Japan's Current Account Dynamics in the Time of Population Aging and Decline

• Project/Area Number: 25245037
• Research Category: Grant-in-Aid for Scientific Research (A)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic policy
• Research Institution: Hitotsubashi University
• Principal Investigator: IWAISAKO TOKUO 一橋大学, 経済研究所, 教授 (90292523)
• Co-Investigator(Kenkyū-buntansha): 宇南山 卓 一橋大学, 経済研究所, 准教授 (20348840) ; 渡部 敏明 一橋大学, 経済研究所, 教授 (90254135)
• Research Collaborator: NAKATA Hayato 明星大学, 経済学部, 准教授
• Project Period (FY): 2013-10-21 – 2017-03-31
• Project Status: Completed (Fiscal Year 2016)
• Budget Amount: ¥30,940,000 (Direct Cost: ¥23,800,000、Indirect Cost: ¥7,140,000); Fiscal Year 2016: ¥8,840,000 (Direct Cost: ¥6,800,000、Indirect Cost: ¥2,040,000); Fiscal Year 2015: ¥7,020,000 (Direct Cost: ¥5,400,000、Indirect Cost: ¥1,620,000); Fiscal Year 2014: ¥7,670,000 (Direct Cost: ¥5,900,000、Indirect Cost: ¥1,770,000); Fiscal Year 2013: ¥7,410,000 (Direct Cost: ¥5,700,000、Indirect Cost: ¥1,710,000)
• Keywords: 経常収支 / 為替レート / 貯蓄投資バランス / 少子高齢化 / ベクトル自己回帰モデル / 石油価格 / ISバランス / 家計の金融行動 / 企業の金融行動 / 家計調査 / 実現ボラティリティ / 経済政策 / 日本経済論

Outline of Final Research Achievements

(1) The relationship between household age and its saving rate in Japan has changed over time. This explains a large part of household savings decline in recent years and possibly more important factor than population aging. It also seems that household saving decline has been partially offset by corporate saving increase. These empirical findings contradict with the premises of overlapping generations (OLG) model. Hence, the predictions of the impact of population aging on saving rates and current account based on simple OLG model has to be evaluated with a great caution. (2) We estimate the structural VAR model which can deal with the effects of oil price and exchange rate simultaneously. It is found that the main sources of Japan's current account fluctuations vary over time. The influence of the speculative fluctuation of exchange rate had been dominant in the 1980s. The influences of the global demand shock and crude oil price are found to be more important in the 2000s.

Research Products

• [Int'l Joint Research] Federal Reserve System(米国)
• [Int'l Joint Research] Feng Chia University(台湾)
• [Journal Article] "Impact of Population Aging on Household Savings and Portfolio Choice in Japan" (2017)
  • Author(s): Tokuo Iwaisako, Arito Ono, Amane Saito, Hidenobu Tokuda
  • Journal Title: SSRN Electronic Journal Volume: - Pages: 1-33
  • DOI: 10.2139/ssrn.2908756
  • Peer Reviewed / Open Access / Acknowledgement Compliant
• [Journal Article] 超高齢化時代を迎えた日本の家計の貯蓄と資産選択 (2017)
  • Author(s): 祝迫得夫
  • Journal Title: 証券アナリストジャーナル Volume: 55 Pages: 6-14
  • Acknowledgement Compliant
• [Journal Article] 家計のポートフォリオ選択からみた貯蓄から投資への課題 (2017)
  • Author(s): 祝迫得夫
  • Journal Title: 季刊 個人金融 Volume: 春号
  • Acknowledgement Compliant
• [Journal Article] 日本の企業貯蓄とISバランス (2017)
  • Author(s): 祝迫得夫
  • Journal Title: 経済研究 Volume: 68(3)
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] 出生率向上に向けて (2017)
  • Author(s): 宇南山卓
  • Journal Title: 日経研月報 Volume: 463号 Pages: 24-33
• [Journal Article] 貯蓄率の低下は高齢化が原因か？ (2017)
  • Author(s): 宇南山卓・大野太郎
  • Journal Title: 経済研究 Volume: 68(3)
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Bayesian Forecasting of Value-at-Risk Based on Variant Smooth Transition Heteroskedastic Models (2017)
  • Author(s): Cathy W. S. Chen, Monica M. C. Weng, Toshiaki Watanabe
