Yosuke Takeda | Sophia University (original) (raw)

Papers by Yosuke Takeda

This paper addresses the arts of central bank communication, in a semantic analysis of applying a... more This paper addresses the arts of central bank communication, in a semantic analysis of applying a topic model to the regular press conference documents of the Bank of Japan (BOJ)’s governor Masaaki Shirakawa and governor Haruhiko Kuroda. A standard method of latent Dirichlet allocation (LDA) in statistic natural language processing literature indicates some evidence on the communication strategy. Our results using 70 regular press conference documents show the difference of governorship of Shirakawa and Kuroda in their topics distribution. In the era of governorship of Kuroda, his topics dramatically changes in the early 2016 when the negative interest rate policy was introduced. It is notable that this change decreases a ratio of the “policy goal” topic which was the essential feature of governor Kuroda. Our results imply that statistical natural language processing techniques are useful for identifying changes monetary authorities’ policy stance.

This paper examines whether statistical natural language processing techniques have been useful i... more This paper examines whether statistical natural language processing techniques have been useful in analyzing documents on monetary policy. A simple latent semantic analysis shows a relatively good performance in classifying the Bank of Japan (BOJ)'s documents on its governors' policy and the impact without human reading. Our results also show that Governor Haruhiko Kuroda's communication strategy changed slightly in 2016 when the BOJ introduced the negative interest rate policy. This change in 2016 is comparable to the one from the transition from Masaaki Shirakawa to Kuroda. In spite of the intention, the BOJ had a misjudgment in the communication strategy.

We empirically investigate asset substitution of economic sectors in response to either liquidity... more We empirically investigate asset substitution of economic sectors in response to either liquidity demand or monetary policy shock, using the Japanese flow of funds data. Our interest is in responses of portfolio items of six sectors, financial institutions, central government, public corporations and local government, corporate business, personal, and overseas. It is reasonable to identify both shocks in liquidity demand and monetary policy, using recursive VAR models where the variable ordering is the real GDP, the GDP deflator, the commodity price index, the call rate, the monetary base and each balance-sheet variable. We interpret that structural innovations in the monetary base as liquidity demand shocks and those in the call rate as monetary policy shocks. The responses to either the monetary-policy or liquidity demand shocks are different among sectors, among the transaction items, and between the periods before and after the bubble. Among the sectors, the personal sector exhibits the delayed responses, which are consistent with the limited participation model. The transaction items of the corporate business sector show vivid responses to the shocks. Between the two sub-periods, the stocks held by the financial institutions show the clearly different responses.

This paper quantitatively investigates the welfare costs of inflation and idiosyncratic and aggre... more This paper quantitatively investigates the welfare costs of inflation and idiosyncratic and aggregate income risks in a Bewley-type incomplete market model. A calibrated model of the Japanese economy in the 1990s indicates that money growth generated a larger welfare cost equivalent to 0.334% of real GDP, than the estimated shoe-leather cost 0.2%, and that the cost of inflation was amplified through an increase in unemployment risk. The model also indicates that longer unemployment duration spells, and the presence of heterogeneous agents, augment the welfare costs of income risk. Finally, the aggregate risk of the business cycle is found to be of little importance to welfare.

Abstract. This paper addresses the Goodhart’s Law in a cash-in-advance economy with monetary poli... more Abstract. This paper addresses the Goodhart’s Law in a cash-in-advance economy with monetary policy regime switching. Using the Japanese data of the money velocity, we found that although our cash-credit model fails to generate a downward trend in the actual velocity, the model succeeds in terms of velocity’s variation and correlations with money growth rates or nominal interest rates, with procyclicality of velocity unpredictable.

Since February 1999, including a brief intermission, the Bank of Japan has consistently pursued a... more Since February 1999, including a brief intermission, the Bank of Japan has consistently pursued a zero interest rate policy. This paper examines how the Japanese Government Bond (JGB) market—the benchmark indicator of the long-term interest rate—has responded to the zero interest rate policy. We study changes in the JGB market from the perspective of the two goals of the zero interest rate policy—supplying liquidity, and dispelling deflationary concerns. First, after testing the expectations hypothesis for determination of long-term interest rates, we conduct an empirical analysis of the effect of the zero interest rate policy on the JGB market, focusing on the forward rate. The results are as follows. 1. Overall, the expectations hypothesis holds for the JGB market. 2. At the same time, we confirmed the existence of a liquidity premium over the long term. That is, the term premium is an increasing function of maturity. This means that the liquidity premium hypothesis rejected by Ku...

