2011 Fiscal Year Final Research Report
Financial Market Development and Macroeconomic Instability
| Project/Area Number |
21330045
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic theory
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| Research Institution | Kyoto University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
HORI Keiichi 立命館大学, 経済学部, 教授 (50273561)
ASANO Takao 岡山大学, 社会文化科学研究科, 准教授 (40423157)
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| Project Period (FY) |
2009 – 2011
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| Keywords | 金融市場の不完全性 / 経済の不安定性 / ナイト的不確実性 / 投資 / リアル・オプション / 景気循環 |
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| Research Abstract |
The main results obtained in this project are summarized as follows
(1) Constructing a dynamic general equilibrium model with financial market imperfections, we showed that the development of financial market in an economy could destabilize the economy.
(2) Using Japanese firm level data, we showed that until the mid of 1990s firms' financing methods such as corporate borrowings from banks, bonds and trade credits were strongly substitutable to liquid asset holdings in both the manufacturing and non-manufacturing sectors and that this relationship was weakened in the late 1990s.
(3) Introducing Knightian uncertainty into two-period models, we showed that the degree of Knightian uncertainty affects various kinds of investment behavior and that the direction of the effects of Knightian uncertainty depends on the nature of the uncertainty.
(4) Constructing an overlapping generations model with financial market frictions, we showed that in the presence of credit constraints asset bubbles can emerge even in a dynamically efficient economy and that these bubbles can destabilize the economy.
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