Keynes 1936 Tobin 1 Hicks 1937 Keynes IS LM 2 IS LM 3 IS LM Keynes Keynes animal spirits
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1 Masahiro NAKANO 2.1 Keynes
2 Keynes 1936 Tobin 1 Hicks 1937 Keynes IS LM 2 IS LM 3 IS LM Keynes Keynes animal spirits
3 Keynes IS LM 1990 Keynes
4 Keynes marginal efficiency of capital Keynes 12 (a) (b) (b) Keynes Keynes 4 Keynes Keynes Keynes 5 6 Tobin Keynes
5 2 2 irreversivility 7 Blecker Keynes 9 Jorgenson 10
6 IS LM 3 1 Keynes Mishkin IS LM e e I e Tobin IS LM Bernanke and Gertker Mishkin 1995
7 I (1) (4) (1)net worth e I (2) I (3) e (4) Modigliani=Miller M-M credit rationing 13 monitoring cost verification cost stochastic
8 Bernanke and Gertler [1989] Bernamke Gertler monitoring cost verification cost Townsend [1979] Williamson [1987] debt contract Bernanke and Gertler overlapping generations model Bernanke and Gertler Modigliani=Miller M-M M-M Kiyotaki and Moore 1997 Bernanke and Gertler
9 Minsky 1986 Keynes Jorgenson Keynes Bernanke and Gertler
10 LM Jorgenson Principal Agent IS LM IS LM convention Keynes Chirinko 1993 Keynes Romer Pindyck and Rotemberg (1983), Dixit and.pindyck (1994) Bernanke and Blinder 1988 IS LM 13 Stiglitz and Weiss 1981 Abel,A.(1983) Optimal Investment under Uncertainty, American Economic Review, 73, pp Abel,A.B.and O.J.Blanchard (1986) The Present Value of Profits and Cyclical Movements in Investment, Econometrica, Mar., 54(2), pp
11 Barro,R.J.and X.Sala-i-Martin (1995) Economic Growth, NY:McGraw-Hill. Bernanke,B.S. (1983) The Determinants of Investment:Another Look, American Economic Review, May, 73(2), pp Bernanke,B.S., and A.S.Blinder (1988) Credit,Money,and Aggregate Demand, American Economic Review, 78, May, pp Bernanke,B.S.and M.Gertler (1989) Agency Costs,Net Worth,and Business Fluctuations, American Economic Review, 79, pp Bernanke,B.S.and M.Gertler (1995) Inside the Black Box:The Credit Channel of Monetary Policy Transmission, Journal of Economic Perspectives, 9, Fall, pp Blanchard,O.J.and N.Kiyotaki (1987) Monopolistic Competition and the Effects of Aggregate Demand, American Economic Review, 77, Sept. pp Blanchard,O.J.,C.Rhee,and L.Summers (1993) The Stock Market, Profit and Investment, Quarterly Journal of Economics, 108(1), pp Brainard,W.C.and J.Tobin (1968) Econometric Models:Thier Problems and Usefulness, Pitfalls in Financial Model Building, American Economic Review, 58(2), May, pp Blecker,R.A(1997) Policy Implications of the International Saving-Ivestment Correlation, in Pollin, R. ed. (1997) Macroeconomic of Saving, Finance and Investment, Univ. of Michigan. Chirinko,R.S.(1993) Bussines Fixed Investment Spending:Modeling Strategies,Empirical Results,and Policy Implications, Journal of Economic Litarature, 31, pp Dixit, A.K.,and R.S.Pindyck (1994) Investment under Uncertainty, Princeton Univ. Press. Eishner, R.and M.I.Nadiri (1968) Investment Behavior and Neo-Classical Theory, Review of Economics and Statistics, Aug., 50(3), pp Gordon, M.J.(1994) Finance, Ivestment and Macroeconomics:The Neoclassical and a Post Keynesian Solution, Edward Elger. Hayashi,F.(1982) Tobin's Marginal q and Average q:a Neoclassical Interpretation, Econometrica, Jan., 50(1), pp Hayashi,F.and T.Inoue (1991) The Relation Between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms, Econometrica, May, 59(3), pp Jorgenson, D.W.