復活だぁっ！　日本の不況と流動性トラップの逆襲

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1 It s Baaack! Japan s Slump and the Return of the Liquidity Trap Ver q Monetary Aggregates jp.pdf c 1998 Paul Krugman c 2001 YAMAGATA Hiroo Special TNX to & katok & 1

2 Appendix 42 Appendix A: Monetary Aggregate Appendix B: Appendix C: IS-LM thrift widow s curses % broad aggregates 2

3 EconLit % 1991 pump-prime prime IS-LM 3 50 GDP IS-LM

4 monetary aggregates monetary aggregates monetary aggregates monetary base monetary aggregate monetary aggregate 4

5 2 2.1 monetary base

6 [ 1] (outside) monetary base monetary aggregates outside monetary base monetary base / outside ) [ 2] 2.2 IS-LM IS-LM IS-LM 6

7 IS-LM i t representative agent y t U = 1 c 1 ρ t D t (1) 1 ρ c ρ D i t P t c t M t y M 2 P = M /y i = (1 D)/D 1 + 7

8 1 Pc = Py = M P = M/y (2) /P 2 (1 + i)/p 1 C ρ 2 D(c ) ρ (c/c ) ρ = DP(1 + i)/p (3) 1 + i = P DP (y /y) 1/ρ (4) P P i 1 MM CC 1 1 MM

9 1: 2 CC 1 2 MM CC 3 MM M P 9

10 M /M P /P M M 2 1 (y/y ) 1/ρ D (5) P P 10

11 [ 3] y f 1 2 y 1 2 y IS c = y = y (P /DP) 1/ρ (1 + i) 1/ρ (6) 2 IS MM y = M/p (7) 2 3 P P y f 11

12 2: outside 12

13 2.5 q 1 5-6% q A L t t q t q t A t = w t L t (8) w t q R t r t 1 + r t = R t+1 + q t+1 q t (9) 1 8% 13

14 2.6 Smithers (1998) GDP 10% IS-LM GDP 14

15 IS-LM T N U = 1 1 ρ t D t[ c τ T t c 1 τ N t ] 1 ρ (10) N T r T ρ = 1 (10) U = D t[ τ ln(c Tt ) + (1 τ) ln(c Nt ) ] (11) t 1 + r t = D 1 (c t+1 /c t ) 15

16 ρ = 1 ρ 2.7 Monetary Aggregates aggregate 3 monetary base M = 100 ): monetary base 1930 M2 1/ [Friedman and Schwartz (1963)] M2 aggregate [Bernanke (1994)] [Cooper and Corbae (1997)] 16

17 Index, 1929=100 M2 Aggregate Source Temin 1976, p.51 "!$#&%('*) 3: [ Temin (1976)] monetary aggregates monetary aggregates Diamond-Dybvig Appendix A Diamond and Dybvig (1982) Diamond and Dybvig 17

18 representativeagent ex ante ex post 1 monetary aggregate 3 + (credit) monetary aggregate 18

19 1. aggregate monetary aggregate aggregate 2.8 IS-LM representative-agent [ 4] 2 19

20 + 1 Romer 1992) [ 5] ex ante 5 10% [ 6] 2.9 (6) P IS 20

21 ? [Friedman 1969]

22 [Mundell (1963)] [Fleming (1962)] IS-LM 1 Bryant et al (1988) 11 GDP 1% [ 7] IS-LM (10) Appendix B GDP GDP Appendix B ρ B = (12) 1 ρ 1 τ ρ τ 22

23 DRI EEC EPA LINK LIVERPOOL MCM MINIMOD MSG OECD VAR WHARTON Frankel (1988) a. Frankel b. GNP 1: GNP 1% ρ = τ 2 ρ τ % GDP 1% Smithers (1998) GDP 1% τ 1 τ 23

24 τ ρ : τ ρ : appendix τ τ 1 ρ 1 ρ 1/τ 3 1 (13) 2.10 monetary aggregate aggregates 24

25 dereliction monetary aggregates GDP 4% % 3.7% % % % 25

26 ( %) GDP International Financial Statistics, : GDP % 6% 2.5% % % 26

27 : % IMF (International Monetary Fund) Hodrick-Prescott Giorno et. al secular Hodrick-Prescott Hodrick-Prescott / 5 λ 25 λ

28 ln GDP "!$#&%(')*, : GDP Hodric Prescott Source: OECD Economic Outlook, June : OECD

29 : OECD OECD 6 Giorno et al 1995); % OECD Hodrick-Prescott OECD Giorno et al 1995 OECD Economic Outlook 7 3 OECD 3% 1.6 3% % % 2 3% % % 5% 29

30 ( %) International Financial Statistics, : GDP /GDP GDP 7% GDP 7% 1980 GDP 3% 3-4% Bryant et al (1988) - 6 GDP 1 30

31 DRI -4.3 EEC -4.4 EPA -5.3 LINK -1.9 LIVERPOOL -2.2 MCM -4.3 MINIMOD -2.9 MSG -3.3 OECD -2.3 TAYLOR -0.7 VAR -0.4 WHARTON Frankel (1988, pp.21-23) 1 6: GDP 1% - - 3%

