Credit Events and the Valuation of Credit Derivatives of Basket Type

Thispaper provides a simple model for valuing a credit derivativewhose payoff depends on the identity (or identities) of the first(or first two) to occur of a given list of credit events, suchas defaults. The joint survival probability of occurrence timesof credit events is formulated in terms of stochastic intensityprocesses under the assumption of conditional independence. Basedon the joint survival probability, we can easily obtain the pricingformulas of such credit derivatives under the risk-neutral valuationframework. When the default intensity processes follow the extendedVasicek model, closed-form solutions of the pricing formulasare given.     

Targeted saving by renters for housing purchase in Japan

This paper examines the extent to which wealth accumulation for housing purchase increases household savings and suppresses consumption. The study employs an estimation method based on simultaneous equations with limited dependent variables developed by Nelson and Olson to examine the relationship between wealth accumulation and housing purchase plans, using data relating to young Japanese renters. The estimation results provide evidence that young Japanese households severely reduce their consumption by around 30–40 percent.     

Relationship between the curriculum system and the understanding of nutritional terms in elementary school children

To clarify the relation between the curriculum system and the understanding of nutrition terms, 944 students aged 8–12 years living in Japan, the USA and the UK, were asked about the recognition, medium for recognition, and understanding of nutrition terms. The effect of nutrition education from an early stage in elementary schools in the UK and the USA was confirmed. These results suggest the possibility of beginning nutrition education earlier in the elementary school in Japan. American students had paid attention to food labels. These results showed that a learning and teaching strategy founded on comprehensively based subjects in the USA had influenced good behaviour for dietary life. On the other hand, there was not a relationship between an understanding of nutrition terms and a developmental stage. Many students in three countries were influenced by television commercials to buy candy or soda. We think that it is important to develop a curriculum that includes practical learning and ensures hours of teaching for the purpose of acquirement of nutritional knowledge. It is also necessary to encourage critical thinking skills to evaluate television commercial messages through school lessons.     

EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility

Previous studies have suggested that some pollutant levels first increases due to the economic growth and then start decreasing, the pattern being called the “environmental Kuznets curve” (EKC). We examine EKC-type transitions of pollutant levels not with respect to economic growth but more generally in time. Assuming that each policy maker optimally executes the two switching options of regulation and unregulation for pollution, the switching dynamics of environmental policy can be described by an alternating renewal process. It is shown that the double Laplace transform of transition density of a pollutant level can be obtained by a novel application of renewal theory. The expected level of overall pollutants is then calculated numerically and found to exhibit either a Λ‐shaped or an N-shaped pattern in time. Our results present a simple explanation for the EKC-type transitions of pollutant levels within a real options framework.     

Equilibrium pricing of contingent claims in tradable permit markets

We advance a model of the tradable permit market and derive a pricing formula for contingent claims traded in the market in a general equilibrium framework. It is shown that prices of such contingent claims exhibit significantly different properties from those in the ordinary financial markets. In particular, if the social cost function kinks at some level of abatement, the forward price, as well as the spot price, can be subject to the so‐called price spike. However, this price‐spike phenomenon can be weakened if a system of banking and borrowing is properly introduced. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:559–589, 2010     

Sectoral Price Movements under the Yen Appreciation

This paper analyzes the movements of tradable goods prices in Japan. The import price indices and the export price indices are matched with the domestic wholesale price indices at the most detailed level available for Japan, and the pricing behavior in the yen appreciation period (1985–1995) is examined. In the import-side analysis, we investigate how far the price movements under currency appreciation deviate from the law of one price. We find that internal–external price differentials have surprisingly expanded for most of the products since 1985. For a number of commodities, the import prices do not decline as far as the exchange rate appreciates, and the domestic wholesale prices do not decrease as far as the import prices decline. Although the expanded price gaps cannot necessarily be interpreted as a result of deliberate trade barriers, they suggest that some sort of handicap is imposed on imported goods and the large fraction of rent generated by the yen appreciation is intercepted in the middle. In the export-side analysis, the relationship between the globalization of firms' activities and export pass-through is investigated. Our cross-sectional regression analysis indicates that the export path-through rates tend to be low when the value added ratios of foreign production of Japanese firms are high. Low export pass-through under currency appreciation is often interpreted as a result of firms' attempts to keep their foreign market share, but the globalization of firms' activities may be another important factor in lowering the pass-through.J. Japan Int. Econ.,December 1997,11(4), pp. 611–641. Department of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo 108, Japan.     

Challenges to elderly safety in Safe Community movements in Japan

In Japan, with the longest life expectancy in the world over the last two decades, a great emphasis has been placed on the safety of the elderly, which has in turn influenced their well-being. Meantime, the concept of Safe Community (SC) has drawn more attention as one of the potential measures to sustain and improve the health conditions of the elderly. In hope of improving the effectiveness and efficiency of current efforts for elderly safety, the SC model is expected to provide features with which communities can make the better use of current limited resources. This article examines how the SC model makes a difference in these efforts by utilising existing programmes and how elderly safety can be promoted at the community level. Six communities working safety promotion based on the SC model were selected for the study. Although there are limitations to the information due to the insufficient experience in SC in Japan, it was found that two features make SC significant in promoting safety: (1) systematic evidence-based plan-do-check-action processes and (2) a framework of cross-sectoral collaboration. However, to examine and identify the effectiveness of SC on elderly health, further observation is required to develop strategies while accumulating longitudinal data.