Unconventional monetary policy and portfolio choices of the financial intermediaries under incomplete market economy

• Project/Area Number: 26780189
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Money/ Finance
• Research Institution: Seikei University (2015-2018); Meisei University (2014)
• Principal Investigator: Suzuki Shiab 成蹊大学, 経済学部, 教授 (60583325)
• Project Period (FY): 2014-04-01 – 2019-03-31
• Project Status: Completed (Fiscal Year 2018)
• Budget Amount: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000); Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2016: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2015: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
• Keywords: 裁定取引 / レバレッジ投資 / 不完備市場 / レバレッジ / 投げ売り / 株式リスクプレミアム / 金融危機 / 競争均衡の存在

Outline of Final Research Achievements

Based on the observations from the financial crises 2007-09, this research project investigates (1) why do the financial intermediaries conduct leveraged investment and subsequent asset fire sales? And it also explores (2) how do the unconventional monetary policy affects the financial intermediaries and heterogeneous households.

Academic Significance and Societal Importance of the Research Achievements

（１）に関して、均衡において金融機関によるレバレッジ投資と事後的な保有資産の投げ売りが生じるような理論モデルを構築した。具体的には、所得格差のような家計の異質性の存在が、金融機関にとっての裁定取引の源泉となりうることを数学的に示した。これは、世界金融危機に先立って米国で生じていた所得格差の拡大が、金融危機を引き起こすうえで重要な役割を果たしていたことを示唆している。

Research Products

• [Journal Article] IS-LMモデルにおけるコールレート操作の理解について (2015)
  • Author(s): 鈴木史馬・堀健夫・盛本圭一
  • Journal Title: 青山經濟論集 Volume: 66 Pages: 79-101
• [Journal Article] Persistent Catastrophic Shocks and Equity Premiums: A Note (2014)
  • Author(s): Saito, M. and S. Suzuki
  • Journal Title: Macroeconomic Dynamics Volume: 18 Issue: 5 Pages: 1161-1171
  • DOI: 10.1017/s1365100512000740
  • Peer Reviewed / Open Access
• [Journal Article] An Exploration of the Effect of Doubt during Disasters on Equity Premiums (2014)
  • Author(s): Suzuki, S.
  • Journal Title: Economics Letters Volume: 123 Issue: 3 Pages: 270-273
  • DOI: 10.1016/j.econlet.2014.02.010
  • Peer Reviewed / Open Access
• [Presentation] Inequality and Asset Fire Sales (2019)
  • Author(s): 鈴木史馬
  • Organizer: 経済工学リサーチワークショップ（九州大学）
  • Invited
• [Presentation] Fire sales and asset prices in an incomplete market economy (2017)
  • Author(s): 鈴木史馬
  • Organizer: 近経研究会（横浜国立大学）
  • Invited
• [Presentation] Fire sales and asset prices in an incomplete market economy (2017)
  • Author(s): 鈴木史馬
  • Organizer: 経済理論政策ワークショップ
  • Invited
• [Presentation] Uncertainty in a Borderline: Evidence from a Field Experiment (2015)
  • Author(s): Shiba Suzuki
  • Organizer: Economic Science Association European Meeting
  • Place of Presentation: University of Heidelberg, Heidelberg Germany
  • Year and Date: 2015-09-03
  • Int'l Joint Research
• [Presentation] Uncertainty in a Borderline: Evidence from a Field Experiment (2015)
  • Author(s): Shiba Suzuki
  • Organizer: 関西マクロ経済学研究会
  • Place of Presentation: 大阪大学（大阪府）
  • Year and Date: 2015-05-15
  • Invited
• [Presentation] Uncertainty in a Borderline: Evidence from a Field Experiment (2015)
  • Author(s): Shiba Suzuki
  • Organizer: マクロ経済学ワークショップ
  • Place of Presentation: 東京大学（東京都）
  • Year and Date: 2015-05-07
  • Invited
• [Presentation] Rank as an information feedback: Theory and Evidence from a field experiment (2015)
  • Author(s): 鈴木史馬
  • Organizer: 経済理論政策ワークショップ
  • Place of Presentation: 青山学院大学
  • Year and Date: 2015-03-02
  • Invited
• [Book] しっかり基礎からミクロ経済学－LQアプローチ (2016)
  • Author(s): 梶谷真也・鈴木史馬
  • Total Pages: 238
  • Publisher: 日本評論社