A Bank Panic Model with a Bond Market

We have constructed a model of bank failure with monetary assets (bonds), adopting the overlapping-generations model. In it, monetary assets play a role in dispersing the credit crunch from a single bank run into a nationwide bank panic. As established by Diamond and Dybvig (1983), a single bank run is explained by a model without any monetary assets. In our model, however, the bond market is introduced to describe the process in which a bank run spreads. As a result, our model describes a general phenomenon—credit market failure—rather than a single bank run.
JEL classification numbers: G21, E40.     

The Effects of Incidence of Care Needs in Households on Employment,Subjective Health,and Life Satisfaction among Middle‐aged Family Members

In this study, based on longitudinal data, we investigate whether Japanese middle‐aged men and women become less likely to have a job and whether their sense of well‐being decreases when they have a family member who needs care. We find a consistent negative impact of having a family member who needs care on employment, but no impact on subjective health and life satisfaction. Further, the differences‐in‐differences (DID) estimation, based on both unmatched and matched data, shows that the Long‐Term Care Insurance (LTCI) introduced in 2000 did not mitigate the adverse impact on the probability of being employed.     

Walrasian social orderings in exchange economies

We study social ordering functions in exchange economies. We show that if a social ordering function satisfies certain Pareto, individual rationality, and local independence conditions, then (i) the set of top allocations of the chosen social ordering is contained in the set of Walrasian allocations and is typically non-empty, and (ii) all individually rational but non-Walrasian allocations are typically ranked indifferently. Thus, such a social ordering function is quite similar to the Walrasian correspondence, which can be regarded as the social ordering function whose associated indifference classes are the set of Walrasian allocations and the set of other allocations.     

On long-term credit risk assessment and rating: towards a new set of models

Institutional investors are supposed to assess credit risk by using a combination of quantitative information such as option models and qualitative assessments. Although option models can be easily constructed, they are not so suitable for the assessment of long-term credit risk that is required by institutional investors. This is mainly because the probability of bankruptcy varies so widely depending on the timing of assessment. We propose a new set of assessment models for long-term credit risk which does not necessarily use stock prices and may incorporate business cycles. The new grand model consists of the two pillars: a long-term cash flow prediction model and a credit risk spread assessment model. The calculated values derived from these models are effectively usable for reasonable calculation of risk spreads. It is quite interesting to see that our investigation indicates that rating bias may exist in the credit risk assessment of the market.     

The value of information in a simple duopoly model

This paper is concerned with the evaluation of information in a duopoly model in which the cost functions are subject to uncertainty. It explores how changes in information about the costs available to either firm affects the welfare of both firms along with the welfare of consumers. By comparing the ten possible types of information structures, it is shown that information may be detrimental, that improved information for one firm may or may not benefit the other firm and/or the consumer, and that it may be more desirable for a firm to gather information about the rival's cost rather than its own. All of these “irregular” results depend on the values of the variances of the costs and their correlation coefficient.     

Who values the family‐friendly aspects of a job? Evidence from the Japanese labour market

Women with family responsibilities such as child‐rearing generally prefer jobs with flexible working conditions. According to the theory of compensating wage differentials, women working in such family‐friendly jobs are paid less than those working in family‐unfriendly jobs. The present paper investigates whose wages are more greatly affected by the family‐(un)friendly aspects of their jobs. Based on a longitudinal survey of Japanese women, we found that among several family‐(un)friendly attributes of a job, only commuting time requires a wage premium, and most of the premium is associated with job changes made by part‐time‐working married women.     

Fair waste pricing: an axiomatic analysis to the NIMBY problem

A waste disposal facility has to be sited in one of several districts producing different amounts of waste. The construction cost of the facility depends on where it is sited. When a district accepts the facility, it bears a disutility. The problem here is to choose a siting district and to share the construction cost while considering fair compensation for the siting district. We provide an axiomatic framework to analyze this problem and seek normatively desirable and practical decision rules. A fair pricing rule is one that selects a district so as to minimize the social loss, applies a negative price to waste according to the social loss involved, and provides full compensation to the siting district. We show that this rule is a unique rule that satisfies certain requirements of efficiency, fairness, and robustness regarding the strategic transfers of waste. We then establish the nearly robustness of this rule to the misrepresentation of disutility information.