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Simulation Analysis on Japanese Economy with incomplete markets

Research Project

Project/Area Number 18730199
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Economic policy
Research InstitutionHosei University

Principal Investigator

MIYAZAKI Kenji  Hosei University, 経済学部, 教授 (10308009)

Project Period (FY) 2006 – 2008
Project Status Completed (Fiscal Year 2008)
Budget Amount *help
¥2,510,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥210,000)
Fiscal Year 2008: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2007: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 2006: ¥900,000 (Direct Cost: ¥900,000)
Keywordsシミュレーション / OLGモデル / 不完備市場 / 一般均衡 / 流動性 / 政策シミュレーション / ライフサイクルモデル / 高齢化 / 低金利化
Research Abstract

本研究課題について,次の研究を実施した。不確実性の解消を待つために待ちオプションプレミアムを理論的に考察した。ただ実証的に待ちオプションプレミアムを日本の社債市場で発見できなかった。投資が不可逆的で,流動制約が存在する不完備経済において,消費税に再配分機能があることを理論的に証明し,日本経済での厚生評価をした。生涯賃金が,参入時点での景気に左右される不完備経済のコストやその対策を解析的に考察し,日本経済で数量的に評価した。4本の論文が査読付き雑誌に掲載または掲載予定となった。

Report

(4 results)
  • 2008 Annual Research Report   Final Research Report ( PDF )
  • 2007 Annual Research Report
  • 2006 Annual Research Report
  • Research Products

    (9 results)

All 2009 2008 2007 Other

All Journal Article (7 results) (of which Peer Reviewed: 7 results) Book (2 results)

  • [Journal Article] Risk premiums versus waiting-options premiums : A simple numerical example2009

    • Author(s)
      Miyazaki, K., and M. Saito
    • Journal Title

      The B.E. Journal of Theoretical Economics Vol.9(1)

      Pages: 1-31

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Risk premiums versus waiting-options premiums : A simple numerical examnle2009

    • Author(s)
      Miyazaki, K., and M. Saito
    • Journal Title

      The B. E. Journal of Theoretical Economics Vol.9(1)

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The effect of the temporal resolution of uncertainty on asset pricing : a survey and an empirical study of Japan's corporate bond market2008

    • Author(s)
      Miyazaki, K
    • Journal Title

      Journal of International Economic Studies Vol.22

      Pages: 51-69

    • NAID

      120000994056

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] The effect of temporal resolution of uncertainty on asset pricing: a survey and an empirical study in Japanese corporate bonds markets2008

    • Author(s)
      Miyazaki, Kenji
    • Journal Title

      Journal of International Economic Studies 22

      Pages: 51-69

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Risk Premiums versus Waiting-options Premiums: A Simple Numerica1 Example2008

    • Author(s)
      Miyazaki, K, and M. Saito
    • Journal Title

      The B. E. Journal of Theoretical Economics

    • Related Report
      2007 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On the intergenerational and intertemporal sharing of cohort-specific permanent shocks on permanent income

    • Author(s)
      Miyazaki, K., M. Saito, and T. Yamada
    • Journal Title

      Macroeconomic Dynamics

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Incomplete Financial Markets, Irreversibility of Investment, and Fiscal and Monetary Policy Instruments

    • Author(s)
      Miyazaki, K., K. Nishimura, and M. Saito
    • Journal Title

      Japanese Economic Review

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Book] 『社債市場の経済分析 : 日本の経験とアジアの現状』の第2章「流動性プレミアムと社債スプレッド」2007

    • Author(s)
      胃鵬編
    • Total Pages
      25
    • Publisher
      法政大学出版会
    • Related Report
      2008 Final Research Report
  • [Book] 胥鵬編『社債市場の経済分析:日本の経験とアジアの現状』の第2章「流動性プレミアムと社債スプレッド」2007

    • Author(s)
      宮崎憲治
    • Publisher
      法政大学出版会
    • Related Report
      2007 Annual Research Report

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Published: 2006-04-01   Modified: 2016-04-21  

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