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Macroeconomic analysis of risk sharing

Research Project

Project/Area Number 23530218
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic theory
Research InstitutionKyoto University

Principal Investigator

NAKAJIMA Tomoyuki  京都大学, 経済研究所, 教授 (50362405)

Project Period (FY) 2011-04-28 – 2015-03-31
Project Status Completed (Fiscal Year 2014)
Budget Amount *help
¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2012: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2011: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Keywordsマクロ経済学 / リスクシェアリング / 非完備市場
Outline of Final Research Achievements

(1) We have considered optimal taxation in a heterogeneous-agents economy in which individuals are subject to idiosyncratic labor income risks. (2) Using a two-country New Keynesian model we have considered optimal monetary policy when the two countries may fall into a liquidity trap simultaneously. We have also found that there is a relatively simple interest-rate rule which is almost as good as the optimal policy in terms of world welfare. (3) We have considered an AK model in which entrepreneurs face idiosyncratic risks to their investment, and derived a necessary and sufficient condition for the existence of bubbles. (4) We have developed a real business cycle model with banks and analyzed a mechanism of the emergence of a liquidity crisis. (5) Using a model in which investors have heterogeneous beliefs on the likelihood of a fiscal crisis of the government, we have studied the dynamics of government bond prices and the inflation rate.

Report

(5 results)
  • 2014 Annual Research Report   Final Research Report ( PDF )
  • 2013 Research-status Report
  • 2012 Research-status Report
  • 2011 Research-status Report
  • Research Products

    (16 results)

All 2014 2013 2012 2011 Other

All Journal Article (9 results) (of which Peer Reviewed: 4 results) Presentation (7 results) (of which Invited: 1 results)

  • [Journal Article] Safe asset shortages and asset price bubbles2014

    • Author(s)
      Kosuke Aoki, Tomoyuki Nakajima, and Kalin Nikolov
    • Journal Title

      Journal of Mathematical Economics

      Volume: 53 Pages: 164-174

    • DOI

      10.1016/j.jmateco.2014.05.005

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Global Liquidity Trap2013

    • Author(s)
      Ippei Fujiwara, Tomoyuki Nakajima, Nao Sudo and Yuki Teranishi
    • Journal Title

      Journal of Monetary Economics

      Volume: 60 Pages: 936-949

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] Collateral constraint and news driven cycles2012

    • Author(s)
      Keiichiro Kobayashi, Tomoyuki Nakajima, and Masaru Inaba
    • Journal Title

      Macroeconomic Dynamics

      Volume: 16 Pages: 752-776

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] Countercyclical idiosyncratic risk: an aggregation result and application to optimal monetary policy2012

    • Author(s)
      R. Anton Braun and Tomoyuki Nakajima
    • Journal Title

      Journal of the European Economic Association

      Volume: 10 Pages: 1450-1474

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] Constrained inefficiency and optimal taxation under uninsurable risks2011

    • Author(s)
      Piero Gottardi, Atsushi Kajii, and Tomoyuki Nakajima
    • Journal Title

      KIER Discussion Paper

      Volume: 694 Pages: 1-31

    • Related Report
      2011 Research-status Report
  • [Journal Article] Optimal taxation and constrained inefficiency in an infinite horizon economy with incomplete markets2011

    • Author(s)
      Piero Gottardi, Atsushi Kajii, and Tomoyuki Nakajima
    • Journal Title

      KIER Discussion Paper

      Volume: 745 Pages: 1-45

    • Related Report
      2011 Research-status Report
  • [Journal Article] Global liquidity trap2011

    • Author(s)
      Ippei Fujiwara, Tomoyuki Nakajima, Nao Sudo, and Yuki Teranishi
    • Journal Title

      KIER Discussion Paper

      Volume: 780 Pages: 1-30

    • Related Report
      2011 Research-status Report
  • [Journal Article] Making the case for a low intertemporal elasticity of substitution2011

    • Author(s)
      R. Anton Braun, and Tomoyuki Nakajima
    • Journal Title

      KIER Discussion Paper

      Volume: 788 Pages: 1-30

    • Related Report
      2011 Research-status Report
  • [Journal Article] Why prices don't respond sooner to a prospective sovereign debt crisis2011

    • Author(s)
      R. Anton Braun and Tomoyuki Nakajima
    • Journal Title

      KIER Discussion Paper

      Volume: 796 Pages: 1-37

    • Related Report
      2011 Research-status Report
  • [Presentation] Why prices don't respond sooner to a prospective sovereign debt crisis2012

    • Author(s)
      Tomoyuki Nakajima
    • Organizer
      バブル・金融危機ワークショップ
    • Place of Presentation
      神戸大学
    • Related Report
      2011 Research-status Report
  • [Presentation] Why prices don't respond sooner to a prospective sovereign debt crisis2012

    • Author(s)
      Tomoyuki Nakajima
    • Organizer
      CARF コンファレンス 金融市場とマクロ変動
    • Place of Presentation
      箱根
    • Related Report
      2011 Research-status Report
  • [Presentation] Systemic bank runs in a DSGE model2011

    • Author(s)
      Tomoyuki Nakajima
    • Organizer
      CIGS Conference on Macroeconomic Theory and Policy
    • Place of Presentation
      東京
    • Related Report
      2011 Research-status Report
  • [Presentation] A macroeconomic model of liquidity crises

    • Author(s)
      Tomoyuki Nakajima
    • Organizer
      Swiss-Kyoto Symposium 2013
    • Place of Presentation
      University of Zurich
    • Related Report
      2013 Research-status Report
  • [Presentation] Why prices don't respond to a prospective sovereign debt crisis

    • Author(s)
      Tomoyuki Nakajima
    • Organizer
      CIGS conference on macroeconomic theory and policy 2012
    • Place of Presentation
      Canon Institute for Global Studies
    • Related Report
      2012 Research-status Report
  • [Presentation] Why prices don't respond to a prospective sovereign debt crisis

    • Author(s)
      Tomoyuki Nakajima
    • Organizer
      NBER Summer Institute
    • Place of Presentation
      Royal Sonesta Hotel(アメリカ・ボストン)
    • Related Report
      2012 Research-status Report
  • [Presentation] Debt restructuring and persistent debt overhang

    • Author(s)
      Tomoyuki Nakajima
    • Organizer
      14rh Macroeconomics Conference
    • Place of Presentation
      ホテル阪急エキスポパーク
    • Related Report
      2012 Research-status Report
    • Invited

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Published: 2011-08-05   Modified: 2019-07-29  

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