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1 global imbalances ) * 1

2 68 53 Denison Denison 1958 Feldstein and Fane Feldstein David and Scadding 1974Furstenberg 1981Pitelis 1987 Poterba Bhatia 1979Hendershott and Peek 1989 Barro Keyens Berheim 1987Seater 1993

3 A t+1 + V t x t+1 = (1+r) A t + V t x t + d t x t + YL t - TH t - p c tc t 1 A t = B g t + B p t 2 A t t V t tx t t rd t tyl t TH t p c tc t B g t B p t 4) 1 3 E t Σ ( ) 1 1+r s-t ( ) 1 psc c s = (1+r) A t + V t x t + d t x t + E t Σ (YL s - TH s ) 1+r s-t 3 41t V t x Obstefeld and Rogoff

4 te t 3 5) C t = α 1 (1+r) A t + V t x t + d t x t +E t Σ (YL s - TH s ) 1+r p c t s-t ( ) 4 α >0 4Permanent Income Modigliani and Miller 1958 Modigliani - Miller MM MM 5 s-t ( ) 1 V t = E t Σ 1+r cash s 5 cash s = π s - d s u(c)= C1-1/σ /σ α = 1+r - (1 + r) σ β σ (1 + r) σ 1 β σ <1 α >0 1+r

5 71 V t t cash s π s d s MM 5 6 B g t+1 =(1+r)B g t +G t -T t 6 T t = TH t + TO t G t tt t tth t TO t 6 7 (1+r)B g t = E t Σ 1 ( ) 1+r s-t (T s -G s ) 7 7 te t ts h t S h t =YD t -p c t C t YD t =YL t +d t x t -TH t 8 9

6 72 53 (1+r) B p t + E t C t = α Σ β(th s +TO s -G s )+d t x t + E t Σ β(π s -d s ) x s + E t Σ β(yl s -TH s ) p c t ( ) 1 α >0,β = 1+r s-t 10 YD t S f t S g t 6) S f t = π t -d t S g t =T t -G t T t =TH t +TO t t d t 11 t MM 5 V t 10 7) x t =1 710 (1+r) B p t + E t Σ (TH s +TO s -G s )+d t x t +(π t -d t ) x t + E t Σ (π s -d s ) x s + E t Σ (YL s -TH s ) +1

7 73 3 t TH t 12 t 10TH t SNA SNA 8) 93SNA Hayashi 1986 Horioka 1995 SNA National Income and Product AccountsNIPA 9) 168SNA NIPA Department of Commerce 2002

8 74 53 % SNA) % SNA) SNA2

9 ) 1970 % β r SNA

10 76 53 µ2 E t Σ β(π s -d s ) θ 0 θ 1. E t Σ β(th s +TO s -G s ) γ 0 γ 1θ, γ 1θ, γ 0 3 YD t λ 0 λ C t = α (1+r) B p t + θe t Σ β(th s +TO s -G s )+d t x t + E t Σ β(π s -d s ) x s +γe t Σ β(yl s -TH s ) p c t +λyd t ( ) 1 α >0,β = 1+µ s-t Hayashi ) C t = (1+µ)C t -1 + α[w t - ((1 + µ)w t-1 + YLT t-1 )] - αγ(1 + µ)s g t-1 - αθ(1+µ)s f t-1 +λ[yd t -(1+µ)YD t-1 ]+u t 15 u t = α(e h t + θe f t + e g t)+ν t -(1+µ)ν t ν t e t Generalized Methods of Moments 11 e h t ef t eg t 15 2

11 77 GMM GMM GMM SNA SNA 68SNA SNA = ) 1 68SNA J-1 J-2 J-4 J-5 J-3 J Wald test C-CAPM β = 1/(1 + µβ µ β µ Hayashi µ µ 0.01 µ 0.05

12 SNA SNA µ µ µ µ =0.05 =0.01 J-1 J-2 J-3 J-4 J-5 J (5.164)*** (5.787)*** (7.754)*** (2.458)** (4.676)*** (6.727)*** (11.640)*** (11.674)*** (12.896)*** (11.420)*** (11.602)*** (12.474)*** (2.623)** (3.812)*** (1.828)* (4.293)*** J-Stat [0.918] (-3.127) [0.958] (-3.934) (-3.078) (-4.108) [0.946] [0.919] [0.950] [0.941] [0.012] [0.0005] [0.075] [0.0001] Coef-stat1 Coef-stat [0.003] [0.0004] [0.003] [0.0002] [ ]J J -Stat *** ** * 1510Coef-stat10 Coef-stat2 0 Wald [ ]p GMM J-1,J-2,J-4,J M2+CD23 J-3,J M2+CD23 J-7,J-8,J M2+CD212 J-10,J-11,J

13 79 13) 2000Hayashi SNA Summers GMMEichenbaum Hansen and Singleton 1988 power

14 J-Stat Coef-stat1 0 U (1.882)* (23.077)*** (2.649)** [0.972] [0.011] Coef-stat2 0 µ =0.01 U-2 U (-2.403) (20.404)*** (0.239) [0.901] [0.812] (1.917)* (21.028)*** (2.284)** (-0.587) [0.952] [0.027] [0.559] U (1.783)* (22.080)*** (2.760)*** [0.971] [0.008] µ =0.05 U (-1.182) (13.990)*** (3.616)*** [0.906] [0.0008] U (1.987)** (20.922)*** (2.364)** (-0.809) [0.949] [0.022] [0.422] GMM M2+CD SNA 93SNA

15 )

16 82 53 SNA National Income and Product AccountsNIPA historical price Hayashi 1986 replacement price NIPA 2 SNANIPA SNANIPA SNANIPA YL Wage and salary disbursements