  • Journal Title: Statistics and Its Interface Volume: 10 Issue: 3 Pages: 451-470
  • DOI: 10.4310/sii.2017.v10.n3.a9
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Journal Article] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析 (2017)
  • Author(s): 中島上智・渡部敏明
  • Journal Title: 経済研究 Volume: 68(3)
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] 持ち家が家計のポートフォリオ選択に及ぼす影響―日本についての分析 (2016)
  • Author(s): 祝迫得夫
  • Journal Title: ECO-FORUM Volume: 3 Pages: 21-30
  • Acknowledgement Compliant
• [Journal Article] 経済センサス―活動調査とSNA (2016)
  • Author(s): 宇南山卓
  • Journal Title: 統計 Volume: 67(4) Pages: 13-19
• [Journal Article] Measuring Intertemporal Substitution in Consumption: Evidence from a VAT Increase in Japan (2016)
  • Author(s): David Cashin and Takashi Unayama
  • Journal Title: Review of Economics and Statistics Volume: 463 Issue: 2 Pages: 285-297
  • DOI: 10.1162/rest_a_00531
  • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
• [Journal Article] 日経225分散リスク・プレミアムの予測力 (2016)
  • Author(s): 渡部敏明
  • Journal Title: 先物・オプションレポート Volume: 28 Pages: 1-8
• [Journal Article] 経済指標・金融政策の公表が日本国債先物の日中流動性に与える影響 (2016)
  • Author(s): 土田直司・吉羽要直・渡部敏明
  • Journal Title: 先物・オプションレポート Volume: 28 Pages: 1-6
• [Journal Article] The Intraday Market Liquidity of Japanese Government Bond Futures (2016)
  • Author(s): Naoshi Tsuchida, Toshiaki Watanabe, Toshinao Yoshiba
  • Journal Title: Monetary and Econoｍic Studies Volume: 34 Pages: 67-96
  • Peer Reviewed
• [Journal Article] Impacts of Oil Shocks on Exchange Rates and Macroeconomic Variables: A multi-country analysis (2016)
  • Author(s): Tokuo Iwaisako, Hayato Nakata
  • Journal Title: RIETI Discussion Paper Volume: 16-E-039 Pages: 1-40
  • Acknowledgement Compliant
• [Journal Article] Wealthy Hand to Mouth in Japan (2016)
  • Author(s): Hara, R., Unayama, T., Weidner, J.
  • Journal Title: Economics Letters Volume: 141 Pages: 52-54
  • DOI: 10.1016/j.econlet.2016.01.011
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2016)
  • Author(s): Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori
  • Journal Title: International Journal of Forecasting Volume: 32 Issue: 2 Pages: 437-457
  • DOI: 10.1016/j.ijforecast.2015.07.005
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] 原油価格，為替レートショックと日本経済 (2015)
  • Author(s): 祝迫得夫、中田勇人
  • Journal Title: 経済研究 Volume: 66 Pages: 355-376
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] 株価の上昇が資産・所得・消費の格差に与える影響 (2015)
  • Author(s): 宇南山卓
  • Journal Title: 貧困研究 Volume: 15 Pages: 15-25
• [Journal Article] Evaluating the Performance of Futures Hedging Using Multivariate Realized Volatility (2015)
  • Author(s): Masato Ubukata and Toshiaki Watanabe
  • Journal Title: Journal of the Japanese and International Economies Volume: 38 Pages: 148-171
  • DOI: 10.1016/j.jjie.2015.07.001
  • NAID: 210000186635
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] 日本の家計のポートフォリオ選択：居住用不動産が株式保有に及ぼす影響 (2015)
  • Author(s): 祝迫得夫
  • Journal Title: 経済研究 Volume: 66
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Monetary and Fiscal Policies During the Lost Decades (2015)
  • Author(s): Tokuo Iwaisako, Adam S. Posen and Kenneth N. Kuttner
  • Journal Title: Yoichi Funabashi and Barak Kushner eds., Examining Japan's Lost Decades (Routledge Contemporary Japan Series), Routledge, May 2015（図書所収論文） Volume: 1 Pages: 17-36
• [Journal Article] Impact of Exchange Rate Shocks on Japanese Exports: Quantitative assessment using a structural VAR model (2015)
  • Author(s): Tokuo Iwaisako, Hayato Nakata
