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1 ª ª * shinobu.nakagawa@boj.or.jp ** tomoko.katagiri@boj.or.jp i

2 ii

3 iii

4 /

5 or

6 RW * i =a 1 +a 2 *YA i +a 3 *HE i +a 4 *AR i +a 5 *NF i + a 6 *SV i +a 7 *UC i + j a 8,j *DA i,j + j a 9,j *DO i,j ì0 RWi RW i = í if * îrwi RWi * * 0 > 0 RW YA HE 0 1 AR NF SV 01 UC 012 DA j j= DO j j= YA NFUC DO 3 DO 5 9 HEAR 10 DA 1 DA /4 3

7 , ,327 a (-6.40) <0.00> (-7.33) <0.00> YA a (8.03) <0.00> (7.95) <0.00> HE a (2.98) <0.00> (3.45) <0.00> AR a (-5.81) <0.00> (-3.91) <0.00> NF a (-2.36) <0.02> (-2.11) <0.04> SV a (-0.54) <0.59> UC a (-4.58) <0.00> (-3.94) <0.00> DA 1 a 8, (-1.51) <0.13> (-0.68) <0.50> DA 2 a 8, (1.18) <0.24> (1.37) <0.17> DO 1 a 9, (-2.44) <0.01> (-2.75) <0.01> DO 2 a 9, (0.18) <0.86> (0.15) <0.88> DO 3 a 9, (2.42) <0.02> (2.95) <0.00> DO 4 a 9, (-0.55) <0.58> (-0.40) <0.69> DO 5 a 9, (6.08) <0.00> (6.24) <0.00> DO 6 a 9, (-0.51) <0.61> (-0.60) <0.55> adjr z t p 5 1 or YA UCDO HE HE

68) <0.50> DA 2 a 8,2 2.925 (1.18) <0.24> 3.922 (1.37) <0.17> DO 1 a 9,1-13.249 (-2.44) <0.01> -17.351 (-2.75) <0.01> DO 2 a 9,2 0.557 (0.18) <0.86> 0.527 (0.15) <0.88> DO 3 a 9,3 7.995 (2.42) <0.

8 99 3, ,327 a (-8.97) <0.00> (-9.00) <0.00> YA a (5.41) <0.00> (2.18) <0.03> HE a (1.95) <0.05> (1.10) <0.27> AR a (-4.24) <0.00> (-0.52) <0.61> NF a (-1.45) <0.15> (0.47) <0.64> SV a (-1.35) <0.18> UC a (-2.46) <0.01> (-1.73) <0.08> DA 1 a 8, (-0.25) <0.80> (0.07) <0.95> DA 2 a 8, (0.95) <0.34> (-0.62) <0.54> DO 1 a 9, (0.69) <0.49> (-0.65) <0.52> DO 2 a 9, (0.82) <0.41> (0.86) <0.39> DO 3 a 9, (2.87) <0.00> (1.25) <0.21> DO 4 a 9, (-0.99) <0.32> (0.68) <0.49> DO 5 a 9, (3.69) <0.00> (2.01) <0.04> DO 6 a 9, (0.13) <0.90> (-0.12) <0.90> pseudo-r z t p AW it - AW it-1 =b i0 + j b i1j *r jt +b i2 *volr mt +b i3 *DY t +b i4 *AG60 t +b i5 *DP t-1 AW i i= r j j=f.m.b. volr m DY AG60 60 DP 14 Brainard and Tobin

95> DA 2 a 8,2 0.073 (0.95) <0.34> -0.099 (-0.62) <0.54> DO 1 a 9,1 0.104 (0.69) <0.49> -0.274 (-0.65) <0.52> DO 2 a 9,2 0.081 (0.82) <0.41> 0.177 (0.86) <0.39> DO 3 a 9,3 0.295 (2.87) <0.00> 0.

9 15 r f r m volr m DY 16 AG DP -1 b (0.6) (-0.3) (-1.3) r f b 1f 1.34 (2.7) (-1.1) (-0.4) r m b 1m (-3.1) 0.08 (3.9) (-0.9) r b b 1b (-2.3) 0.05 (0.2) 0.18 (2.6) volr m b (2.6) (-1.6) (-2.6) DY b (-0.8) 0.11 (1.7) (0.2) AG60 b 4 DP -1 b 5 adjr 2 S.E (1.5) (0.6) (0.9) (-0.3) (1.3) (-0.7) 0.40 D.W t S.E.D.W Seemingly Unrelated RegressionSUR SUR OLS 16 DYr m D.W

6) DY b 3-0.05 (-0.8) 0.11 (1.7) 0.003 (0.2) AG60 b 4 DP -1 b 5 adjr 2 S.E. 0.16 0.06 0.38 (1.5) (0.6) 1.75 0.11-0.03 0.40 (0.9) (-0.

