日本経済の変動要因：生産性ショックの役割

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1 * No.06-J *

2 * Phone: Fax: miyao@rieb.kobe-u.ac.jp [ ] GDP TFP 4 VAR TFP AD-AS VAR (i) GDP (ii)gdp *

3 (2003) (2004) Toal Facor Produciviy, TFP VAR GDP TFP GDP TFP GDP TFP GDP GDP 2

4 GDP HP GDP 90 TFP 90 TFP (i) (ii) VAR (i) GDP (ii) GDP TFP 10 2 GDP TFP TFP VAR 3

5 1990 (2003) 2004 (i) (ii) (iii) (iv) (v) (vi) (vi) 1 AD-AS 1 GDP GDP Y F 100% Y0 GDP Y F Y0 GDP (i) (ii) (iii) AD AD GDP Y0 Y1 GDP 1 (2003) (2004) 2002 (2002) (2001) Hayashi and Presco (2002) ( ) (2003) (2003) 4

6 (iv) (v) (vi) TFP AS AS GDP Y0 Y2 (iv) (v) (vi) GDP Y F GDP Y2 Y F (2002) TFP Hayashi and Presco(2002) TFP TFP 90 TFP 90 GDP 2 AD-AS AS 5

7 AD GDP Y0 Y F Y3 Y F Nelson and Plosser(1982) GDP RBC RBC GDP 90 GDP 3 GDP 6

8 GDP TFP GDP TFP GDP TFP 3.1 GDP GDP GDP GDP GDP GDP GDP (i) (1) TFP TFP (ii) 100% (i) TFP GDP (iii) GDP (ii) GDP GDP (2001) (2003) 100% (i) (2004) 4 4 (2001) (2004) GDP BSI 100 BSI BSI 7

9 Hodorick-Presco HP GDP HP GDP HP OECD HP GDP GDP GDP 1930 GDP HP 5 GDP 3 A TFP TFP TFP / 5 HP GDP Appendix A-1 90 HP 2 HP 8

10 TFP procyclical produciviy Hall (1990) Basu and Kimball (1997) (i) (ii) TFP (iii) TFP TFP TFP = ln y α ln L (1 α) ln λ K (1) GDP L 1 K (1) TFP 3 B TFP TFP (i) Hall(1990) TFP ~ ~ TFP = A + ( µ 1)[ α L / K ] + ( γ 1) K (2) ( ) TFP A L 6 GDP 93SNA BSI

11 K ~ (1) K ( ) ( ) ( ) = = TFP TFP 7 TFP (2) 2 ( = ) ~ TFP = A + ( γ 1) K (3) ( = ) ~ TFP = A + ( µ 1)[ α ( L / K )] (4) 2 L / K ~ K ~ ( ) Paque and Robidoux (2001) GDP GDP L / K ~ K ~ ( ) A 8 K ~ ~ ~ 1 K K 1 1 F GDP 1 2 USGDP USGDP-1 USGDP-2) (USGDP, K ~ ~ )=0.171, (USGDP, ( L / K ))= 0.145, (USGDP-1, K ~ ~ ) = 0.245, (USGDP-1, ( L / K ))= 0.194, (USGDP-2, K ~ )=0.147, ~ (USGDP-2, ( L / K ))= K ~ F USGDP, USGDP-1, ~ K p USGDP, USGDP-1, USGDP-2, K ~

12 1 ~ K 1 10 (ii) (1) TFP 90 TFP Hayashi and Presco(2002) (2003) (2002) Kawamoo(2004) ( ) ~ p L / K F USGDP, USGDP-1, K ~ 1 F 2.69 p USGDP, USGDP-1, USGDP-2, K ~ p Nishimura, Ohkusa, and Ariga(1999) 11 Fukao and Kwon (2004) TFP 11

13 12 3 B TFP 93 TFP :2 92: :1-99:4 0.68% 1993:1-2004:1 0.86% B 93 TFP TFP (iii) TFP TFP 13 TFP = φ j= 1 φ TFP j 4 ' j + X jδ j + j= 1 u (5) X j j u X GDP R P M2+CD M1 MB I GDP YGAP PK (5) X TFP TFP TFP TFP 13 Evans (1992) Paque and Robidoux (2001) 12

14 TFP F F TFP TFP TFP TFP GDP GDP GDP GDP 14 VAR 4.1 GDP TFP VAR 2 YGAP TFP PK :2 2004:1 ADF DF-GLS ADF Johansen 14 GDP 0.65 GDP 0.47 GDP TFP 13

15 VAR Sims(1980) TFP VAR YGAP TFP YGAP TFP PK VAR Chrisiano (1986) Cecchei and Karras (1994) TFP 1993 VAR 1993:4 1995:4 1997:4 1999:4 90 VAR (2001) Bayoumi(2001) Braun and Shioji(2004) (2001) Blanchard and Quah(1989) 2 Bayoumi(2001) 8 GDP 15 GDP GDP GDP 14

16 16 Braun and Shioji(2004) 2 TFP TFP TFP YGAP TFP PK 1 y 2 A 3 4 K r TFP TFP 6 B TFP 2 1 GDP GDP 3 16 VAR Miyao(2000,2002) 15

