Collateral secured loans in a monetary economy

This paper presents a microfounded model of money where durable assets serve as a guarantee to repay consumption loans. We study a steady state equilibrium where money and credit coexist. In such an equilibrium, a larger investment in durable capital relaxes the borrowing constraint faced by consumers. We show that the occurrence of over-investment and the behavior of capital accumulation depend on the rate of inflation, the relative risk aversion of agents and the marginal productivity of the capital goods.     

A revised model of experiential learning with a debriefing checklist

Although Kolb’s experiential learning model has been widely used and remains among the most influential frameworks in the fields of human resource development, management education and higher education, it has been criticized for failing to propose a second‐order learning process. The purpose of this study was to revise Kolb’s model by addressing its limitations. The revised model consists of (1) expected and unexpected experiences, (2) the management of emotions, (3) reflective analysis, (4) abstract conceptualization, (5) unlearning, and (6) active experimentation. Developed from the revised model, we created a checklist for debriefing experience‐based training programs. The contribution of this study is its development of a framework and a checklist for deep experiential learning.     

Promoting employee’s self‐change skills: The role of job characteristics,goal clarity and learning goals

Personal growth initiative (PGI), i.e., self‐change skills, is necessary for employees to adapt to changing environments, but research examining the antecedents of PGI in an organizational context is limited. The present research investigated the antecedents of PGI in the workplace. Using a two‐wave questionnaire survey, data were collected from 204 employees, including nurses, medical technicians and administrative staff, at six healthcare organizations in Japan. The results of hierarchical regression analyses showed that goal clarity and learning goal orientation were positively related to PGI, whereas autonomy, skill variety and job complexity were not significantly related to PGI. The results also showed that goal clarity positively moderated the effect of skill variety on PGI, yet, negatively moderated the effect of job complexity on PGI. This study contributes to the existing literature by demonstrating how personal and situational factors influence employees’ self‐change skills in the workplace.     

Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market

In this study, we investigate ordering patterns of different types of market participants in Tokyo Stock Exchange (TSE) by examining order records of the listed stocks. Firstly, we categorize the virtual servers in the trading system of TSE, each of which is linked to a single trading participant, by the ratio of cancellation and execution in the order placement as well as the number of executions at the opening of the afternoon session. Then, we analyze ordering patterns of the servers in the categories in short intervals for the top 10 highest trading volume stocks. By classifying the intervals into four cases by returns, we observe how different types of market participants submit or execute orders in the market situations. Moreover, we investigate the shares of the executed volumes for the different types of servers in the swings and roundabouts of the Nikkei 225 index, which were observed in September in 2015. The main findings of this study are as follows: Server type A, which supposedly includes non-market making proprietary traders with high-speed algorithmic strategies, executes and places orders along with the direction of the market. The shares of the execution and order volumes along with the market direction increase when the stock price moves sharply. Server type B, which presumably includes servers employing a market making strategy with high cancellation and low execution ratio, shifts its market making price ranges in the rapid price movements. We observe that passive servers in Server type B have a large share and buy at low levels in the price falls. Also, Server type B, as well as Server type A, makes profit in the price falling days and particularly, the aggressive servers in the server type make most of the profit. Server type C, which is assumed to include servers receiving orders from small investors, constantly has a large share of execution and order volume.     

Self-organized criticality in a herd behavior model of financial markets

This paper explains the fat-tail distribution of asset transaction volumes and prices by a model of rational herd behavior of traders. Each trader decides whether to buy an asset by observing private information and other traders’ actions. A trader’s buying action reveals his positive private information and affects the other traders’ beliefs in favor of buying, leading to strategic complementarity. A power-law distribution emerges for the number of buying actions in a static Nash equilibrium. This model provides an economic reason as to why the stock market has to exhibit a criticality in the connectivity of the traders’ actions. I am benefited by comments from the seminar participants at University of Tokyo and the Econophysics Colloquium 2006 at International Christian University, the editors of the special issue, and particularly an anonymous referee.     

Jumps in foreign exchange rates and stochastic unwinding of carry trades

Tails in the distribution of JPY/USD exchange rate returns are well approximated by an exponentially dampened power-law. Distribution parameter estimates indicate that yen appreciation jumps belong to a Levy process with unbounded variation, suggesting that same mechanism may be responsible for fluctuations in normal times as well as rare crashes. In contrast, yen depreciation jumps have a well defined second moment suggesting a Gaussian regime. In addition, extreme episodes of yen appreciation are larger and more persistent than episodes of yen depreciation. The asymmetry is magnified and power-law tails are more elongated during times of higher interest rate differential between U.S. and Japan and higher level of VIX indicating that carry trade may be the driver. We propose a model of strategic carry trader behavior that in equilibrium generates exponentially dampened power-law distribution of jumps in foreign exchange along with “up by the stairs down by the elevator” dynamics arising from the assymetries between negative and positive jumps.