Japanese Economic Review最新文献

The use of GDP as the main index of progress and welfare of a country has been the subject of a long debate among economists. Using and extending the savers–spenders theory, we analyse the theoretical relationship between GDP and the welfare of a society. This analysis is undertaken using several different overlapping generations models which all take into account the great heterogeneity of consumer behaviour observed in the data (different labour supply choices, different degrees of altruism and/or different degrees of impatience to consume). The results indicate that GDP (per capita) is often a relevant index and is always a decent social welfare indicator.

The portfolio optimization problem is investigated using a multivariate stochastic volatility model with factor dynamics, fat-tailed errors and leverage effects. The efficient Markov chain Monte Carlo method is used to estimate model parameters, and the Rao–Blackwellized auxiliary particle filter is used to compute the likelihood and to predict conditional means and covariances. The proposed models are applied to sector indices of the Tokyo Stock Price Index (TOPIX), which consists of 33 stock market indices classified by industrial sectors. The portfolio is dynamically optimized under several expected utilities and two additional static strategies are considered as benchmarks. An extensive empirical study indicates that our proposed dynamic factor model with leverage or fat-tailed errors significantly improves the predictions of the conditional mean and covariances, as well as various measures of portfolio performance.

Vietnam enacted the Enterprises Act in 1999, leading to a sharp increase in the number of registered enterprises. Meanwhile, foreign direct investment (FDI) into the country continued to increase in the 2000s. Thus, this paper examines the location choice of multinational and local firms in Vietnam. We adopt the mixed logit model to conduct an empirical analysis of the possible interaction of neighbouring regions and attracting FDI. Using firm-level data for the period 2000–2005, the results show that most provincial characteristics exert similar influences on foreign and domestic entrants, except for wage rates, which exhibit an opposing effect. The agglomeration of FDI entices foreign and domestic firms to locate in the same region, whereas the agglomeration of local firms is less relevant to the location choice of all firms. The spatial interdependence effect of attracting investment is particularly relevant to local entrants. Provinces with more foreign (domestic) firms reveal a complementary (competition) effect on the attractiveness of their neighbouring provinces.

This paper analyses the optimal licensing strategy of a licensor firm that competes with potential licensee firms in an industry with endogenous entry. The optimal licensing strategy of the licensor firm is to have zero royalty and positive fixed fees, which is a result that sharply contrasts with the existing literature whereby licensor firms tend to charge positive royalties to their rival licensees. Under the optimal licensing strategy, the licensor firm and the licensee firms are active in the market, but not the non-licensed firms. This equilibrium market structure is socially desirable if the fixed production cost is not too small.

The goal of the present study is to re-examine the exchange rate predictability with an approach that accounts for the negative effect of the finite-sample estimation error on forecast accuracy in the in-sample test. We consider various exchange rate models and find that despite the presence of significant population-level predictive content in the exchange rate model, the coefficients of the predictive variables could be small enough that, with the available sample, they are estimated so imprecisely that a random walk model can be expected to forecast at least as well as the exchange rate model.

This study examines the effects of retirement on lifestyle habits to determine the relationship between retirement and health. Looking at panel data from the Japanese Study of Aging and Retirement, fixed effects with time effects methods are used to account for the endogeneity of retirement. We then apply the fixed effects with time effects instrumental variable methods, after checking that the endogeneity of retirement is excluded by using the Durbin–Wu–Hausman test. Basic pension eligibility age is the instrumental variable. Our results reveal that elderly Japanese people reduce their drinking and increase their walking, frequency of heavy exercise, and sleep time on weekdays after retirement. However, sleep time on holidays and smoking and appear unchanged. Only elderly Japanese women increase their frequency of light exercise after retirement.

We investigate how Japanese men aged 60–74 adjust their workforce attachment after beginning to receive a public pension. Men who were employees at 54 gradually move to part-time work or retire after beginning to receive pension benefits; those who continue working tend to be underemployed. Men self-employed at 54, however, neither reduce their working hours nor retire, tending to be overemployed. In contrast, US men retire or become part-timers when they first claim social security; those who continue working are unlikely to be either overemployed or underemployed. Therefore, unlike US men, Japanese men are not choosing the optimal pensionable age and labour hours to maximize their intertemporal utility.

No abstract is available for this article.

The Great East Japan Earthquake of 11 March 2011 had a devastating impact on the north-eastern part of Japan. In the quasi-experimental situation, using panel data collected 6 months after the earthquake, the present study examines the causal effects of the disaster on both the economic and psychological well-being of elderly survivors affected by the earthquake and tsunami. The results by difference-in-difference estimation show that there was a significant impact on expenditure and employment, but little significant impact on subjective well-being or health. The impact on well-being and health of survivors may have been mitigated by the early economic recovery.