17 GDP 3 1 GDP TFP 2 AD-AS GDP TFP PK YGAP TFP YGAP TFP PK PK YGAP TFP PK YGAP TFP GDP TFP TFP 17 y K 7 GDP 16

18 GDP YGAP TFP TFP YGAP 15 ) (i) GDP (ii) GDP TFP (iii) 18 GDP TFP YGAP TFP PK 3 Appendix A (iii) 19 YGAP 17

19 5 2 AS AD 4.4 GDP 4 GDP GDP IT 90 GDP GDP GDP TFP 4 VAR TFP AD-AS VAR (i) GDP 18

20 (ii) GDP TFP 10 19

21 GDP VAR GDP

22 RIETI Discussion Paper 02-J Basu, Susano and Miles S. Kimball, Cyclical Produciviy wih Unobserved Inpu Variaion, NBER Working Paper No.5915, Bayoumi, Tamin, The Morning Afer: Explaining he Slowdown in Japanese Growh in he 1990s, Journal of Inernaional Economics, 53 (2001), Blanchard, Olivier. J. and Danny Quah, The Dynamic Effecs of Aggregae Demand and Supply Disurbances, American Economic Review 79 (1989), Braun, R. Anon and Esuro Shioji, Technology Shocks and Work Hours: Evidence from Japan, mimeo, Cecchei, Sephan G. and Georgios Karras, Sources of Oupu Flucuaions During he Inerwar Period: Furher Evidence on he Causes of he Grea Depression, Review of Economics and Saisics 76 (1994), Chrisiano, Lawrence J., Money and he U.S. Economy in he 1980s: A Break from he Pas? Federal Reserve Bank of Minneapolis Quarerly Review Summer (1986), Evans, Charles L, Produciviy Shocks and Real Business Cycles, Journal of Moneary Economics, 29 (1992), Fukao, Kyoji and Hyeog Ug Kwon, Why Did Japan s TFP Growh Slow Down in he Los Decade? An Empirical Analysis Based on Firm-Level Daa of Manufacuring Firms, mimeo, Hiosubashi Universiy, Hall, Rober E. Invariance Properies of Solow s Produciviy Residual, in P. Diamond ed., Growh, Produciviy, Unemploymen (Cambridge, MA: MIT Press), pp

23 Hayashi, Fumio and Edward C. Presco, The 1990s in Japan: A Los Decade, Review of Economic Dynamics 5, (2002). Johansen, Soren, Saisical Analysis of Coinegraing Vecors, Journal of Economic Dynamics and Conrol 12 (1988), Kawamoo, Takuji, Wha Do he Purified Solow Residuals Tell Us abou Japan s Los Decade? IMES Discussion Paper No.2004-E-5, Bank of Japan, Miyao, Ryuzo, The Effecs of Moneary Policy in Japan, Journal of Money, Credi, and Banking., Vol.34, No.2, , May Miyao, Ryuzo, The Role of Moneary Policy in Japan: A Break in he 1990s? Journal of he Japanese and Inernaional Economies, Vol.14, ,December Nelson, C. and C. Plosser, Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implicaions, Journal of Moneary Economics, Vol.10, , Nishimura, Kiyohiko G., Yasushi Ohkusa and Kenn Ariga, Esimaing he Mark-Up over Marginal Cos: A Panel Analysis of Japanese Firms , Inernaional Journal of Indusrial Organizaion, 17, , Paque, Alain and Benoi Robidoux, Issues on he Measuremen of he Solow Residual and he Tesing of Is Exogeneiy: Evidence for Canada, Journal of Moneary Economics, 47, , Phillips, P. C. B. and S. Ouliaris, Asympoic Properies of Residual Based Tess for Coinegraion, Economerica 58, (1990). Sims, Chrisopher A., Macroeconomics and Realiy, Economerica 48 (1980),

24 . 1 1 USGDP, USGDP (0.323) (0.558) USGDP, USGDP-1,USGDP (0.412) (0.740) ~ USGDP, USGDP-1, K (0.194) (0.393) ~ USGDP, USGDP-1,USGDP-2, K (0.175) (0.422) : TFP (3) (4) GDP ~ USGDP K 1 23

25 2. TFP y R P M I TFP, y, R, P, M (0.86) (0.41) (0.31) (0.79) TFP, y, R, P, M (0.54) (0.31) (0.27) (0.57) TFP, y, R, P, MB (0.67) (0.38) (0.48) (0.96) TFP, R, P, M2, I (0.51) (0.42) (0.54) (0.95) TFP, y, R, P, M2, I (0.57) (0.66) (0.47) (0.29) (0.77) YGAP PK TFP, YGAP,, PK (0.14) (0.55) (0.88) TFP, YGAP,, PK, (0.16) (0.58) (0.55) (0.59) : TFP (5) F y GDP R P M2 M2+CD M1 M1 MB I YGAP GDP PK GDP 24

26 AD-AS ( AD AS Y0 Y F GDP YGAP 2. ( AS AS AD AD Y1 Y0 Y F GDP Y3 Y2 Y F 25

27 3. GDP TFP 0 A. YGAP 6.25 C. Real sock price B. TFP (derended) 6.4 D. Real call rae :2-2004:1 GDP TFP 26

28 KOPRT KOPRTNMN BSI 4 27

30 6. TFP GDP A. TFP GDP DLSR DLY95 B. TFP GDP DLSR DYGAP 29

31 . y A K r YGAP TFP PK r

32 8. GDP GDP GDP 31

33 APPENDIX 3 A-1. HP GDP :1 2004:1 32

34 A-2. 5 y A K r YGAP TFP PK r

財政赤字の経済分析：中長期的視点からの考察

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