2011年　Macroeconomics and Econophysics研究会　開催報告

オーガナイザー
　稲葉大　（関西大学・キヤノングローバル戦略研究所）
　大西立顕　（東京大学・キヤノングローバル戦略研究所）
　奴田原健悟　（専修大学・キヤノングローバル戦略研究所）
　水野貴之　（国立情報学研究所・キヤノングローバル戦略研究所）
　白井大地　（キヤノングローバル戦略研究所）

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第20回
●日　時： 2011年12月22日（木）　17:00-
●発表者： 土屋陽一（TSUCHIYA, Yoichi）, ニューヨーク州立大学バッファロー校
●タイトル： Dynamic scoring and population growth
●Abstract： This paper analyzes a dynamic effect of a tax reduction on long-run government budget, which is called 'dynamic scoring' or 'supply-side economics' in the literature. We investigate how population growth and an initial debt of government affect a dynamic effect of a tax cut. We show that the supply-side experiment is successful for many sets of parameter values even when introducing the two elements into the AK model used in his pioneering work of Ireland (1994). The most striking result is that a higher population growth has positive effects on long-run government budget whereas a higher population growth reduces per capita growth rate of an economy. Intertemporal elasticity of substitution plays an important role in our analysis as suggested by past studies and its implication in dynamic scoring is also examined.

第19回（DSGE Workshopと共催）
日　時： 2011年11月19日（土）　15:30-
発表者： 盛本圭一 （MORIMOTO, Keiichi）, 明星大学
タイトル： Ex-ante heterogeneity and information use in coordination games
Abstract： In this paper, I incorporate ex-ante heterogeneity among economic agents into coordination games with quadratic-normal structure and explore the properties of equilibrium behavior. I find that i) uniqueness of linear equilibrium holds even under ex-ante heterogeneity but ii) it affects equilibrium information use significantly. The model is extended to the situation in which the agents endogenously acquire costly private information.

第18回（DSGE Workshopと共催）
日　時： 2011年10月1日（土）　15:30-
発表者： 平口 良司 （HIRAGUCHI, Ryoji）, 立命館大学
タイトル： An endogenous growth model with non-constant discounting
Abstract： In this paper, we construct a two-sector endogenous growth model with quasi-geometric discounting. We characterize the socially optimal path and the recursive competitive equilibrium path explicitly. We show that as long as the degree of the time inconsistency is weak, the welfare along the socially optimal path is strictly higher than the one along the equilibrium path. This conclusion differs from Krusell, Kuruşçu and Smith ("Equilibrium welfare and government policy with quasi-geometric discounting," Journal of Economic Theory 2002) who investigates a neoclassical growth model.

第17回
日 時： 2011年9月16日（金）　13:00-
発表者： Giulio Seccia, University of Southampton, U.K.
タイトル： Consumer default with complete markets. (joint with Xavier Mateos-Planasy)
Abstract： This paper studies economies with complete markets where there is positive default on consumer debt. Households can default partially, at a .nite punishment cost, and competitive intermediaries price loans' default risk individually. This environment yields only partial insurance. The risk-based pricing of debt makes it too costly for the borrower to achieve full insurance and there is too little trade in securities. Consumption, as well as debt, are positively correlated with idiosyncratic changes in income. This approach is in contrast with existing literature. Unlike the literature with default, there are no restrictions on the set of state contingent securities that are issued. Unlike the literature on lack of commitment, limited trade arises without debt constraints that rule default out. The present approach seems to imply more consumption inequality than the latter.

第16回（DSGE Workshopと共催）
日　時： 2011年8月6日（土）, 15:30-18:00
発表者： 坂根みちる （SAKANE, Michiru）, 上智大学国際教養学部
タイトル： Product Variety, Firm Entry, and Terms of Trade Dynamics
Abstract： In this paper, I revisit the problem of the anomaly of terms of trade dynamics. First, I empirically analyze the effect of a US aggregate labor productivity shock on the US terms of trade using a Vector Autoregression (VAR) and Maximum Forecast Error Variance identification. I find that the shock appreciates the terms of trade of the US. Next, using a non-homothetic preference, I explain the dynamics of the terms of trade in response to a positive aggregate productivity shock theoretically. Using a model with endogenous markup and heterogeneous firm-specific productivities, the appreciation of the terms of trade can be generated even under a complete asset market assumption. Unlike previous studies, I explain the dynamics of the terms of trade through a new channel, which is the channel of relative cutoff firm-specific productivity that determines the optimal export decisions of the firms.
Depending on the asset market structure, two competing effects, i.e., the income effect and the markup effect, have different implication to terms of trade dynamics. Under the assumption of financial autarky, the income effect is bigger than the markup effect and the terms of trade depreciates in response to a positive aggregate productivity shock. However, if we allow for the trade of state-contingent or non-state contingent bonds, the markup effect also comes into play and the terms of trade appreciates, which is in line with the empirical findings.

第15回（DSGE Workshopと共催）
日　時： 2011年06月18日（土）, 15:30-18:00
発表者： 新関剛史 （NIIZEKI, Takeshi）, 一橋大学大学院経済学研究科
タイトル： Energy-Saving Technological Changes in Japan
Abstract： The energy use-GDP ratio declined substantially from 2.5% in 1973 to 1.3% in 1988 and stayed constant afterward in Japan. This paper examines the quantitative role of relative energy price and energy-saving technological growth on this issue. Using a simple neoclassical growth model with energy as a third input, we feed two actual time paths: (i)relative energy price and (ii)energy-saving technological growth in order to quantify each impact of these exogenous changes on the dynamics of energy use-GDP ratio and other aggregate variables. Our finding indicates that the relative energy price has a limited role, and most of the dynamics of energy use - GDP ratio is explained by the energy-saving technological growth.

