財政のサステナビリティと長期金利の動向

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1 * ** ()*** **** No.03-J * **()*******

2 * ** () *** **** (i) (ii) Keywords: government bonds, sustainability, long-run interest rate JEL Classification: H62, E43 * nakaza-t@hoffman.cc.sophia.ac.jp ** yutaka.soejima@boj.or.jp *** **** munehisa.kasuya@boj.or.jp 1

3 [2001][2002] 2

4

5 90 Hayashi and Prescott[2002] (Leeper[1991] Cochrane[1998] [2002] 4

6 < > (2003) [2000] 5

7 ) 3)

8 () 12 ( ) 11 7

9 (1998) (2003) VAR GLS 8

10 [2000] 14 9

11 16 10

12 90 Alesina and Perotti[1995,1996] OECD 17, Buti et al. (2002) 18 11

13 () Giavazzi and Pagano[1990], Alesina and Perotti[1996] 19 12

14 20 Cap pay-as-you-go Von Hagen and Harden[1995], Poterba[1997] 13

15 [1976] [1995]

16 [2002] 15

17 16

18 (2002)90 63,. (2003) No. 03-J-4. (2003) 03-J-4. (1995) 14. (1976) 51. (2002). (2001),. (2000): 16,. (2001),. (2001) (1998) 981,. (2002) 64,. Alesina, Alberto and Roberto Perotti(1995)Fiscal Expansions and Adjustment in OECD Countries, Economic Policy 21, pp Alesina, Alberto and Roberto Perotti(1996) Fiscal Adjustment in OECD Countries: Composition and Macroeconomic Effects, NBER Working Paper #5730. Buti, Marco; von Hagen, Jurgen; Martinez-Mongay, Carlos (2002) The behaviour of fiscal authorities: Stabilization, growth and institutions, Houndmills, U.K. and New York: Palgrave. 17

19 Cochrane, John (1998)A Frictionless View of U.S. Inflation, NBER Macroeconomics Annual, pp Giavazzi, Francesco and Marco Pagano(1990) Can Severe Fiscal Contractions Be Expansionary? Tales of Two Small European Countries, NBER Macroeconomics Annual, pp Hayashi, Fumio and Edward Prescott(2002)The 1990s in Japan: A Lost Decade, Review of Economic Dynamics 5, pp Leeper, Eric (1991)Equilibria under Active and Passive Monetary and Fiscal Policies, Journal of Monetary Economics 27, pp Lipman, Barton L.(1995) Information Processing and Bounded Rationality: A Survey, Canadian Journal of Economics,. Vol. 28 (1), pp February. Pesaran, M Hashem (1987) The limits to rational expectationism, Oxford and New York: Blackwell. Poterba, James (1997 )Do Budget Rules Work?, in Auerbach, Alan J., ed., Fiscal Policy: Lessons from Economic Research, Cambridge and London: MIT Press, pp Rubinstein, Ariel (1998) Modeling bounded rationality, Cambridge and London: MIT Press. Von Hagen and Harden(1995)Budget Process and Commitment to Fiscal Discipline, European Economic Review 39, pp

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