32 1980 x.x 3 xx x.x OECD 1997) xx x.x 4 q q thrift % % Thrift

33 ( 1994=100) M International Financial Statistics, : monetary aggregate aggregate thrift McKinnon and Pill (1997), Krugman (1998), Corsetti et al (1998) ) 33

34 thrift 6 Cargill et al (1997) thrift Cargill et al put 6 34

35 pump priming 35

36 7% % 10 Brainard : 36

37 1997 : Nouriel Roubini 3 x y Appendix C

38 DRI EEC LINK MCM MINIMOD OECD TAYLOR WHARTON Bryant et al (1988) 1 8: GDP 1% 10 5% 8 GDP 1% 5% 38

39 4-5% % 4% 15 1% 5% 20 25%

40 3.5% EMU 40

41 Bernanke, B. (1994) The macroeconomics of the Great Depressions: a comparative approach NBER working paper #4814. Bryant, R., Henderson, D., Holtham, G., Hooper, P., and Symansky, S.,eds. (1988): Empirical Macroeconomics for Interdependent Economies, Washington: Brookings. Cargill, T., Hutchinson, M., and Ito, T. (1997), The Political Economy of Japanese Monetary Policy, Cambridge: MIT Press. Cooper, R., and Corbae, D. (1997), Financial Fragility and the Great Depression, NBER Working Paper #6094 Corsetti, G., Pesenti, P. and Roubini, N. (1998), Paper Tigers? A Preliminary Assessment of the Asian Crisis (mimeo) Diamond, D. and Dybvig, P. (1983), Bank runs, deposit insurance, and liquidity, JPE 91, Fleming, M. (1962), Domestic financial policies under fixed and under floating exchange rates, IMF Staff Papers 9, Friedman, M. (1969), The Optimum Quantity of Money and other Essays, Chicago: Aldine. Friedman, M. and Schwartz, A. (1963), A Monetary History of the United States, Princeton: Princeton University Press. Giorno, C., Richardson, P., Roseveare, D. and van den Noord, P. (1995), Potential output, output gaps and structural budget balances, OECD Economic Studies 24, Hicks, J.R. (1937), Mr. Keynes and the classics, Econometrica Krugman, P. (1998), What happened to Asia?, mimeo. McKinnon, R. and Pill, H. (1997), Credible economic liberalizations and overborrowing, American Economic Review 87, Metzler, L. (1951), Wealth, saving, and the rate of interest, Journal of Political Economy 54, Mundell, R. (1963), Capital mobility and stabilization policy under fixed and flexible exchange rates, Canadian Journal of Economics and Political Science, 29, Romer, C. (1992), What ended the Great Depression?, Journal of Economic History 52, OECD (1997), Economic Survey of Japan, Paris: OECD Smithers, A. (1998), Japan s problems of debt and demography, Smithers and Co. Temin, P. (1976), Did Monetary Forces Cause the Great Depression? New York: W.W. Norton. 41

42 Appendix Appendix A: Monetary Aggregate monetary aggregate appendix Diamond-Dybvig 2 1 y 1 2 y 2 U = HU 1 (c 1 ) + (1 H)U 2 (c 2 ) (14) H π 1 1 π 0 π 1 π fiat-money Diamond-Dybvig M H = 1 1. M 42

43 / y 1 + y 2 /(1 + r) 1 π [ π y 1 + y ] 2 = y 1 (15) 1 + r 1 + r = π y 2 (16) 1 π y 1 1 Pc 1 π 1/π 1 π outside-money M M

44 1 3 aggregates Appendix B: / 1 c T c N = τ 1 τ (17) U c T = τc τ(1 ρ) 1 T c (1 τ)(1 ρ) N (18) c N GDP c T GDP c T (18) 2 U 2 c 2 T = τ(τ(1 ρ) 1)c τ(1 ρ) 2 T c (1 τ)(1 ρ) N (19) 44

45 2 U = τ(1 τ)(1 ρ)c τ(1 ρ) 1 T c (1 τ)(1 ρ) 1 N (20) c T c N c T c N = 2 U c T c N 2 U 2 c 2 T (1 τ)(1 ρ) c T = = τ(1 ρ) 1 c N 1 ρ 1 ρ 1 τ (21) Appendix C: 45

46 1. wealth effect Metzler (1951) Metzler outside

48 1940 GDP % % Gordon, 1988) % 6. commercial paper commercial vs. T-bill T-bill % GDP 0.1 5% GDP 1%

ＧＤＰギャップと潜在成長率

ＧＤＰギャップと潜在成長率 2003 output gap 80 1 20 90 20 70 2 1 2 output gap potential output 1 2 (2001) 3 potential rate of growth 2000 Meyer (2000) European Central Bank: (1999b) 2002 10 4 3 (2000) 4 4 () 5 5 5 6 () () 7 Total

復活だぁっ！ 日本の不況と流動性トラップの逆襲

復活だぁっ！　日本の不況と流動性トラップの逆襲