[17]Holmström and Tirole (2000) (1) (2) (1) (2) 1 1 2

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2 [17]Holmström and Tirole (2000) (1) (2) (1) (2) 1 1 2

3 MM MM MM MM CP 0 3

4 % 5% %

5 MM [35]Townsend (1979) [38]Williamson (1987) 5

6 2 3 q q [8]Fazzari, Hubbard and Petersen (1988) [22]Kaplan and Zingales (1997) [8]Fazzari, Hubbard and Petersen (1988) [22]Kaplan and Zingales (1997) [8]Fazzari, Hubbard and Petersen (1988) 2 3 [20]Hubbard(1998) 6

7 4 [19]Hoshi, Kashyap and Scharfstein (1991) [19]Hoshi, Kashyap and Scharfstein (1991) [19]Hoshi, Kashyap and Scharfstein (1991) [13]Hayashi and Inoue (1991) [19]Hoshi, Kashyap and Scharfstein (1991) [13] Hayashi and Inoue (1991) [19]Hoshi, Kashyap and Scharfstein (1991) [14]Hayashi (1997) [19]Hoshi, Kashyap and Scharfstein (1991) 5 4 [9]Fazzari, Hubbard and Petersen (2000) [23]Kaplan and Zingales (2000) 5 q 7

8 [35]Townsend (1979) [38]Williamson (1987) [5]Bernanke and Gertler (1989) [5]Bernanke and Gertler (1989) [35]Townsend (1979) [38]Williamson (1987) [5]Bernanke and Gertler (1989) [1]Aghion and Bolton (1997) [5]Bernanke and Gertler (1989) [11]Greenwald and Stiglitz (1993) (1) 1 (2) (3) 8

9 [28]Kiyotaki and Moore (1997) [28]Kiyotaki and Moore (1997) [29]Lucas (1990) [10]Fuerst (1992) 6 [6]Bernanke, Gertler and Gilchrist (1996) 7 [18]

10 (1) (2) CD (3) 3 2 CD 3 [3]Bernanke (1983) [33]Romer and Romer (1990) [4]Bernanke and Blinder (1992) [27]Kashyap, Stein and Wilcox (1993) [33]Romer and Romer (1990) [4]Bernanke and Blinder (1992) [27]Kashyap, Stein and Wilcox (1993) 10

11 [27]Kashyap, Stein and Wilcox (1993) CP [24]Kashyap, Lamont and Stein (1994) [26]Kashyap and Stein (1995) [25]Kashyap, Lamont and Stein (1994) 1982 [37]Ueda (1993) [21] 1995 [15] 1995 [32] 1997 [30] 2000 [37]Ueda (1993) [15] 1995 [32] 1997 [30] 2000 [21]

12 VAR VAR VAR 3.2 [12]Granger (1969) [34]Sims (1980) innovation accounting Granger VECM [36]Toda and Yamamoto (1995) VAR [36]Toda and Yamamoto (1995) VAR [36]Toda and Yamamoto (1995) 8 VAR 8 [2]

13 3.3 CALL RLOAN INV SALES LIQ1 LIQ2 CALL RLOAN 2 LIQ1 LIQ2 2 LIQ1 LIQ2 2 INV SALES LIQ1 LIQ LIQ [7]Dickey and Fuller (1979) Augmented Dickey-Fuller ADF ADF AIC [31]Pantula et al. (1994) AIC 2 13

14 9 ADF 3 LIQ1 ADF 4 LIQ1 LIQ1 I(0) I(1) 4.2 Granger LIQ1 0 [36]Toda and Yamamoto (1995) Granger VAR k VAR VAR I(1) k +1 VAR k 0 Granger F Q1 Q3 1. A: CALL, INV, SALES, LIQ1 2. B CALL, INV, SALES, LIQ2 3. C RLOAN, INV, SALES, LIQ1 4. D RLOAN, INV, SALES, LIQ2 A VAR k =4 A LIQ1 I(1) A LIQ1 INV LIQ1 SALES 9 ADF 14

15 CALL B B I(1) B 5 B LIQ2 SALES INV SALES A CALL RLOAN C 7 C 5 7 A C SALES INV B CALL RLOAN D 8 D 5 8 D B A C B D A C B D B D A C 9 10 INV SALES LIQ1 SALES A C B D Granger 3 15

