G7諸国における非貿易財相対価格の分析

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1 G7 * kawai@iss.u-tokyo.jp ** munehisa.kasuya@boj.or.jp *** naohisa.hirakata@boj.or.jp No.03-J * ** ***

2 G G7 Key words : real exchange rate, relative price of nontradable goods, sectoral productivity dierential, Balassa-Samuelson hypothesis JEL classication : E31, F41 1 (purchasing power parity, PPP)

3 15 OECD G

4 4 3 G OECD GDP GDP 1 (GDP ) 1 1 OECD GDP GDP 1 OECD Balassa-Samuelson 2 1 GDP OECD G7 GDP G7 OECD G7 OECD G7 GDP G7 OECD G7 OECD Balassa-Samuelson GDP G7 OECD 1 OECD 2 Balassa-Samuelson Balassa-Samuelson Bergstrand(1991) G7 Balassa-Samuelson Ito (1997), Kawai and Ohara (1997), Ito et al. (1999), Motonishi (2002) 3

5 G7 q GDP q = s + p, p; (1) s :, p; p : GDP ( ). 30 G7 GDP p = (1, )p T + p N ; p = (1, )p T + p N ;, GDP 3 q =(s + p T, p T ), (p N, p T )+ (p N, p T ): (2) (q) (s + p T, p T ) (p N, p T ) () (p N, p T ) G7 (s + p T, p T )() 1970 =0( 1970=1) 30 4

6 G7 (p N, p T )( ) G7 (a T, a N )() 1970=0( 1970=1) (TFP) TFP TFP 4 Balassa-Samuelson G7 () () Balassa-Samuelson 6 G7 G7 3 A Canzoneri, Cumby and Diba (1999) 4 TFP OECD Inter Sectoral Data Base (ISDB) ISDB 5 Balassa-Samuelson 5

7 3 2 2 Froot and Rogo(1991) Rogo(1992) Obstfeld and Rogo (1996) 3.1 1X t=0 d t (p Tt c Tt + p Nt c Nt )= max fc Tt ;c Nt g 1 t=0 1X t=0 1X t=0 t u(c Tt ;c Nt ); (3) d t [p Tt Q T + p Nt (Q N, G Nt )] + B 0 W 0 ; (4) Q Tt = A Tt F T (L Tt ; KT ) (5) Q Nt = A Nt G N (L Nt ; KN ) (6) L = L Tt + L Nt ; (7) c Tt ;c Nt : t, : 1=(1 + ),, p Tt ;p Nt : T ), N), 6

8 d t : 1=(1 + r) t ; r, Q Tt ;Q Nt :,, G Nt :, W 0 ;B 0 :, A Tt ;A Nt :,. () (lump sum tax) solvency condition 0 u(c T ;c N )=c T T c N N ; (8) t Z t p Tt c Tt + p Nt c Nt Z t =(1, ) t d t W 0 ; (9) t c Tt = T Z t =p T ; (10) c Nt = N Z t =p N : (11) p Nt p Tt = Nc Tt T c Nt = A TtF T L T A Nt F N L N (12) A Tt F T L T A Nt G N L N 7

9 (12) Helpman and Razin(1982) t Q Tt + Q Tt = c Tt + c Tt ; (13) Q Nt, G Nt = c Nt ; (14) Q Nt, G Nt = c Nt; (15) W 0 (9) (10) (11) (13) (14) t p Nt p Tt = Q Tt + Q Tt Q Nt, G Nt N Z t T Z t + ; (16) T Z t = Q Tt + Q Tt N (1, ) t W 0 Q Nt, G Nt T (1, ) t W 0 + T (1, ) t W : (17) 0 t Y t Y t p Tt Q Tt + p Nt (Q Nt, G Nt ): (18) W 0 W 0 W 0 W 0 1X 1X t=0 t=0 8 d t Y t + B 0 ; (19) d t Y t, B 0 : (20)

10 (18) (19) (20) (17) p Nt p Tt = Q Tt + Q Tt Q Nt, G Nt N (1, ) t ( P 1 t=0 d t Y t + B 0 ) T (1, ) t ( P 1 t=0 d t Y t + B 0 )+ T (1, ) t ( P 1 t=0 d t Y t, B 0 ) : (21) B Nt =p Tt 0 = N(1, ) t [ T (1, ) t W 0 + T (1, ) t W 0 ] [ T (1, ) t W 0 + T (1, ) t W 0 ] 2 > 0: (22) () 6 t 7 (17) W 0 W Balassa-Samuelson 6 () 7 Rogo (1992) 9

11 Balassa-Samuelson Balassa-Samuelson (2) GDP (2) q s + p T, p T p N, p T, p N, p T ( 1) G7 ( 3) 9 8 Engel and Rogers (1996) Canzoneri et al. (1999) Engel (1999) 9 10

12 Pedroni(1999) G7 (heterogeneous panel cointegration) 10 ( 2) G7 ( 4) 11 Balassa-Samuelson 5 5.(1) p N,p T a T, a N 2 5.(2) GDP g, y 5.(3) GDP cca () GDP fdi Chiang and Kao (2001) Coppel and Durand (1999) Lane et al. (2001) 11

13 ( 6) 6.(1) 6.(2) 4.2 Balassa-Samuelson (autoregressive distributed lag, ADL) 13 ADL 14 G ,1 <<0 G7, ADL yt = + b(l)y t + c(l)x t + t ADL Hendry, Pagan and Sagan (1984) 14 Pesaran, Shin and Smith(1999) 15 B 12