  • Journal Title: RIETI Discussion Paper Volume: 15-E-029 Pages: 1-23
  • NAID: 210000174102
  • Open Access / Acknowledgement Compliant
• [Journal Article] 消費関連統計の比較 (2015)
  • Author(s): 宇南山卓
  • Journal Title: フィナンシャル・レビュー Volume: 122号 Pages: 59-79
  • Open Access
• [Journal Article] Child Benefit Payments and Household Wealth Accumulation (2015)
  • Author(s): Melvin Stephens Jr. and Takashi Unayama
  • Journal Title: Japanese Economic Review Volume: 66
  • Peer Reviewed
• [Journal Article] Measuring Intertemporal Substitution in Consumption (2015)
  • Author(s): David Cashin and Takashi Unayama
  • Journal Title: Review of Economics and Statistics Volume: 97
  • Peer Reviewed
• [Journal Article] 景気循環の計量分析－サーベイと日本の景気循環への応用－ (2015)
  • Author(s): 渡部敏明
  • Journal Title: 経済研究 Volume: 66
  • Peer Reviewed
• [Journal Article] Stochastic Volatility and Realized Stochastic Volatility Models (2015)
  • Author(s): Yasuhiro Omori and Toshiaki Watanabe
  • Journal Title: Current Trends in Bayesian Methodology with Applications (eds S. K. Upadhyay, U. Singh, D. K. Deyand A. Loganathan), Chapman & Hall/CRC Press. （図書所収論文） Volume: -
  • Peer Reviewed
• [Journal Article] 失われた20年の日本の財政政策と税制 (2014)
  • Author(s): 祝迫得夫
  • Journal Title: 経済研究 Volume: 65 Pages: 238-249
  • NAID: 120005822942
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Comparing Fiscal Problems in Japan and the United States (2014)
  • Author(s): Tokuo Iwaisako
  • Journal Title: Lessons from Decades Lost: Economic Challenges and Opportunities Facing Japan and the United States, PIIE Briefing No.14-4, Peterson Institute of International Economics (電子書籍所収論文) Volume: - Pages: 43-55
  • Open Access
• [Journal Article] 原油価格，為替レート・ショックと日本経済 (2014)
  • Author(s): 祝迫得夫、中田勇人
  • Journal Title: RIETIディスカッション・ペーパー Volume: 14-J-050 Pages: 1-21
  • Open Access / Acknowledgement Compliant
• [Journal Article] Bayesian Analysis of Business Cycle in Japan using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution (2014)
  • Author(s): Toshiaki Watanabe
  • Journal Title: 経済研究 Volume: 65 Pages: 156-167
  • NAID: 120005750601
  • Peer Reviewed / Open Access
• [Journal Article] アメリカにおける量的緩和の効果－実証分析のサーベイ (2014)
  • Author(s): 渡部敏明
  • Journal Title: 証券アナリストジャーナル Volume: 52 Pages: 28-34
• [Journal Article] Market variance risk premiums in Japan for asset predictability (2014)
  • Author(s): Masato Ubukata and Toshiaki Watanabe
  • Journal Title: Empirical Economics Volume: 印刷中 Issue: 1 Pages: 169-198
  • DOI: 10.1007/s00181-013-0741-2
  • Peer Reviewed / Open Access
• [Journal Article] Pricing Nikkei 225 options using realized volatility (2014)
  • Author(s): Masato Ubukata and Toshiaki Watanabe
  • Journal Title: Japanese Economic Review Volume: 印刷中 Issue: 4 Pages: 431-467
  • DOI: 10.1111/jere.12024
  • Peer Reviewed
• [Journal Article] A state space approach to estimating the integrated variance under the existence of market microstructure noise (2014)
  • Author(s): Daisuke Nagakura and Toshiaki Watanabe
  • Journal Title: Journal of Financial Econometrics Volume: 印刷中 Issue: 1 Pages: 45-82
  • DOI: 10.1093/jjfinec/nbt015
  • Peer Reviewed / Open Access
• [Journal Article] 消費/資産比率、不動産資産と日本の株式市場 (2014)
  • Author(s): 青野幸平・祝迫得夫
  • Journal Title: 季刊 住宅土地経済 Volume: 2014冬季 Pages: 20-28
  • NAID: 40019929505
• [Journal Article] 2013年ノーベル経済学賞 ファーマ、ハンセン、シラー教授の資産価値の実証分析への貢献（全体解説） (2014)
  • Author(s): 祝迫得夫
  • Journal Title: 経済セミナー Volume: 2・3月号 Pages: 64-70
