Relationship Between Domestic Research and Development Activity and Technology Importation: An Empirical Investigation of Japanese Manufacturing Industries

This paper investigates the relationship between domestic research and development (R&D) activity and technological importation. We estimate the elasticity of factor inputs with respect to input prices using a cost minimization framework and time series data for Japanese manufacturing industries over the 1971–2000 period. The results show that domestic R&D activity and imported technology correlate with each other in the R&D-intensive industries, and the relationship is affected by the characteristics of the industry. Moreover, it is found that domestic R&D activity tends to be correlated with capital saving, while imported technology tends to be correlated with increased capital formation and employment.     

A theoretical comparison of the opportunity and gravity models

This paper compares the opportunity model with the gravity model from a theoretical view- point. First, based on a reexamination of Schneider's model, the ‘perceived opportunity model’ is proposed as a generalization of Schneider's model. Second, the similarity of the opportunity and gravity models is examined. In particular the condition of the opportunity model behaving like the gravity model is presented. Third, the difference of these models is investigated in terms of certain general model-theoretic properties. The behavioral ‘sensitivity’ of each model to spatial configuration changes is revealed by these properties.     

Changes in Japanese managers' work values and attitudes: a comparison of 1995 and 2009

The aim of this study is to investigate how the work values and attitudes of Japanese managers changed between 1995 and 2009. In the last 15 years, the economic environment has drastically changed in Japan and resulted in profound changes in companies' structures and HR practices. In response to such changes, Japanese managers' work values and attitudes toward employing organizations have also changed. Traditional Japanese management systems and practices, which once sustained the competitiveness of Japanese firms are no longer suitable. A new management model must be implemented to fit the changing competitive environment and managers' new work values.     

Trade Creation and Diversion Effects of Regional Trade Agreements: A Product‐level Analysis

This paper examines the impacts of regional trade agreements (RTAs) on trade flows at product level, with a particular focus on trade creation and diversion. Based on estimation of the gravity equation, dealing with the zero trade flows and endogeneity bias problems, we analyse the impacts of various types of RTAs involving 67 countries for 20 products during the 1980–2006 period. We find that RTAs among developing countries tend to cause trade diversion compared with RTAs among developed countries. Taking the higher external tariff rates of developing countries compared with developed countries into consideration, our results suggest trade diversion is likely to be caused by remaining high tariffs on imports from non‐members. In addition, we find the trade creation effect for many products in the cases of Customs Unions and plurilateral RTAs. These results imply that trade creation would be caused by various factors besides the reduction in tariff rates. Based on these results, we draw a policy implication that external tariff rate reduction is an important factor in avoiding trade diversion in the formation of RTAs, in particular for RTAs among developing countries, while a large number of members and the common external tariff appear to be important for generating the trade creation effect.     

Short-run and long-run dynamic linkages among international stock markets

This paper investigates the dynamic linkages among the U.S., Japan, U.K. and German stock market indices using daily data for the April 1, 1984 to May 31,91 period. In contrast to previous studies, a vector error correction model of cointegrated variables as developed by Johansen (1988, 1991) and Johansen and Juselius (1990) is employed to examine both short-run and long-run intermarket relationships among these four stock markets. Significant evidence is found in support of both short-run and long-run relationships among these four stock market indices. The U.S. stock market leads other stock markets in short-run in the pre and post October 1987 crash, but leads all other markets in the long-run in all periods examined. The presence of a one long-run cointegrating equilibrium relationship among the four stock market indices implies a limited role of international diversification for investors with long holding periods. However, because the US-Japan-Germany stock market indices, and Japan-UK-Germany indices are not cointegrated with each other, these indices may yield international portfolio diversification in the long-run. Finally, the conflicting results from multivariate cointegration tests found in this study can not be used to provide conclusive evidence on international stock market efficiency.     

Volatility clustering,leverage effects,and jump dynamics in the US and emerging Asian equity markets

This paper proposes asymmetric GARCH-Jump models that synthesize autoregressive jump intensities and volatility feedback in the jump component. Our results indicate that these models provide a better fit for the dynamics of the equity returns in the US and emerging Asian markets, irrespective whether the volatility feedback is generated through a common GARCH multiplier or a separate measure of volatility in the jump intensity function. We also find that they can capture several distinguishing features of the return dynamics in emerging markets, such as, more volatility persistence, less leverage effects, fatter tails, and greater contribution and variability of the jump component.     

A Time Series Analysis of Economical Phenomena in Japan’s Lost Decade (1): Determinacy Property of the Velocity of Money and Equilibrium Solution

The extended velocities of money given by the ratio of NGDP and M₂+CD in Japan’s lost decade are analyzed through the non-linear time series analysis based upon the theory of KM₂O-Langevin equations. The time series of logarithmic returns of some extended velocities of money are judged to have a determinacy property in a specified time domain whose final time coincides with the time 1999q1 when the Bank of Japan took the zero interest rate policy. This implies that there exists a stochastic process with the time series stated above its realization and it satisfies certain functional relation. This gives a meaning from a viewpoint of time series analysis that the velocity of money can be regarded as an equilibrium solution of the demand and the supply between the goods market and the money market.     

Unbiasedness of the Forward Exchange Rates

This paper derives an error correction model under the assumption that the spot and the forward rates are cointegrated, the first difference of forward rates is stationary, and the first order autocorrelation in the forecast error is allowed. When tests of the unbiasedness hypothesis are conducted with an error correction model using generalized methods of moments [GMM], the unbiasedness hypothesis cannot be rejected. Furthermore, the multivariate GMM estimation supports the hypothesis of unbiasedness of the forward exchange rates and the absence of a risk premium in the foreign exchange markets.     

Dynamic relationships among equity flows,equity returns and dividends: Behavior of U.S. investors in China and India

This research examines the linkages among U.S. equity flows to China and India, their equity returns, and their fundamental variables. We find that positive shocks to U.S. equity flows to China and India elicit an insignificant response to returns. This finding provides evidence that U.S. institutional investors are not a destabilizing influence in these markets. However, positive innovations to dividends in both China and India have a negative impact on returns. We conjecture that the high potential growth rates in these markets make it preferable for companies to retain earnings rather than pay dividends. In India, shocks to dividend yields have a strong negative influence on U.S. equity flows. Our results validate the need to take into account fundamental variables when examining U.S. investor behavior in emerging equity markets.     

DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL

By employing the vector error correction model (VECM) in a system of seven equations, we find that the Japanese stock market is cointegrated with a group of six macroeconomic variables. The signs of the long-term elasticity coefficients of the macroeconomic variables on stock prices generally support the hypothesized equilibrium relations. Our findings are robust to different combinations of macroeconomic variables in six-dimension systems and two subperiods. Also, the VECM consistently outperforms the vector autoregressive model in forecasting ability.