| Project/Area Number |
18K01628
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07040:Economic policy-related
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| Research Institution | Meiji Gakuin University |
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Principal Investigator |
Muro Kazunobu 明治学院大学, 経済学部, 教授 (10434953)
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| Project Period (FY) |
2018-04-01 – 2024-03-31
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| Project Status |
Completed (Fiscal Year 2023)
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| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2020: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2019: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2018: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 投資の楔 / 自己資本比率 / 借入制約 / 信用収縮 / 金融市場の摩擦 / Net woth ratio / Borrowing constraint / Credit crunch / Ratio of ROA to MPK / Financial friction / 信用市場の不完全性 / 全要素生産性 |
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| Outline of Final Research Achievements |
This study examines two types of collateral constraints in a dynamic general equilibrium model: stock and flow. It finds that during a credit crunch, the aggregate net worth ratio and investment wedge remain unaffected when collateral is treated as stock. However, when collateral becomes a flow variable due to a high net worth ratio, the credit crunch increases the aggregate net worth ratio. Additionally, in this scenario, the investment wedge, determined endogenously, also increases, indicating that financial friction shocks elevate the investment wedge. Financial crises led to increased net worth ratios and investment wedges due to low capital returns. The model elucidates that financial shocks elevate net worth ratios and investment wedges while diminishing ROA to MPK ratios. Financial frictions and heterogeneous agents are key drivers of business cycles, supported by empirical data showing a positive correlation between net worth ratios and capital productivity.
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| Academic Significance and Societal Importance of the Research Achievements |
本研究は、金融摩擦と異質な経済主体を考慮した動学一般均衡モデルを用い、ストックとフローの2種類の担保制約の影響を探究した。得られた結果から、担保がストックの場合は信用収縮が定常状態の自己資本比率や投資の楔に影響を及ぼさない一方、担保がフローの場合は信用収縮によって自己資本比率が増加し、投資の楔が増大することが示された。これは、金融摩擦のショックがビジネスサイクルにどのように影響するかを理解する上で重要な洞察を提供する。日本は1997年から1998年および2007年から2009年にかけて深刻な金融危機に直面したが、信用収縮は自己資本比率と投資の楔の増加を引き起こすことを理論的に説明できる。
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