• [Journal Article] Bayesian analysis of business cycles in Japan using Markov switching model with stochastic volatility and fat tail distribution (2014)
  • Author(s): Toshiaki Watanabe
  • Journal Title: 経済研究 Volume: 65
  • NAID: 120005750601
  • Peer Reviewed
• [Journal Article] The Consumption-Wealth Ratio, Real Estate Wealth and the Japanese Stock Market (2013)
  • Author(s): Aono, Kohei and Iwaisako, Tokuo
  • Journal Title: Japan and the World Economy Volume: 25(1) Pages: 39-51
  • DOI: 10.1016/j.japwor.2012.11.001
  • Peer Reviewed
• [Journal Article] 金融政策とインフレーション (2013)
  • Author(s): 祝迫得夫
  • Journal Title: 証券アナリストジャーナル Volume: 51 Pages: 9-19
• [Journal Article] 災害救助法と応急仮設住宅 : 阪神・淡路大震災の経験から (2013)
  • Author(s): 宇南山卓
  • Journal Title: 国民経済雑誌 Volume: 208 Pages: 105-118
  • NAID: 110009611359
  • Peer Reviewed
• [Journal Article] アメリカにおける量的緩和の効果－実証分析のサーベイ－ (2013)
  • Author(s): 渡部敏明
  • Journal Title: 証券アナリストジャーナル Volume: 52 Pages: 28-34
• [Presentation] 日本の企業貯蓄とISバランス (2017)
  • Author(s): 祝迫得夫
  • Organizer: 『経済研究』コンファレンス「日本経済と経常収支」
  • Place of Presentation: 一橋講堂、東京
• [Presentation] 日本の世帯属性別貯蓄率の動向について (2017)
  • Author(s): 宇南山卓
  • Organizer: 『経済研究』コンファレンス「日本経済と経常収支」
  • Place of Presentation: 一橋講堂、東京
• [Presentation] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析 (2017)
  • Author(s): 中島上智・渡部敏明
  • Organizer: 『経済研究』コンファレンス「日本経済と経常収支」
  • Place of Presentation: 一橋講堂、東京
• [Presentation] Oil Price, Exchange Rates, and the Macroeconomy (2016)
  • Author(s): Tokuo Iwaiako and Hayato Nakata
  • Organizer: Western Economic Association International 12th International Conference
  • Place of Presentation: Nanyang Technological University（シンガポール）
  • Year and Date: 2016-01-09
  • Int'l Joint Research
• [Presentation] Impact of Population Aging on Household Savings and Portfolio Choice in Japan (2016)
  • Author(s): Tokuo Iwaisako, Arito Ono
  • Organizer: ESRI/NBER International Conference 2016: Aging in Japan: The Impact of the Retirement of Japan’s Baby Boomers
  • Place of Presentation: Asian Development Bank, Tokyo
  • Int'l Joint Research / Invited
• [Presentation] Impacts of Permanent Income Shocks on Consumption: Evidence:from Japanese VAT Increase in 2014 (2016)
  • Author(s): David Cashin, Takashi Unayama
  • Organizer: Western Economic Association International 91st Annual Conference
  • Place of Presentation: Hilton Portland & Executive Tower, Portland, USA
  • Int'l Joint Research
• [Presentation] Impacts of Permanent Income Shocks on Consumption: Evidence:from Japanese VAT Increase in 2014 (2016)
  • Author(s): David Cashin, Takashi Unayama
  • Organizer: NBER Japan Project Meeting
  • Place of Presentation: Asian Development Bank, Tokyo
  • Int'l Joint Research
• [Presentation] Impacts of Permanent Income Shocks on Consumption: Evidence:from Japanese VAT Increase in 2014 (2016)
  • Author(s): David Cashin, Takashi Unayama
  • Organizer: IIPF 72nd Annual Conference
  • Place of Presentation: Harrah's Hotel, Lake Tahoe, Nevada, USA
  • Int'l Joint Research
• [Presentation] The Predictability of the Market Variance Risk Premium in Japan (2016)
  • Author(s): Toshiaki Watanabe
  • Organizer: Seminar at the Department of Statistics, Feng Chia University
  • Place of Presentation: Feng Chia University, Taipei, Taiwan
  • Int'l Joint Research
• [Presentation] Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2016)
  • Author(s): Toshiaki Watanabe
  • Organizer: Seminar at the Department of Statistics, Feng Chia University
  • Place of Presentation: Feng Chia University, Taipei, Taiwan
  • Int'l Joint Research