The paper aims at quantifying the higher-order expectations that Keynes (1936) compared to the be... more The paper aims at quantifying the higher-order expectations that Keynes (1936) compared to the beauty contest, applying a measure of relative entropy to the Japanese ESP Forecast Survey data during the deflationary period. We conclude that during the deflationary period from June 2009 to April 2010 and from April 2010 to February 2011, professional Japanese forecasters faced the Keynesian beauty contest, in which average expectations dominate agents’ expectations.

Despite numerous researches on the macroeconomic effects of unconventional monetary policy measur... more Despite numerous researches on the macroeconomic effects of unconventional monetary policy measures, as surveyed for example by Kozicki, et al. (2011) and Williams (2011), the empirical effectiveness is still unconvincing. Instead of an event-study method most of the previous studies took, we apply a simple time-series methodology of a Tobit or censored normal regression model. To capture the effects associated with the standard monetary policy rule, we take into account both nonlinearity caused by a zero-bound of nominal interest rates (Benhabib, et al., 2002) and endogeneity of determinant variables in monetary policy rule. As relevant instrumental variables for the possibly endogenous variables in a non-linear Taylor-type rule augmented with financial asset prices, unconventional monetary policy measures are used. We consider the case of the Bank of Japan (BOJ), which has time-series variations in the ZIRP and QEP implemented on an intermittent basis since 1999. We also distingui...

This paper develops a theory of nonlinear capital income taxation in an economy where parents hav... more This paper develops a theory of nonlinear capital income taxation in an economy where parents have paternalistic intergenerational transfer motives. Parents with a higher discount factor than their adult-children have an incentive to leave intergenerational transfers which enhance the kids’ savings. There is a democratic government which respects the utilities of all individuals; hence the paternalistic motives indirectly affect the determination of public policies. We show that the marginal capital income tax is positive for the children with a paternalistic parent.

This paper in the spirit of Marshall(1920) raise a question of how economic distance affects the ... more This paper in the spirit of Marshall(1920) raise a question of how economic distance affects the firms’ productivities, focusing upon distributions of the productivities shared by auto suppliers on the periphery of automobile assembly plants. We estimate production functions of the Japanese automobile-parts plants, with special attention to productivity function of measured economic distance. We take econometric issues of cross-sectional dependence of productivities and a simultaneity problem between inputs, applying methods to the standard OLS and GMM estimators. While distributions of the general or independent plants are positively skewed away from the minimum distance assemblies, a limited number of the relation-specific or cooperative plants expose differential locations between the auto assembly groups or the cooperation associations. The general or independent plants gain positive technological externalities, the fact which is robust to specifications of the production functi...

