On the test of the correction mechanism for mis-pricing between assets using a statistical yield spread model

This paper investigates the existence of a correction mechanism for mis-pricing between Japanese stock and bond. By this correction mechanism we mean that when deviations occur from the equilibrium levels of the expected return differentials between stock and bond — the risk premium differentials, the market will tend to correct the mis-pricing and bring the expected return differentials back to the equilibrium levels. We assume that the yield spread between the predicted earnings price ratio of stock and the yield to maturity of bond reflects the risk premium between stock and bond, and estimate the equilibrium risk premium differentials and mis-prices between stock and bond by modelling their behaviors with a statistical yield spread model (SYS). Empirical results strongly indicate the existence of the mis-pricing correction mechanism, suggesting the inefficiency of securities markets.     

Multilateral Comparison of Cost Structures in the Input–Output Tables of Japan,the US and West Germany

This paper presents a multilateral comparison of relative levels and structures of costs of production in Japan, the US and West Germany. The analysis is carried out by using harmonized input–output tables, which are converted at US prices by using adjusted sectoral purchasing power parities. A new accounting methodology is derived from recent developments of index number theory, whereas the chosen multilateral comparison procedure gives results that are invariant with respect to the order of the pairs of countries examined.     

Schumpeterian patterns of innovation and the sources of breakthrough inventions: evidence from a data-set of R&D awards

This paper examines the relationship between Schumpeterian patterns of innovation and the generation of breakthrough inventions. Our data source for breakthrough inventions is the “R&D 100 awards” competition organized each year by the magazine Research & Development. Since 1963, this magazine has been awarding this prize to 100 most technologically significant new products available for sale or licensing in the year preceding the judgment. We use USPTO patent data to measure the relevant dimensions of the technological regime prevailing in each sector and, on this basis, we provide a characterization of each sector in terms of the Schumpeter Mark I/Schumpeter Mark II archetypes. Our main finding is that breakthrough inventions are more likely to emerge in ‘turbulent’ Schumpeter Mark I type of contexts.     

Globalization and Greater Flexibility in the Japanese Labor Market: Exploring the Macro–Micro Link

The author explores the missing links between globalization and greater flexibility in the Japanese labor market based on review of literature and available evidence. Understanding Japan’s responses to globalization requires a nuanced approach, which accounts for its historical trajectory and social-institutional context. Along with globalization, Japan is experiencing a greater infusion of foreign capital, and an increasing presence of foreign firms. These foreign firms bring human resource practices that are more market driven and less socially embedded compared to the status quo. The diverging human resources practices of foreign firms have spillover effects that may destabilize the Japanese employment system in the long run.     

Mass media effects on trading activities: television broadcasting evidence from Japan

This study examines how information broadcasting through television (TV) media influences stock market activities. Consistent with the effect of TV information to attract investor attention, we find that increased information flow through TV is significantly associated with greater trading volume and larger price change. For information type, hard news from business-oriented programmes and earnings-related news strongly contributes to the attention effect, while the effect of soft news is weaker. Bid–ask spread widens for more TV information flows, suggesting that new information arrival in the market expands information asymmetry. Finally, the impact of TV is more influential for stocks with more individual shareholders than those with institutional shareholders.     

Effects of Anticipated Fiscal Policy Shock on Macroeconomic Dynamics in Japan

This study investigates the effects of fiscal policy on macroeconomic dynamics in Japan with a particular focus on the effects of anticipated fiscal policy shock and the recent policies of Abenomics. We identify anticipated fiscal policy shock by combining excess stock returns for the construction industry and the vector autoregressive model with robust sign restrictions derived from a theoretical model. The primary result is that GDP and consumption respond positively to anticipated fiscal policy shock. In addition, the result of the historical decomposition that focuses on the period of Abenomics reveals that anticipated fiscal policy shock positively contributes to consumption dynamics.     

Geography and Demography: New Economic Geography With Endogenous Fertility

To explain the links between demographics and economic integration, we construct a new economic geography model with endogenous fertility. Labour mobility across regions results in more people flowing into highly populated regions, but lowers fertility rates there. Finally, regions are divided into one very large region with a higher real wage and another small region with a lower real wage, a higher fertility rate and a supply of workers to the large region. The population growth path resembles a logistic curve in the early phase, but population decreases in the last phase. Economic integration leads to population concentration and decreases population size.