working capital management during the global financial crisis: Evidence from Japan

This paper demonstrates the adjustment speed of firm working capital and the relationships between working capital and firm performance in Japan during the global financial crisis. Using quarterly firm-level data, we find that the adjustment of working capital was weaker during the crisis. Moreover, the negative relationship between excess working capital and firm performance became more significant during the crisis, especially for larger firms. However, this crisis-related working capital–firm performance effect does not appear to persist for very long, because to finance any excess working capital, firms borrow from banks and reduce their internal cash both during and outside periods of crisis.     

Tax reform in Japan: The case of personal taxes

In this paper, we conduct a theoretical analysis of personal taxes (defined to include consumption and income taxes), describe and evaluate the past and present structure of personal taxes in Japan, and based on our findings, make a number of policy recommendations about how to reform personal taxes in Japan. We find that the structure of Japan's current consumption and income taxes is problematic from the viewpoints of both efficiency and equity and propose a reform package that improves both the efficiency and equity of Japan's personal taxes and, at the same time, achieves fiscal reconstruction.     

Regional convergence under declining population: The case of Japan

Using regional data from Japan, we examine how population growth affected regional convergence in Japan, where population decline has become conspicuous in several regions. The basic equation in the analysis allows two distinct features that previous studies rarely explored. First, we allow the coefficient of initial per capita output to change when the growth rate of population is lower than a threshold value. Second, we allow the growth rate of population to have ambiguous effects on the growth rate of per capita output. Our estimation results confirm the convergence hypothesis in Japan. However, we find that the declining speed of convergence was more conspicuous in the regions that had negative population growth. We also find that the decline in population growth, which was irrelevant for regional economic growth before 1995, came to have harmful impacts on regional economic growth after 1995. We believe this occurred because in societies with declining populations, economies of agglomeration had more significantly disappeared in poorer regions than in richer regions.     

浅议平衡计分法的管理价值

本文从中日商业银行财务机构设置入手 ,分析我国商业银行财务机构设置的弊端并提出相应对策。     

The effects of financial and operational hedging on company value: The case of Malaysian multinationals

This study examines the value effects of financial and operational hedging in a managed floating exchange rate regime with strict limitations on the trading of Malaysian Ringgit for a sample of 109 Malaysian multinationals from 2004–2018. Using Tobin’s Q as a proxy for company value, the two-step system GMM estimation results show that, on average, derivatives hedging creates a value premium range of 7.88–8.21 % in the short-run, and 18.81–19.80 % in the long-run. This value premium emerged both after controlling for non-operational foreign exchange profits (losses), and its two components: transaction and translation profits (losses). In contrast, foreign debt hedging, on average, creates a value discount range of 8.19–8.54 % in the short-run and 12.70–13.12 % in the long-run. No evidence shows value effect for operational hedging though. The positive value effect of derivatives hedging should motivate managers of Malaysian multinationals to hedge foreign currency exposure through derivatives and encourage policymakers to take steps in developing derivatives market and products. However, the negative value effect of foreign debt hedging indicates that it destroys value. This negative effect might reflect two potential causes; higher company risk due to FC debt financing, and improper hedging practices including high costs of hedging in the underdeveloped derivatives market. These potential causes need further empirical evaluations.     

Modeling the volatility of real GDP growth: The case of Japan revisited

Previous studies [e.g., Hamori, S., 2000. Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan. Japan and the World Economy 12, 143–152; Ho, K.Y., Tsui, A.K.C., 2003. Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States. Japan and the World Economy 15, 437–445; Fountas, S., Karanasos, M., Mendoza, A., 2004. Output variability and economic growth: the Japanese case. Bulletin of Economic Research 56, 353–363] find high volatility persistence of economic growth rates using generalized autoregressive conditional heteroskedasticity (GARCH) specifications. This paper reexamines the Japanese case, using the same approach and showing that this finding of high volatility persistence reflects the Great Moderation, which features a sharp decline in the variance as well as two falls in the mean of the growth rates identified by Bai and Perron's [Bai, J., Perron, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47–78; Bai, J., Perron, P., 2003. Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18, 1–22] multiple structural change test. Our empirical results provide new evidence. First, excess kurtosis drops substantially or disappears in the GARCH or exponential GARCH model that corrects for an additive outlier. Second, using the outlier-corrected data, the integrated GARCH effect or high volatility persistence remains in the specification once we introduce intercept-shift dummies into the mean equation. Third, the time-varying variance falls sharply, only when we incorporate the break in the variance equation. Fourth, the ARCH in mean model finds no effects of our more correct measure of output volatility on output growth or of output growth on its volatility.     

推出股指期货 规避金融风险

推出股指期货,完善金融市场再度成为市场热点。世界上没有只涨不跌的股市,中国也不例外。缺少股指期货,很难想象在熊市中开放式基金如何面对投资者赎回的套现风险。2004年中国股市在深幅调整中造成大量机构资金捉襟见肘甚至亏损巨大,这种风险在没有股指期货的情况下如何避免?相反,美国在经历了“9.11袭击事件”这样的惨重打击后,股市虽然大幅调整,但是并未对金融市场造成巨大的负面影响。这些事实有力地证明,结构不完善的金融市场,其风险的危害性。中国加入世贸后,决定了中国金融市场必将与国际市场接轨,中国经济将和世界经济更加紧密的融为…