10 , NY 3.5 FT CAC XETRADAX

11 Blume and Friend1975Mankiw and Shapiro1986 CAPM E(rm ) - rf = s C 2 m 1 a C r f TB3M E(r m )TOPIXS&P500 2 m C m 2 E(r m )- r f preference BOX 8

12 /6 93/4 94 MMF 94/12 95/10 MMF 98/

13 MMF 67 93/2 95/10 1 1,000 1/10 () 50 1, ,000 1/10 9/ (1)

14 , ,000 2, /10 75/5 11

15 * , , ,500 1,000 3, ,000 3,000 5, ,000 5, ,500 * ,500 2,

575+25,000 3,000 5,000 0.375+85,000 5,000 272,500 * 1.

16 3, (a) (b) ,

17 / U.S. Bancorp Piper Jaffray Inc

18 Tobit model GDP 39 Y i 0Y i * Y i * Y i latent variable Y = bx + u (1) * i i i X i Y i (1)X i u i Y * i 40 * ì0 Yi 0 Yi = í if (2) * îyi Y * i > 0 u i 0 2 ()() LLF 2 L( b, s ) = Õ 2 LLF( b, s ) = ì æ bx í1 - Fç î è s å i= 1 Õ Yi= 0 Yi> 0 n é ê1(y i ë i öü ý øþ ì ís î -1 æ bx fç è s ì æ bx = 0) logí1 - Fç î è s i i öü ý øþ öü ý + 1(Y i øþ ì > 0) logís î -1 æ bx fç è s i (3) öüù ýú øþû Yi=0 Y i =0 Yi>0 Y i >0 1() 1 0 indicator 39 5 censored regression model 40 Y * i Y i =0 15

é ê1(y i ë i öü ý øþ ì ís î -1 æ bx fç è s ì æ bx = 0) logí1 - Fç î è s i i öü ý øþ öü ý + 1(Y i øþ ì > 0) logís î -1 æ

19 function (3) LLF 2 16

20 2 r f r m E(r m ) m2 n t t+dt W t+dt U (W)>0U (W)<0 W t W t+dt W t+ dt = W [1 + t { ae(r ) + (1 - a)r } dt + as y(t) dt ] m f m y(t) E[U(W t+dt )] U(W t+dt ) W t 2 E[U(W t+ dt )] = U(W ) + U' (W )W t E(rm ) - rf 1 E(rm ) - rf 1 a = or C = 2 2 s C s a m t t m { ae(r ) + (1 - a)r } dt + U''(W )W a s dt 9 C U'(W t ) C = - W U' '(W ) t t m f 1 2 t t m C 1998 r f TB3M E(r m )TOPIXS&P500 2 m 2 TOPIXS&P500 17

) - rf 1 E(rm ) - rf 1 a = or C = 2 2 s C s a m t t m 2 2 2 { ae(r ) + (1 - a)r } dt + U''(W )W a s dt

21 Blume, M. E. and Friend, I.1975, The Demand for Risky Asset, American Economic Review. Brainard, W. C. and Tobin, J.1969, Pitfalls in Financial Model Building, American Economic Review, Papers and Proceedings. Mankiw, N. G. and Shapiro, M.1986, Risk and Return, Consumption Beta versus Market Beta, Review of Economics and Statistics, Vol.68, No

23 BIS "International Financial Statistics"

24 1-1

27 99

28 8990 Deposits (Foreign deposits), Investment in bank personal trusts Corporate equities, Equity in noncorporate business, Mutual fund shares, Foreign depositslife insurance reserves, Pension funds reserves Credit market instruments (CP, U.S.government securities, Municipal securities, Corporate and foreign bonds, Mortgages), MMF Currency, Deposits with UK MFI's, Deposits other than with MFI's Shares, UK mutual funds shares, Rest of the world mutual funds shares, Deposits with Rest of the World MFI'sInsurance technical reservesshort term MMI's issued, Bonds issued Cash and other transferable deposits, Other depositsshares Net equity of households on life insurance reserves and pension funds Short-term securities, Bonds Currency and sight deposits, Time deposits, Saving deposits, Funds placed with building and loan associationsassets in the form of shares, Assets in the form of investment fund certificatesfunds placed with insurance enterprisesassets in the form of money market paper, Assets in the form of bonds FRB "Flow of Funds"99/6 BOE "United Kingdom National Accounts"

29 BIS "International Financial Statistics"

31 2 FRB "Flow of Funds" BIS "International Financial Statistics"

32 95 3 5

35 97 97

36 ,000 31

資金循環の日米欧比較

資金循環の日米欧比較資金循環の日米欧比較 2016 年 6 月 22 日銀行調査統計局 * 本資料では日米欧日米について主要な部門を比較掲載しています Ⅰ. 日米欧比較日米は2016 年 3 月末ユーロエリアは201 年 12 月末現在図表 1 金融機関の金融資産負債構成資産 ( 3,236