第14回
日　時： 2011年4月28日（木）, 18:00-
発表者： 久野 遼平　（HISANO, Ryohei）, ETH Zurich, Department of Management, Technology and Economics
タイトル: Predicted and Verified Deviations from Zipf's law in Ecology of Competing Products
Abstract： Zipf's power-law distribution is a generic empirical statistical regularity found in many complex systems. However, rather than universality with a single power-law exponent (equal 1 for Zipf's law), there are many reported deviations that remain unexplained. A recently developed theory finds that interplay between (i) one of the most universal ingredients, stochastic proportional growth, and (ii) birth and death processes, leads to generic power-law distributions together with an exponent which depends on the characteristics of each ingredients. Here, we report the first complete empirical test of the theory and its application, based on the empirical analysis of the dynamics of market shares in the product market. We estimate directly the average growth rate of market shares and its standard deviation, the birth rates and the ``death" (hazard) rate of products. We find that temporal variations and product differences of the observed power-law exponents can be fully captured by theory with no adjustable parameters. Our results open the road to many applications in which the evolution of power-law distributions provide direct information and link to the underlying generating mechanisms. Rather than universality with a single exponent, the well known variability of power-law exponents is a diagnostic of the underlying mechanisms that dominate the dynamics.

第13回
日　時： 2011年3月8日（火）, 18:00-
発表者： 杉原慶彦　（SUGIHARA, Yoshihiko）, 日本銀行金融研究所
タイトル：　取引コストの削減を巡る市場参加者の取組み：アルゴリズム取引と代替市場の活用
Abstract：　金融商品の売買執行に伴う取引コストへの理解が進み、精緻な測定が可能となってきたことで、近年、取引コストを技術的に抑制する実務 面での取組みが発展している。本稿では、はじめに取引コストの構成要素等について整理したうえ、その削減手法としてアルゴリズム取引と代替市場がどう活用 されているかサーベイする。アルゴリズム取引については、基本的な枠組み、投資家の活用動機、代表的な取引戦略、利用状況などについて整理する。また、近 年アルゴリズム取引を活用しつつ発展している高頻度取引等についてもみていく。他方、代替市場については、注文付合せの形態、日米欧市場の特徴、代替市場 で企図されている取引コスト削減効果などについてまとめる。こうした実務の取組みの進展は、マーケット・マイクロストラクチャーの変化を通じて価格形成に 影響を与えうるほか、市場間競争や取引の仕組みの在り方に関する議論にも発展している。本稿では、最後に、アルゴリズム取引や代替市場を巡るこうした課題 についても展望する。

第12回（DSGE Workshopと共催）
日　時： 2011年2月7日（月）, 17:30-
発表者： 砂川武貴 （SUNAKAWA, Takeki）, オハイオ州立大学大学院・日本銀行
タイトル： Optimal monetary policy with labor market frictions and real wage rigidity
Abstract： I study the optimal monetary policy (the Ramsey policy) and policy rules with labor market frictions and real wage rigidity. Faia (2008; 2009) found that the rule responding to unemployment along inflation is nearly optimal in a model with the efficient Nash wage bargaining when the sources of shocks are technology and government expenditure. I instead introduce the right-to-manage wage bargaining and real wage rigidities (Trigari, 2006; Christoffel and Linzert, 2010) into the model. I find that the nature of the Ramsey policy is totally different; price stability to technology shocks is optimal and real wage rigidities generate deviation from price stability. However, the rule responding to unemployment along inflation remains nearly optimal. The rule responding to real wage growth can control inflation only via the target wage of the bargaining.

第11回
日　時： 2011年1月27日（木）　18:30-
発表者： 長町康平 （NAGAMATCHI, Kohei）, 東京大学大学院
タイトル： Effects of Spatial Sorting of Human Capital on Economic Activity and Welfare
Abstract： The paper analyzes effects of the spatial sorting of human capital on economic activities and welfare. For this purpose, I build a two-region general equilibrium overlapping generations model, in which heterogeneous individuals are spatially sorted according to their productivity. The model is calibrated to match some Japanese facts. A counterfactual simulation shows that the existence of sorting applied to all individuals leads to greater efficiency compared with the economy without it.The associated aggregate welfare gain is tremendous, but at the cost of welfare of relatively productive individuals. It is also shown thata productivity improvement biased toward the skill-intensive sector results in welfare gain of all individuals and that the effect is enhanced by sorting applied to migrants. Besides the welfare analysis, the paper identifies mismatch between workers and firms as the key source of observed seemingly irrational bidirectional migration flows.

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2018年　Macroeconomics and Econophysics研究会　開催報告
2017年　Macroeconomics and Econophysics研究会　開催報告
2016年　Macroeconomics and Econophysics研究会　開催報告
2015年　Macroeconomics and Econophysics研究会　開催報告
2014年　Macroeconomics and Econophysics研究会　開催報告
2013年　Macroeconomics and Econophysics研究会　開催報告
2012年　Macroeconomics and Econophysics研究会　開催報告
2010年　Macroeconomics and Econophysics研究会　開催報告

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問い合わせ先
報告・参加希望は、
キヤノングローバル戦略研究所・研究主任 稲葉大
inaba.masaru at canon-igs.orgまで。（"at"の部分を@に変更してください。）

関連する研究会リンク
Macroeconomics and Econophysics Workshop
DSGE Workshop
経済理論・政策ワークショップ （Economic Theory and Policy Workshop）
明星大学　理論・計量経済学研究会 （Meisei University Economic Theory and Econometrics Institute）