日本における財政政策のインパクトー1990年代のイベント・スタディー

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1 FTPL FTPL

3 sustainability FTPL fiscal theory of the price level FTPL Fukuda and Teruyama Giavazzi and Pagan Giavazzi and Pagano Alesina and PerottiSutherlandPerottiGiavazzi, Jappelli and Pagano FTPL LeeperSimsWoodford FTPLKocherlakota and PhelanCarlstrom and Fuerst Christiano and Fitzgerald

4 VAR VAR VAR Blanchard and Perotti Bayoumi VAR

5 FTPL FTPL

13 Aschauer

14 Barro Sargent and Wallace unpleasant arithmetic B t D t g t τ t +(1+ i t )B t 1 /P t +D t 1 /P t (M t M t 1 )/P t +B t /P t +Q t (D t D t 1 )/P t. τ t g t M t t B t 1 t t 1 D t 1 t t 1 i t t Q t t P t t

15 t s t s t τ t g t +(M t M t 1 )/P t, (1+ i t )Q t 1 =1+ Q t [(1+i t )B t 1 + (1+Q t ) D t 1 ] /P t = s t +. r t t r t = (1+ i t )(P t /P t +1 ) i t Q t r t P t s t s t + j s t + j s t + j SutherlandPerotti j r j= 1 k= 1 t + k 1 s t + j FTPL FTPL s t, s t +1, s t +2,... t B t 1 i t D t 1

16 t P t Q t FTPL P t Woodford Recardian policy regime FTPLnon-Ricardian policy regime B t 1 P t FTPL Buiter FTPL P t Q t FTPL FTPL CochraneDaniel CochraneFTPL FTPL Canzoneri, Cumby, and Dibab VAR VARFTPL

17 FTPL FTPL P t FTPL P t FTPL DuporDanielCanzoneri, Cumby, and Dibaa

18 FTPL FTPL

19 S t E t 1 0 S t = +Σ α j Dj t +β Call t, j E t = +Σ γ j Dj t +δ Call t. j Dj t t = j 1 Call t

21 t Dummy D1 D2 D3 D4 D1D2D3 D1 D1 D2 D3 D4 D1 D2 D1 D2 D3 D1D2 D1D2 D3

22 t Dummy D1 D2 D3 D4

23 R t 0 1 R t = +φ j DDj t +η Call t +ϕ 1 R t 1 +ϕ 2 R t 2 +ϕ 3 R t 3. DDj t t = j 0 t = j 1 DDj

24 t Dummy DDj

25 s t s t + j ( j 1) Q t FTPL

26 FTPL FTPL

27 CI forward-looking

38 FTPL

39 FTPL

43 FTPL

45 Alesina, A., and R. Perotti, Fiscal Adjustments in OECD Countries: Composition and Macroeconomic Effects, International Monetary Fund Staff Papers, 44, 1997, pp Aschauer, D.A., Is Public Expenditure Productive?, Journal of Monetary Economics, 23, 1989, pp Barro, Robert J., Are Government Bonds Net Wealth?, Journal of Political Economy, 82, 1974, pp Bayoumi, Tamim, The Morning After: Explaining the Slowdown in Japanese Growth in the 1990s, Journal of International Economics, 53, 2001, pp Blanchard, O., and R. Perotti, An Empirical Characterization of the Dynamic Effects of Change in Government Spending and Taxes on Output, NBER Working Paper, 7269, Buiter, Willem H., The Fallacy of the Fiscal Theory of the Price Level, NBER Working Paper, 7302, Canzoneri, M.B., R.E. Cumby, and B.T. Diba, Fiscal Discipline and Exchange Rate Systems, Economic Journal, 111, 2001a, pp , and, Is the Price Level Determined by the Needs of Fiscal Solvency?, American Economic Review, 91, 2001b, pp Carlstrom, C.T., and T.S. Fuerst, The Fiscal Theory of the Price Level, Economic Review, 36 (1), Federal Reserve Bank of Cleveland, 2000, pp Christiano, L.J., and T.J. Fitzgerald, Understanding the Fiscal Theory of the Price Level, Economic Review, 36-2, Federal Reserve Bank of Cleveland, 2000, pp ( also available in NBER Working Paper 7668). Cochrane, John H., A Frictionless View of U.S. Inflation, in Ben S. Bernanke and Julio J. Rotemberg, eds, NBER Macroeconomic Annual 1998, 1999, , Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level, Econometrica, 69, 2001, pp Daniel, Betty C., A Fiscal Theory of Currency Crises, International Economic Review, 42, 2001, pp Dupor, Bill, Exchange Rates and the Fiscal Theory of the Price Level, Journal of Monetary Economics, 45, 2000, pp Fukuda, Shin-ichi, and Hiroshi Teruyama, The Sustainability of Budget Deficits in Japan, Hitotsubashi Journal of Economics, 35, 1994, pp Giavazzi, F., and M. Pagano, Can severe fiscal contractions be expansionary Tales of two small European countries, NBER Macroeconomics Annual, 5, 1990, pp and, Non-Keynesian effects of fiscal policy changes: International evidence and the Swedish experience, Swedish Economic Policy Review, 3, 1996, pp

46 , T. Jappelli, and M. Pagano, Searching for non-linear effects of fiscal policy: Evidence from industrial and developing countries, European Economic Review, 44, 2000, pp Kocherlakota, N., and C. Phelan, Explaining the Fiscal Theory of the Price Level, Quarterly Review, 23 (4), Federal Reserve Bank of Minneapolis, 1999, pp Leeper, Eric M., Equilibria under Active and Passive Monetary and Fiscal Policies, Journal of Monetary Economics, 27, 1991, pp McCallum, Bennett T., Indeterminacy, Bubbles, and the Fiscal Theory of Price Level Determination, Journal of Monetary Economics, 47, 2001, pp Perotti, R., Fiscal Policy in good time and bad, Quarterly Journal of Economics, 114, 1999, pp Sargent, Thomas J., and Neil Wallace, Some Unpleasant Monetarist Arithmetic, Quarterly Review, 5, Federal Reserve Bank of Minneapolis, 1981, pp Sims, C., A Simple Model for Study of the Price Level and the Interaction of Monetary and Fiscal Policy, Economic Theory, 4, 1994, pp Sutherland, A., Fiscal Crises and Aggregate Demand: Can High Public Debt Reverse the Effects of Fiscal Policy?, Journal of Public Economics, 65, 1997, pp Woodford, Michael, Price-Level Determinacy without Control of a Monetary Aggregate, Carnegie-Rochester Conference Series on Public Policy, 43, 1995, pp , Control of the Public Debt: A Requirement for Price Stability?, NBER Working Paper, 5684, 1996., Public Debt and the Price Level, manuscript, Princeton University, 1998.

財政赤字の経済分析：中長期的視点からの考察

財政赤字の経済分析：中長期的視点からの考察 1998 1999 1998 1999 10 10 1999 30 (1982, 1996) (1997) (1977) (1990) (1996) (1997) (1996) Ihori, Doi, and Kondo (1999) (1982) (1984) (1987) (1993) (1997) (1998) CAPM 1980 (time inconsistency) Persson, Persson