17 83 + Supplements to wages and salaries Contributions for government social insurance Personal current taxes Personal current transfer payments SNAFlow of Fund AccountsFRB SNA SNA FRB Mitchell International Historical Statistics: The Americans Finance G4 10 (1+r) B p t + θe C t = α t Σ β(th s +TO s -G s )+d t x t + E t Σ β(π s -d s ) x s +γe t Σ β(yl s -TH s ) +λyd t +v t 1 α >0,β = ( ) 1+µ s-t,e(v t )=0,E(v 2 t)=σ 2 v p c t (1) HW t SFW t SGW t HW t = E t Σ β(yl s -TH s )=E t Σ βylt s 2 SFW t = E t Σ β(π s -d s )x s = E t Σ βs f s 3 SGW t = E t Σ β(th s +TO s -G s )=E t Σ βs g s 4

18 84 53 HW t =(1+µ)(HW t-1 + YLT t-1 )+e h t 5 SFW t =(1+µ)(SFW t-1 - S f t-1)+e f t 6 SGW t =(1+µ)(SGW t-1 - S g t-1)+e g t 7 e h t e f t e g t t t µ Barro, R. (1974), Are Government Bonds Net Wealth? Journal of Political Economy, 82, pp Bernheim, B. D. (1987), Ricardian Equivalence: An Evaluation of Theory and Evidence, NBER Macroeconomic Annual, 2, pp Bhatia, K. B. (1979), Corporate Taxation, Retained Earnings and Capital Formation, Journal of Public Economics, 11, pp David, P. A and J. L. Scadding (1974), Private Savings: Ultralationality, Aggregation, and Denison s Law, Journal of Political Economy, 82, pp Denison, E. F. (1958), A Note on Private Saving, Review of Economics and Statistics, 40, pp Department of Commerce. (2002), Alternative Measures of Saving, Survey of Current Business, April. Eichenburm, M., P. L. Hansen, and K. J. Singlton (1988), A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty, Quarterly Journal of Economics, 103, pp Feldstein, M. (1973), Tax Incentives, Corporate Saving and Capital Accumulation in the United States, Journal of Public Economics, 2, pp (1978), Do Private Pensions Increase National Savings? Journal of Public Economics, 10, pp Feldstein, M and G. Fane (1973), Taxes, Corporate Dividend Policy and Personal Savings: The British Postwar Experience, Review of Economics and Statistics, 55, pp Furstenberg, G. M. V (1981), Saving, in Aaron, H. J and Pexhman, J. A eds, How Taxes Affect Economic Behavior, pp , Brookings Institution. Graham, F.C. and Himarios, D. (1991), Fiscal Policy and Private Consumption: Instrumental Variables Tests of the Consolidated Approach, Journal of Money, Credit and Banking, 23, pp Hayashi, F. (1982), The Permanent Income Hypothesis: Estimation and Testing by InstrumentalVariables, Journal of Political Economy, 90, pp (1986), Why is Japan s Saving Rate So Apparently High? NBER Macroeconomics, Annual, Vol. 1(1), pp Hendershott, P, H and J. Peek (1989), Private Saving in the United States: ," R.Lipsey and H.Tice eds Studies in Income and Wealth, 52, University of Chicago Press. Keynes, J. M. (1936), The General Theory of Employment, Interest and Money, Macmillan, London.,

19 Lipsey, R and Helen Tice, eds., The Measurement of Saving, Investment and Wealth Studies in Income and Wealth, vol. 52, University of Chicago Press. Modigliani, F and M. Miller (1958), The Cost of Capital, Corporation Finance and Theory of Investment: A Correction, American Economic Review, 48, pp Horioka, C.Y. (1995), Is Japan s Household Saving rate Really High? Review of Income and Wealth, 41, pp Obstefeld, M and K. Rogoff (1996), Foundations of International Macroeconomics, MIT Press. Pitelis, C. N. (1987), Corporate Retained Earnings and personal Sector Saving: A test of the Life-Cycle Hypothesis of Saving, Applied Economics, 19, pp Poterba, J. M. (1987), Tax Policy and Corporate Saving, Brookings Papers on Economic Activity, 2, pp Pozzi, L. (2003), Tax Discounting in a High-debt Economy, Oxford Bulletin of Economics and Statistics, 65, pp Sachs, J. D and F. Larrain (1993), Macroeconomics in the Global Economy, Harvester Wheatsheaf. Seater, J. (1993), Ricardian Equivalence, Journal of Economic Literature, 31, pp Summers, L. H. (1986), Does the Stock Market Rationally Reflect Fundament Values Journal of Finance, 31, pp pp Working-Paper pp pp , pp

20 86 53 SUBSTITUTABILITY OF SAVINGS BY SECTOR : JAPAN-U.S.COMPARISON YOICHI MATSUBAYASHI This paper empirically examines the substitutability of savings among household, corporate, and government sectors in Japan and the U.S. First, the theoretical micro-foundations are constructed, in which each sectors behaves under intertemporal optimization and empirical investigations are conducted based on the theoretical formation. The estimation results indicate that changes in corporate saving induce an offsetting effect on personal saving to some degree in both countries. The empirical evidence gives some support to the concept that households partly pierce the corporate veil. On the other hand, the substitutability of savings between household and government is not recognized.

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』

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』 2-1. (2-1 ) (2-2 ) (2-3 ) (Hayashi [1986]Dekle [1989]Barthold and Ito [1992] [1996]Campbell [1997] [1998]Shimono and Ishikawa [2002]Shimono and Otsuki [2006] [2008]Horioka [2009]) 1 2-1-1 2-1-1-1 8 (1.