| Project/Area Number |
09630091
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | HITOTSUBASHI UNIVERSITY |
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Principal Investigator |
OGAWA Eiji DEPARTMENT OF COMMERCE,ASSOCIATE PROFESSOR, 商学部, 助教授 (80185503)
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| Co-Investigator(Kenkyū-buntansha) |
HAMORI Shigeyuki KOBE UNIVERSITY,DEPARTMENT OF ECONOMICS,ASSOCIATE PROFESSOR, 経済学部, 助教授 (60189628)
ASAKO Kazumi HITOTSUBASHI UNIVERSITY,INSTITUTE OF ECONOMIC RESEARCH,PROFESSOR, 経済研究所, 教授 (60134194)
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| Project Period (FY) |
1997 – 1998
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| Project Status |
Completed (Fiscal Year 1998)
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| Budget Amount *help |
¥3,200,000 (Direct Cost: ¥3,200,000)
Fiscal Year 1998: ¥1,200,000 (Direct Cost: ¥1,200,000)
Fiscal Year 1997: ¥2,000,000 (Direct Cost: ¥2,000,000)
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| Keywords | Consumption based CAPM / Dividend based CAPM / Volatility of Stock Price / Global Portfolio Investments / Bubble / Marginal Rate of Substitution between Private Consumption and Government Consumption / Risk Premium of Stock / Stock Price and GDP / 株式リスクプレミアム / 機関投資家 / マルチファクターモデル / 対外証券投資 |
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| Research Abstract |
Objectives of this research project are to extend the consumption based capital asset price model (C-CAPM) by introducing a behavior of financial institutions that include institutional investor into the C-CAPM and to use the extended C-CAPM to analyze empirically real asset markets as well as financial asset markets. Hamori extended the C-CAPM by introducing an investment behavior of financial institutions. Ogawa considered a theoretical model in which institutional investors maximize expected utilities of dividends paid by the institutional investors. We empirically studied validity of the extended C-CAPM.At the same time, we estimated risk aversion and time preferences of economic agents in macroeconomic activities during a period before the bubble, the bubble period, and a post-bubble period.
Hamori analyzed time lag correlation coefficients between real GDP and stock prices. He found that. an increase in GDP had a tendency to follow an increase in stock prices by several periods in Japan, the United States. and the United Kingdom. Hamori and Asako empirically analyzed the validity of the Ricardian equivalence theorem by estimating the marginal rate of substitution between private consumption and government consumption. It is found higher in Japan than in studies using U.S.data. The data negate the Ricardian equivalence theorem. Ogawa had an empirical result that Japanese life insurance companies tended to watch exchange rate and income return of bond in their global portfolio investments (U.S.bonds, Canadian bonds. and U.K.bonds).
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