CONSISTENCY BETWEEN MACRO- AND MICRO-DATA SETS IN THE JAPANESE HOUSEHOLD SECTOR

This paper makes a comparative analysis of the micro-data, the Family Income and Expenditure Survey (FIES) and the National Survey of Family Income and Expenditure (NSFIE) data, with the macro-data, the System of National Accounts (SNA), figures for the Japanese household sector. The overall FIES/SNA ratio is about 80 percent. In comparing the results to those of other countries, the figure seems to be not bad. However, the treatment of categories such as Gross Rent, Fuel and Power, and Medical Care and Health Expenses, require further consideration. In this regard we consider imputed rent for owner-occupied dwellings for the SNA and a sampling scheme for the FIES.     

Japan's fiscal policy and fiscal reconstruction

This paper investigates the macroeconomic effects of fiscal policy and the fiscal reconstruction movement in Japan. We first summarize Japan's fiscal policy in recent years and discuss advantages and disadvantages of government deficits. Next, we investigate the macroeconomic effects of Japanese fiscal policy and evaluate the plausibility of non-Keynesian effects. We also analyze the possibility of the crowding-in effect of fiscal policy and investigate the spillover effects of deregulation. Finally, we discuss political constraints in the fiscal reconstruction attempts and propose some measures for successful fiscal reforms in the near future.     

Effects of the Reform of the Social Medical Insurance System in Japan

We estimate outpatient medical care demand functions and examine the effects of the 1997 reform of the medical insurance system. We focus on the issue of which persons have been most affected by the reform and on the extent to which price elasticities have changed since the reform. The estimation results show that the reform affected mainly dependants' demand for medical care, which implies that all members of the household shared the increase in the medical costs of the head of the household. Price elasticities ranged from −0.18 to −0.26 before the reform, and from −0.08 to −0.11 after the reform.
JEL Classification Numbers: C35, I10, I18.     

GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES

Greeks formulas of Delta, Rho, Vega, and Gamma are derived in closed form for asset price dynamics described by gamma processes and Brownian motions time‐changed by a gamma process. The model considered here includes many well‐known models of practical interest, such as the variance gamma model and the Black–Scholes model. Our approach is based upon the Malliavin calculus for jump processes by making full use of a scaling property of gamma processes with respect to the Girsanov transform. The existence of their variance is investigated. Numerical results are provided to illustrate that the derived Greeks formulas have faster rate of convergence relative to the finite difference method.     

Testing for weak identification in possibly nonlinear models

In this paper we propose a chi-square test for identification. Our proposed test statistic is based on the distance between two shrinkage extremum estimators. The two estimators converge in probability to the same limit when identification is strong, and their asymptotic distributions are different when identification is weak. The proposed test is consistent not only for the alternative hypothesis of no identification but also for the alternative of weak identification, which is confirmed by our Monte Carlo results. We apply the proposed technique to test whether the structural parameters of a representative Taylor-rule monetary policy reaction function are identified.     

Agreeable bets with multiple priors

This paper considers a two-agent model of trade with multiple priors. Firstly, we characterize the existence of an agreeable bet on some event in terms of the set of priors. It is then shown that the existence of an agreeable bet on some event is a strictly stronger condition than the existence of an agreeable trade, whereas the two conditions are equivalent in the standard Bayesian framework. Secondly, we show that the two conditions are equivalent when the set of priors is the core of a convex capacity. These results are also related to the no trade theorems under asymmetric information.