International Trade and Economic Dynamics, 2009

This chapter surveys the literature on the role of the rate of time preference in macroeconomics.... more This chapter surveys the literature on the role of the rate of time preference in macroeconomics. The tradition of Bohm-Bawerk (The positive theory of capital, MacMillan, London, 1891) and Fisher (The theory of interest, MacMillan, New York, NY, 1930) to contemplate on nature and causes of time discount was distilled by Samuelson (1937) in his elegant formulation of the discounted utility (DU) model, which almost dominated the profession for a long time. As noted by Koopmans (Econometrica 28:287–309, 1960) and Ramsey (Econ J 38:543–559, 1928), time consistency is a key postulate required for the DU formulation. Following Stroz (Rev Econ Stud 23:165–180, 1955), Phelps and Pollak (Rev Econ Stud 35:185–199, 1968) and Laibson (Q J Econ 112:443–477, 1997) explored a game-theoretic situation where the present self has a conflict with the future selves. Laibson’s hyperbolic discounting, motivated by the psychological and experimental findings that people tend to discount the immediate future more than the distant one, opens up a wide perspective in macroeconomics. Also, large accumulation of international debts can be attributed to the difference in time discount rates among nations. Homage to Koji Shimomura by Koichi Hamada My encounter with Koji Shimomura started in the autumn of 2000when he appeared in my office at Yale, thanks to the exchange agreement between the Research Institute of Economics and Business (RIEB) at Kobe University and the Economic Growth Center at Yale. I was puzzled by the question if the typical form of free trade agreement (FTA) without any compensatory tariff reductions or transfers to the rest of the world would always deteriorate the welfare of the rest of the world. In a few days, he transformed my old-fashioned approach into a full-fledged expenditure–revenue framework. K. Hamada Yale University, New Haven, CT 06520-8269, USA T. Kamihigashi and L. Zhao (eds.) International Trade and Economic Dynamics – Essays in Memory of Koji Shimomura. c 393 © Springer-Verlag Berlin Heidelberg 2009 394 K. Hamada, Y. Takeda From January 2001, I was assigned to be a head of the Economics and Social Research Institute (ESRI) in the Japanese government, and my research into this issue was virtually interrupted for 2 years. In my next meeting with him at Kobe in 2003, he almost reproduced his framework to enlighten my old-fashioned approach that I repeated in the seminar. From that time, we started the intensive collaboration for our paper entitled “Can a preferential trade agreement benefit the welfare of the rest of the world?” At the same time, alas!, he told me of his eternal illness. Even after that, I wonder how many scholars gathered from all over the world in Kobe to benefit from his unbelievably clear and hardworking brain that kept working in spite of his illness. Of course, I was one of them. My another coauthor Masahiro Endoh and I waited for Koji to complete our manuscript into crystal clear analytical style. This was interrupted by his hospitalization and was not done completely, but his analytical insight was everywhere in the completed chapter (Endoh et al. 2008). The messages in the chapter are as follows. In a two commodity world where the goods are normal, a formation of a preferential trade agreement (PTA) that is mutually agreeable to the member countries and without any tariff (income) concessions to the neighbor countries certainly deteriorate the neighbor’s welfare, unless one of the member countries is an entrepot (or a transient port). On the other hand, if one of them is an entrepot, then the neighbor countries will definitely benefit from a formation of a PTA. Under the Armington assumption that precludes the existence of an entrepot, the above result will carry through for N-commodity case provided that the goods are substitutes. I had an inclination to seek such results as to imply that most PTAs without outside compensations will harm the welfare of neighbors. They do not contradict the Kemp–Wan theorem at all because outside compensations to outsider countries are precluded. Koji, perhaps as a brilliant student of Murray Kemp, seemed to look for such results that warrant the Pareto-efficient PTA formation exists. A major part of my last conversation with Koji at the Kobe University Hospital was on this aspect of the model. This was not all our academic conversations in our last meeting. He would like to turn to the field of international finance and to ask for my advice, he said. He found that the long-run state of a growing world economy would not necessarily be the state that the net debt or credit would converge to zero. I answered, rather plainly, without knowing that would become our last conversation, that his intuition was right and probably understood by most of the profession. I added that we have to create a formulation with certain microeconomic foundation to make such models useful and interesting. I should have been more encouraging and embracing. About a…

This paper examines interaction between the monetary environment and dynamic insurance contracts.... more This paper examines interaction between the monetary environment and dynamic insurance contracts. The incentive compatibility condition of dynamic contracts is primarily determined by returns on alternative investment opportunities. Therefore, in an economic environment where money is circulated as a precautionary savings device, incation rates as alternative returns may have signiacant eaects on the extent to which incentive compatibility conditions are binding. In particular, the paper demonstrates that incentive compatibility conditions could be relaxed by higher rates of incation, so that more eecient insurance contracts could be implemented in an incationary environment. This dependence of incentive compatibility conditions on incation rates mitigates the welfare costs of holding money, and thereby raises optimal steady-state rates of incation. Given greater degrees of relative risk aversion, stronger constraint-relaxing eaects augment optimal rates of incation. JEL classiacati...