16 4.3 Granger Granger A Granger 3 Granger inovation accounting 16

17 2 2 VAR I(1) X t = Φ 1 X t Φ 5 X t 5 + Φ 6 Z t + u t X t INV t SALES t LIQ1 t LIQ2 t 3 1 Φ s (t =1,, 5) 3 3 Φ Z t Q 1,Q 2,Q 3 dcall t drloan t 3 6 u t dcall t = CALL t CALL t 1 drloan t = RLOAN t RLOAN t 1 VAR 7 7 Granger 17

18 Granger Granger [13]Hayashi and Inoue (1991) 11 q Granger [13]Hayashi and Inoue (1991) [19]Hoshi, Kashyap and Scharfstein (1991) Granger [37]Ueda (1993) [30] [21] Granger 12 18

19 [18] 1997 [21] 1995 [18] 1997 [21] Granger 19

20 1 VAR Granger Granger VAR 2 Granger VAR A

21 SNA 16 [30]

22 cash on hand and in the U.S. banks U.S. government and other securities 2. Quarterly Financial Report for Manufacturing, Mining, and Trade Corporations(U.S. Census Bureau) 22

23 2 CALL RLOAN INV SALES LIQ LIQ CALL RLOAN INV SALES LIQ1 LIQ2 CALL RLOAN 23

24 3 0 CALL RLOAN INV SALES LIQ * LIQ CALL RLOAN INV SALES LIQ1 LIQ2 CALL RLOAN 2. LIQ LIQ * 10% ** 5% 24

25 4 1 CALL ** RLOAN * INV * SALES ** LIQ * 1. CALL RLOAN INV SALES LIQ1 LIQ2 CALL RLOAN 2. LIQ LIQ * 10% ** 5% 25

26 5 Granger A CALL INV SALES LIQ1 CALL ** INV ** ** SALES ** * LIQ * ** 1. CALL INV SALES LIQ1 CALL F ** 1% * 5% Granger 26

27 6 Granger B CALL INV SALES LIQ2 CALL ** INV ** * SALES * ** LIQ ** ** 1. CALL INV SALES LIQ2 CALL F ** 1% * 5% Granger 27

28 7 Granger C RLOAN INV SALES LIQ1 RLOAN ** INV ** * ** SALES ** * LIQ * ** 1. CALL INV SALES LIQ1 RLOAN F ** 1% * 5% Granger 28

29 8 Granger D RLOAN INV SALES LIQ2 RLOAN ** INV ** * SALES ** ** LIQ ** ** 1. RLOAN INV SALES LIQ2 RLOAN F ** 1% * 5% Granger 29

30 9 Granger CALL INV SALES LIQ1 CALL ** INV ** ** SALES ** ** LIQ ** ** 1. CALL INV SALES LIQ1 RLOAN F ** 1% * 5% Granger 30

31 10 Granger RLOAN INV SALES LIQ1 RLOAN ** INV ** ** SALES ** ** LIQ ** ** 1. RLOAN INV SALES LIQ1 RLOAN F ** 1% * 5% Granger 31

32 [1] Aghion, P., and P. Bolton (1997), A Theory of Trickle-Down Growth and Development with Debt Overhang, Review of Economic Studies, 64, [2] 2000 VAR ECM 48 pp [3] Bernanke, B. S. (1983), Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression, American Economic Review, 73, [4] Bernanke, B. S., and A. S. Blinder (1992), The Federal Funds Rate and the Channels of Monetary Transmission, American Economic Review, 82, [5] Bernanke, B. S., and M. Gertler (1989), Agency Costs, Net Worth, and Business Fluctuations, American Economic Review, 79, [6] Bernanke, B. S., M. Gertler, and S. Gilchrist (1996), The Financial Accelerator and the Flight to Quality, Review of Economics and Statistics, 78, [7] Dickey, D. A., and W. A. Fuller (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, [8] Fazzari, S., G. Hubbard, and B. Petersen (1988), Financing Constraints and Corporate Investment, Brooking Papers on Economic Activity, 1, [9] Fazzari, S., G. Hubbard, and B. Petersen (2000), Investment-Cash Flow Sensitivities Are Useful: A Comment on Kaplan and Zingales, Quarterly Journal of Economics, [10] Fuerst, T. S. (1992), Liquidity, Loanable Funds and Real Activity, Journal of Monetary Economics, 29,

