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13 Nakagawa and Oshima u ( c ) t+ 1 E β (1 + r ) 1 = t i+ 1 u ( c ) t 0 β c t y t uc ( t ) E () t r t c E β t ct γ ( + r ) 1 0 t+ 1 1 = t+ 1 ξ ct + β ct γ c t r ) E β t + 1 t ct (1 + r 1 ( t+ 1 t+ 1 γ )
14 c t + 1 log( β) γe log [ log( )] ( ξ ) ( ξ ) + E + r + E t t 1 t 1 t t 1 Et t+ 1 ct E ( ξ t t 1) = σ + t ε t+ 1 c 1 1 t 1 2 log + log( β ) + log(1 + r ) + σ ε t t t c γ γ γ t 1 σ t 2 log(c t / C t-1 ) = a 1 + a 2 r t-1 + a 3 RISK t-1 + a 4 log(y t / y t-1 ) + v t RISK y
15 C Y R RISK1 RISK2 RISK3 R t-1 RISK1 t-1 RISK2 t-1risk3 t-1 log(x t / X t-1 )log(g t / G t-1 )X G log(c t / C t-1 ) = log(y t / Y t-1 ) R t RISK1 t RISK RISK3 (2.94 *** ) (3.69 *** ) (1.88 * ) (3.45 *** ) (0.34) (2.37 ** ) Adjusted R 2 = S.E.= DW =1.95 ****** 10 SG1 SG2
16 WH YD SH CS SH = f(sg1, SG2, CS, WH, YD) SG2(-48)
17 z t = µ + k i= 1 A i z t-i ε t µ A i ε t k z t = µ + Π z t-1 1 i= 1 Γ i z t-i ε t Π z t-1 Π αβ α β β β β z t-1 βz t-1 = 0 Case 1 Case 2 SH, SG1, SG2, WH, YD SH, SG2, WH, YD
18 Trend stationary linear quadratic cointegration Π cointegration cointegration
19 β β SH = trend SG SG WH YD SH = trend SG SG WH YD
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22 Carlson, J. A. and M. Parkin(1975), Inflation Expectation, Economica 42. Horioka, Charles Yuji (1990) Why is Japan's Household Saving Rates So High? A Literature Survey, Journal of the Japanese and International Economics, Vol.4, No.1 (March 1990) (1989), Why Is Japan's Private Saving Rate So High? in R. Sato and T. Negishi, eds., Developments in Japanese Economics (Tokyo: Academic Press), pp
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29 Std. Coef. z P> z Err. SH SH SH SG SG WH YD constant SG1 SG SH SG SG WH YD constant SG2 SG SH SG SG WH YD constant WH WH SH SG SG WH YD constant YD SH SG SG WH YD constant beta Coef. Std. Err. z P> z SH 1 SG SG WH YD trend const
30 SH SH -1 SH SG1 SG2 WH YD const SG1 SG1-1 SH SG1 SG2 WH YD const SG2 SG2-1 SH SG1 SG2 WH YD const WH WH -1 SH SG1 SG2 WH YD const YD -1 SH SG1 SG2 WH YD const
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遺産相続、学歴及び退職金の決定要因に関する実証分析 『家族関係、就労、退職金及び教育・資産の世代間移転に関する世帯アンケート調査』
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