Macroeconomic Dynamics, 2006

Taking Dutta and Kapur's study (Review of Economic Studies65, 551–572, 1998) as a case of the... more Taking Dutta and Kapur's study (Review of Economic Studies65, 551–572, 1998) as a case of the Tobin effect, this note investigates the extent to which the Tobin effect persists with the addition of sophisticated financial instruments in incomplete markets. On one hand, after dynamic contracts are introduced to the fullest extent, money demand as a precautionary device is crowded out completely, and there is thus no room for the Tobin effect to persist. On the other hand, the Tobin effect may be strengthened under conditions of coexistence of fiat money and dynamic insurance contracts with limited transfers thanks to relaxed incentive compatibility conditions in a moderately inflationary environment.

This paper is in the spirit of Marshall (1920), who raised the question of how economic distance ... more This paper is in the spirit of Marshall (1920), who raised the question of how economic distance affects a firm's productivity, focusing upon the role of idea sharing in relation to technological knowledge or information between firms. In order to quantify the degree of knowledge spillover or information sharing, we take the production function approach. Assuming core-periphery structure around automobile assemblies surrounded with auto-parts suppliers, we estimate plant-level production functions of the Japanese auto-parts suppliers, where productivity function depends upon the degree of information sharing measured by both geographic plant location and membership of technological cooperation associations. We take econometric issues of cross-sectional dependence of productivity and a simultaneity problem between inputs, applying methods to the standard OLS and GMM estimators. Positive technological externalities are seen in general and for independent plants, the fact which is robust to specifications of the production functions. Agglomeration effects are however rarely observed for relation-specific or cooperative plants. Some of them cost substantial negative externalities.

In order to make quantitative evaluations on the nature of capital adjustment costs, in the face ... more In order to make quantitative evaluations on the nature of capital adjustment costs, in the face of technological changes, we estimate capital adjustment cost functions, either convex, non-convex, or irreversible . A simulated method of moments is applied to the Bellman equations at an establishment level of the Japanese auto parts suppliers (Census of Manufactures), where experiencing a technological change of automobile electronics, an application of general purpose technology . Identifying when and where auto-electronics technologies have been embodied in the auto parts suppliers, we use patent acquisition data and plants' products items: electronically-controlled fuel injection; electric power steering; anti-lock brakes; airbags; navigation; wire harnesses; and lithium-ion batteries. For the overall auto parts suppliers, there are no adjustment costs in any form, neither convex, non-convex, nor irreversible. As for the sectoral plants with the automobile electronics embodied in the tangible capitals, we clearly detect a significant existence of the convex adjustment costs. Anomalously, auto-electronics also makes investment decisions reversible. Moreover, the fixed costs of plant restructuring, worker retraining, or organizational restructuring emerge, especially in a form of costs proportional to plant size rather than the opportunity cost of investment. The nature of adjustment costs implies economic policy measures to compensate for the output losses from the capital adjustment costs in the face of general purpose technologies.

Do legal enforcements for competition policy have differential effects on innovative research and... more Do legal enforcements for competition policy have differential effects on innovative research and development (R&D) activities? Taking into account both strategic R&D competition between incumbent and entrant, and government's optimal choice of legal schemes, we first present a game-theoretic model of innovation and legal enforcement . The model suggests that there are in subgame-perfect equilibria some relations concerning average treatment effects of legal enforcement on entrant's R&D or incumbent's deterrence activities, conditional on law and order degree in host countries (World Bank Worldwide Governance Indicators). Second, focusing on overseas subsidiaries of the Japanese auto-parts suppliers that have international deployments with different legal origins in locations, we use a pooled data set of the Basic Survey of Overseas Business Activities and the Basic Survey of Japanese Business Structure and Activities. The average multi-valued treatment effect estimation shows positive results for the model. It suggests that under regulation as a legal enforcement scheme instead of strict liability or negligence, even in countries with low degree of law and order, R&D activities would be more enhanced and R&D-deterrent ones be further suppressed on average. Legal enforcement for competition policy does matter for innovation.

International Trade and Economic Dynamics, 2009

Macroeconomic Dynamics, 2006