New Evidence on Intra‐Household Allocation of Resources in Japanese Households

This paper examines intra‐household allocation of resources to gain insight into family relationships and gender bias in Japanese households. We take the Engel curve approach to examine how adult consumption is affected by the presence of a child, either a boy or a girl, in the family. Empowered by diary‐based high quality spending data from the Family Income and Expenditure Survey, our empirical results show that adult consumption is significantly reduced in households with children; furthermore, gender bias is not observed in total adult expenditures, while responses of adult clothing expenses to the presence of a child are significantly different between a boy and a girl: spending on a father's clothing is reduced when the child is a school‐aged daughter, while spending on a mother's clothing decreases when a school‐aged son is in the home. Our analysis also shows that after the early 2000s girls receive a larger share of spending for children's clothing as well as for high school education than boys.     

Do the Rich Save More in Japan? Evidence Based on two Micro Data Sets for the 2000s

Using two household surveys, this paper investigates whether the saving rates of richer households are higher than those of poorer households in Japan. We construct a number of proxies for lifetime wealth, including those original to this study, and find marginally positive correlations between saving rates and lifetime wealth for working age households. We further find that the relationship between saving rates and lifetime wealth differs depending on the life stage of individual households. Older households with higher lifetime wealth appear to be dissaving to some extent, which is more or less consistent with the lifecycle model of consumption.     

Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach

This paper introduces a new method for pricing exotic options whose payoff functions depend on several stochastic indices and American options in multidimensional models. This method is based on two ideas. One is an application of the asymptotic expansion method for the law of a multidimensional diffusion process. The other is the combination of the asymptotic expansion method and the method called backward induction. The author applies the method to the problems of pricing call options on the maximum of two assets in the CEV model, average strike options in the Black–Scholes model and American options in the Heston model. Numerical examples show practical effectiveness of the proposed method.     

How Large Is the Cost of Business Cycles in Developing Countries?

This study measures the cost of business cycles in developing countries. The business‐cycle component of consumption is extracted by employing a detrending filter adjusted for the length of a subject country's business cycles, rather than a standard detrending filter, and the cost of business cycles using the extracted component is extracted. Estimated costs in developing countries based on the adjusted filter are found to be significantly different from those based on the standard filter. Hence, in measuring the costs of business cycles in developing countries, we should be careful about the choice of a detrending filter. The results also indicate the following findings: 1) in developing countries, there is probably more room to improve the cost of non‐business‐cycle fluctuations than that of business‐cycle fluctuations, and 2) the cost of business cycles is not strikingly large, even when it is estimated from a model strongly disfavoring business cycles.     

Optimal Commodity Taxation in the Presence of Tourists

Abstract

This paper explores empirically whether Japanese consumers became more prudent in the second half of the 1990s, a decade in which Japan registered historically low economic growth. Employing the methodology developed by Dynan (1993), this study uses micro-level data from the Family Savings Survey and the Family Income and Expenditure Survey to estimate the coefficient of prudence for Japanese households in the second half of the 1990s. The estimates reveal that the coefficient of prudence is positive and statistically significant in the 1998–1999 period. The obtained value for the coefficient of prudence is four, which is much higher than that estimated for US households (not significantly different from zero) or UK households (around 2). The estimated coefficient for young households is higher still, which is consistent with simulation studies conducted by Gourinchas & Parker (2002) showing that precaution is the most important saving motive for younger households.     

Computability of simple games: A characterization and application to the core

The class of algorithmically computable simple games (i) includes the class of games that have finite carriers and (ii) is included in the class of games that have finite winning coalitions. This paper characterizes computable games, strengthens the earlier result that computable games violate anonymity, and gives examples showing that the above inclusions are strict. It also extends Nakamura’s theorem about the nonemptyness of the core and shows that computable games have a finite Nakamura number, implying that the number of alternatives that the players can deal with rationally is restricted.     

What happens to social spending in IMF-supported programmes?

This article finds that education and health spending has risen during International Monetary Fund (IMF)-supported programmes at a faster pace than in developing countries as a whole. The analysis is based on the most comprehensive dataset assembled thus far for this purpose, with data covering 1985 to 2009 for 140 countries. Controlling for other determinants of education and health spending, including macroeconomic conditions, the results confirm that IMF-supported programmes have a positive and significant effect on social spending in low-income countries. Over a 5-year period with IMF-supported programmes, spending for education increases by about ¾ percentage point of Gross Domestic Product (GDP); and for health, by about 1 percentage point of GDP. IMF-supported programmes are also associated with increases in the share of government spending allocated to education and health.     

An equilibrium price model of spot and forward shipping freight markets

We focus on non-storability, a characteristic of shipping freight that leads to an enormous gap between the widely-used no-arbitrage pricing theory and shipping freight derivative markets. Our main contribution is to modify and generalize the Bessembinder and Lemmon (2002) model. Equilibrium spot and forward price formulae are derived in a shipping freight market where shipowners, charterers, and speculators are non-homogeneous. From our formulae, we also obtain the properties of the forward risk premium and an optimal hedge ratio. In addition, we use the model to quantify the risk attitude of market participants.