(1963) Capital Theory and Investment Behavior, American Economic Review, May, 53(2), pp Keynes,J.M. (1936) The General Theory of Employment, Interest, and Money, in The Collected Wrigtings of John Maynard Keynes, vol. VII. Macmillan, Kiyotaki, N. and J.Moore (1997) Credit Cycles, Journal of Political Economy, 105, pp Kiyotaki,N. (1998) Credit and Business Cycles, Japanese Economic Review, 49(1), Mar., pp Lucas, R E., Jr.and E.C.Prescott (1971) Investment under Uncertainty, Econometrica, Sept., 39(5), pp Lucas,R.E.(1990) Liquidity and Interest Rates, Journal of Economic Theory,50,pp Mankiw,N.G.(1990) A Quick Refresher Course in Macroeconomics, Journal of Economic Literature, Dec., 28(4), pp Meltzer,A.H.(1995) Monetary, Credit (and Other) Transmisson Processes:A Monetarist Perspective, Journal of Economic Perspectives, 9, Fall, pp Minsky,H.P. (1986) Stabilizing an Unstable Economy Yale University Press 1989 Mishkin,F.S.(1995) Symposium on the Monetary Transmission Mecanism, Journal of Economic Perspectives, 9, Fall, pp Modigliani,F.and M.Miller (1958) The Cost of Capital, Corporation Finance and the Theory of Investment, American Economic Review, 53, pp Pindyck,R.S.and J.J.Rotemberg (1983) Irreversibility, Uncertainty,and Investment, Journal of Economic
12 Literature, Spt., 29(3), pp Pollin,R.ed. (1997) Macroeconomic of Saving, Finance and Investment, Univ. of Michigan. Romer,D.(1996) Advanced Macroeconomics, McGraw-Hill 1998 ) Runde,J.(1990) Keynesian Uncertainty and the Weight of Arguements, Economics and Philosophy, 6(2), pp Stiglitz,J.and A.Weiss (1981) Credit Rationing in Markets with Imperfect Information, American Economic Review, 71, pp Tobin,J.(1965) Money and Economic Growth, Econometrica, 33, Oct., pp Tobin,J.(1980) Asset Accumulation and Economic Activity:Reflections on Contemporary Macroeconomic Theory, Chicago:University of Chicago Press. Townsend,R.(1979) Optimal Contracts and Competitive Markets with Costly State Verification, Journal of Economic Theory, 21, pp Uzawa,H.(1969) Time Preference and the Penrose Effect in a Two-Class Model of Economic Growth, Journal of Political Economy, 77, pp Williamson,S.D.(1987) Costly Monitoring,Loan Contracts, and Equilibrium Credit Rationing, Quarterly Journal of Economics, 102, pp Yi,W.(1998) Investment Cycles, Journal of Economic Dynamics and Control, 22, pp (1989) (1999) 2000 (1989)
Masahiro NAKANO Keynes benchmark Keynes 89
89 102 Masahiro NAKANO Keynes benchmark Keynes 89 ( )IS LM Keynes Hicks IS LM Phillips stylized fact ( ) ( ) 90 Keynes 3 superneutrality 4 RBC 2 1 (i) (ii) (a) (b) (c) 3 Keynes 91 Walras Keynes Say s law
Jorgenson F, L : L: Inada lim F =, lim F L = k L lim F =, lim F L = 2 L F >, F L > 3 F <, F LL < 4 λ >, λf, L = F λ, λl 5 Y = Const a L a < α < CES? C
27 [email protected] 27 4 3 Jorgenson Tobin q : Hayashi s Theorem Jordan Saddle Path. GDP % GDP 2. 3. 4.. Tobin q 2 2. Jorgenson F, L : L: Inada lim F =, lim F L = k L lim F =, lim F L = 2 L F >, F
( ) z W n u K P N P = (1 + z)wn N = nuk (1) (2) I/K u e f r l (= L/PK) (4) I K = g(u, r, e f, l ) g u > 0, g r < 0, g e f > 0,
1 money view credit view IS-LM Sims[1980] Bernanke[1983] 1930 Bernanke and Blinder[1988] IS-LM (credit channel) (1) 3 4 (2) 2 1 3 4 5 2 2.1 2.1.1 ( ) z W n u K P N P = (1 + z)wn N = nuk (1) (2) 2.1.2 I/K
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