• [Presentation] Bayesian Estimation of Time-varying Price Impact in Financial Markets Using Intraday Data (2016)
  • Author(s): Toshiaki Watanabe
  • Organizer: International Society for Bayesian Analysis 2016 World Meeting
  • Place of Presentation: Forte Village Resort Convention Center, Sardegna, Italy
  • Int'l Joint Research
• [Presentation] Stock return predictability of the market variance risk premium in Japan (2015)
  • Author(s): Toshiaki Watanabe
  • Organizer: CFE-CMStatistics 2015
  • Place of Presentation: University of London（ロンドン、イギリス）
  • Year and Date: 2015-12-13
  • Int'l Joint Research
• [Presentation] Impact of Exhange Rate Shoks on Japanese Exports: Quantitative Assessment Using a Strutural VAR model (2015)
  • Author(s): 祝迫得夫、中田勇人
  • Organizer: 日本金融学会秋季大会
  • Place of Presentation: 東北大学（宮城県、仙台市）
  • Year and Date: 2015-10-25
• [Presentation] Stock Return Predictability of the Market Variance Risk Premium in Japan (2015)
  • Author(s): Toshiaki Watanabe
  • Organizer: Hitotsubashi Summer Institute Workshop“Frontiers in Financial Econometrics”
  • Place of Presentation: 一橋大学（東京都、国立市）
  • Year and Date: 2015-08-05
  • Int'l Joint Research
• [Presentation] Oil Price, Exchange Rate Shock, and the Japanese Economy (2015)
  • Author(s): Tokuo Iwaiako and Hayato Nakata
  • Organizer: Western Economic Association International Annual Meeting
  • Place of Presentation: ヒルトン・ハワイアン・ヴィレッジ（ホノルル, アメリカ合衆国）
  • Year and Date: 2015-06-29
  • Int'l Joint Research
• [Presentation] 少子化の原因と保育所整備 (2015)
  • Author(s): 宇南山卓
  • Organizer: 日本応用経済学会
  • Place of Presentation: 九州産業大学（福岡県、福岡市）
  • Year and Date: 2015-06-14
• [Presentation] Impact of Exhange Rate Shoks on Japanese Exports: Quantitative Assessment Using the Structural VAR model (2015)
  • Author(s): 祝迫得夫、中田勇人
  • Organizer: 日本経済学会春季大会
  • Place of Presentation: 新潟大学（新潟県、新潟市）
  • Year and Date: 2015-05-24
• [Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2014)
  • Author(s): Toshiaki Watanabe (共著者：Makoto Takahashi, Yasuhiro Omori)
  • Organizer: Computational and Financial Econometrics
  • Place of Presentation: University of Pisa, Pisa, Italy
  • Year and Date: 2014-12-06
• [Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2014)
  • Author(s): Toshiaki Watanabe (共著者：Makoto Takahashi, Yasuhiro Omori)
  • Organizer: The China Meeting of Econometric Society
  • Place of Presentation: Xiamen University, Xiamen, China
  • Year and Date: 2014-06-25
• [Presentation] 2013年ノーベル経済学賞 ファーマ、ハンセン、シラー教授の資産価値の実証分析への貢献
  • Author(s): 祝迫得夫・久保田敬一・大垣昌夫・筒井義郎
  • Organizer: 日本ファイナンス学会 第23回特別研究観望会
  • Place of Presentation: 一橋講堂（東京都）
• [Presentation] 日本の投資家にとってのコモディティ投資の効用の再評価
  • Author(s): 青野幸平、祝迫得夫、中田勇人
  • Organizer: Mini-conference on Asset Pricing
  • Place of Presentation: 一橋大学（東京都）
• [Presentation] Bayesian analysis of business cycles in Japan using Markov switching model with stochastic volatility and fat tail distribution
  • Author(s): Toshiaki Watanabe
  • Organizer: 2013 Annual Meeting of the Taiwan Mathematical Society
  • Place of Presentation: National San Yat-Sen University, Kaohsiung, Taiwan
  • Invited
• [Presentation] Bayesian analysis of multiple structural changes in ARFIMA models with an application to realized volatility
  • Author(s): Toshiaki Watanabe
  • Organizer: ISBA Section on Economics, Finance and Business at Bayes 259 Workshop
  • Place of Presentation: Duke University, Durham, NC, USA
• [Funded Workshop] Japan Economic Seminar (2017)
  • Place of Presentation: Columbia University, USA