33 [11] Greenwald, B., and J. Stiglitz (1993), Financial Market Imperfections and Business Cycles, Quarterly Journal of Economics, 108, [12] Granger, C. W. J. (1969), Investigating Casual Relations by Econometric Models and Cross-Spectral Methods, Econometrica, 37, [13] Hayashi, F., and T. Inoue (1991), The Relation between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms, Econometrica, 59, [14] Hayashi, F. (1997), The Main Bank System and Corporate Investment: An Empirical Reassessment, NBER Working Paper, [15] 1995 [16] Holmström, B., and J. Tirole (1998), Private and Public Supply of Liquidity, Journal of Political Economy, 106,1-40. [17] Holmström, B., and J. Tirole (2000), Liquidity and Risk Management, Journal of Money, Credit, and Banking, 32, [18] pp [19] Hoshi, T., A. K. Kashyap, and D. Scharfstein (1991), Corporate Structure, Liquidity, and Investment: Evidence from Japanese Panel Data, Quarterly Journal of Economics, 106, [20] Hubbard, R. G. (1998), Capital-market Imperfections and Investment, Journal of Economic Literature, 36, [21] 1995 [22] Kaplan, S. N., and L. Zingales (1997), Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints, Quarterly Journal of Economics, 112,

34 [23] Kaplan, S. N., and L. Zingales (2000), Investment-Cash Flow Sensitivities Are Not Valid Measures of Financing Constraints, Quarterly Journal of Economics,, [24] Kashyap, A. K., O. Lamont, and J. C. Stein (1994), Credit Conditions and the Cyclical Behavior of Inventories: A Case Study of the Recession, Quarterly Journal of Economics, 109, [25] Kashyap, A. K., and J. C. Stein (1994), Monetary Policy and Bank Lending, inn.g.mankiw,ed.,monetary Policy, University of Chicago Press, Chicago. [26] Kashyap, A. K., and J. C. Stein (1995), The Impact of Monetary Policy on Bank Balance Sheets, Carnegie-Rochester Conference Series on Public Policy, 42, [27] Kashyap, A. K., J. C. Stein, and D. W. Wilcox (1993), Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance, American Economic Review, 83, [28] Kiyotaki, N., and J. Moore (1997), Credit Cycles, Journal of Political Economy, 105, [29] Lucas, R. E. (1990), Liquidity and Interest Rates, Journal of Economic Theory, 50, [30] 2000 [31] Pantula, S. G., L. Pinkowitz, G. Gonzalez-Farias, and W. A. Fuller (1994), A Comparison of Unit-Root Test Criteria, Journal of Business and Economic Statistics, 12, [32]

35 [33] Romer, C. D., and D. H. Romer (1990), New Evidence on the Monetary Transmission Mechanism, Brookings Papers on Economic Activity, 1, [34] Sims, C. (1980), Macroeconomics and Reality, Econometrica, 48, [35] Townsend, R. (1979), Optimal Contracts and Competitive Markets with Costly State Verification, Journal of Economic Theory, 21, [36] Toda, H., and T. Yamamoto (1995), Statistical Inference in Vector Autoregressions with Possibly Integrated Processes, Journal of Econometirics, 66, [37] Ueda, K., (1993), A Comparative Perspective on Japanese Monetary Policy: Short-Run Monetary Control and the Transmission Mechanism, ink.j.singleton,ed.,japanese Monetary Policy, University of Chicago Press, Chicago. [38] Williamson, S. D. (1987), Costly Monitoring, Loan Contracts, and Equilibrium Credit Rationing, Quarterly Journal of Economics, 102,

Keynes 1936 Tobin 1 Hicks 1937 Keynes IS LM 2 IS LM 3 IS LM Keynes Keynes animal spirits

43 2000 17 28 Masahiro NAKANO 2.1 Keynes 2.2 3.1 3.2 43 2000 Keynes 1936 Tobin 1 Hicks 1937 Keynes IS LM 2 IS LM 3 IS LM Keynes Keynes animal spirits Keynes IS LM 1990 Keynes 1980 90 2 1 43 2000 Keynes