14 8 G7 8 G7 9 G ,1 <<0 G7 8 10,1 << G

15 ( ) ( ) G7 Balassa-Samuelson

16 30 ( 4 ) ( ) 2 G7 15

17 A OECD Inter Sectoral Data Base (ISDB) Canzoneri, Cumby and Diba(1999) GDP TFP ISDB ISDB ISDB 1997 OECD STAN 1999 IMF International Financial Statistics (IFS) GDP GDP GDP IFS GDP B Pooled Mean Group Estimator Pesaran, Shin and Smith(1999) (pooled mean group estimator, PMGE) 2 MG) PMG) intermediate estimator 16

18 T N Pesaran and Smith (1995) T GMM 19 ADL(p;q;q;:::;q) y it = px j=1 ij y i;t,j + X p,1 y it = i y i;t,1 + ix 0 it + j=1 qx j=0 0 ij x i;t,j + i + it (23) X q,1 ijy i;t,j + j=0 0 ij x i;t,j + + it (24) i =,(1, i = px j=0 ij =, ij =, px j=1 ij ); (25) ij ; (26) px qx m=j+1 m=j+1 im ;j =1; 2;:::;p, 1; (27) im ;j =1; 2;:::;q, 1: (28) P p j=1 ij < 1 i < 0 y it =,( 0 i = i)x it + it (29) i, 0 i = i PMGE = i ;i=1; 2;:::;N: (30) i 19 17

19 [1] Bergstrand, Jerey H. (1991) \Structural Determination of Real Exchange Rates and National Price Levels: Some Empirical Evidence," American Economic Review, Vol. 81(1), pp [2] Canzoneri, Matthew B., Robert E. Cumby and Behzad Diba (1999) \Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries," Journal of International Economics, Vol. 47, pp [3] Chiang, Min-Hsien and Kao, Shihwa (2002) \Nonstationary Panel Time Series Using NPT A User Guide," Center for Policy Research, Syracuse University. [4] Coppel, Jonathan and Martine Durand (1999) \Trends in Market Openness," Economics Department Working Paper No. 221, OECD. [5] Engel, Charles (1999) \Accounting for U.S. Real Exchange Rate Changes," Journal of Political Economy, Vol. 107 (3), pp [6] Engel, Charles and Jenkins J. Rogers (1996) \How Wide is the Border?" American Economic Review, Vol. 86, pp [7] Froot, Kenneth and Kenneth Rogo (1991) \The EMS, the EMU, and the Transition to Common Currency," in O. Blanchard and S. Fischer, eds., NBER Macroeconomics Annual. [8] Hadri, K. (2000) \Testing for Stationary in Heterogeneous Panel Data," Econometrics Journal, Vol.3 (2), pp [9] Helpman, Elhanan and Assaf Razin (1982) \Dynamics of a Floating Exchange Rate Regime," Journal of Political Economy, Vol. 90 (4), pp [10] Hendry, David F., Pagan, A. R. and Sagan, J. D. (1984) \Dynamic Specication," in Griliches, Z and Intriligator, M. D. Handbook of Econometrics, Vol. 2-3, Amsterdam: North-Holland, 18

20 reprinted in Hendry D. F. (1993) Econometrics: Alchemy or Science? oxford: Blackwell Publishers. [11] Ito, Takatoshi(1997) \The long-run Purchasing Power Parity for the Yen: Historical Overview," Journal of the Japanese & International Economics, Vol.11 (4), pp [12] Ito, Takatoshi, Pter Isard, and Steven Symansky (1999) \Economic Growth and Real Exchange Rate: An Overview of the Balassa-Samuelson Hypothesis in Asia," in Ito, Takatoshi Krueger, Anne O., eds.,changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues, NBER-East Asia Seminar on Economics, Vol. 7, Chicago and London: University of Chicago Press, pp [13] Kawai, Masahiro, and Hidetaka Ohara (1997) \Nonstationarity of Real Exchange Rates in the G7 Countries: Are They Cointegrated with Real Variables?" Journal of the Japanese & International Economies, Vol. 11 (4), pp [14] Lane, Philip R. and Gian Maria Milesi-Ferretti (2001) \The External Wealth of Nations: Measures of Foreign Assets and Liabilities for Industrial and Developing Countries," Journal of International Economics, Vol. 55, pp [15] Motonishi, Taizo (2002) \Modications of the Balassa-Samuelson Model: The Eects of Balanced Growth and Capital Accumulation," Journal of the Japanese & International Economies, Vol. 16 (1). pp [16] Obstfeld, Maurice and Kenneth Rogo (1996), Foundations of International Macroeconomics, Cambridge, MA: MIT press. [17] Pantula, Sastry G., Graciela Gonzalez-Farias and Wayne A. Fuller (1994) \A Comparison of Unit-Root Test Criteria," Journal of Business and Economic Statistics,Vol. 12(4), pp

21 [18] Pedroni, Peter (1999) \Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Vol. 61, pp [19] Pesaran, Hashem M. and Ron P. Smith (1995) \Estimating Long-Run Relationships from Dynamic Heterogeneous Panels," Journal of Econometrics, Vol. 68, pp [20] Pesaran, Hashem M., Yongcheol Shin and Ron P. Smith (1999) \Pooled Mean Group Estimation of Dynamic Heterogeneous Panels," Journal of the American Statistical Association, Vol. 94, pp [21] Rogo, Kenneth (1992) \ Traded Goods Consumption Smoothing and the Random Walk Behavior of the Real Exchange Rate," Bank of Japan Monetary and Economic Studies, Vol. 10 (2), pp [22] Rogo, Kenneth (1996) \The Purchasing Power Parity Puzzle," Journal of Economic Literature, Vol. 34 (2), pp

22 1: s + p, p s + p T, p T p N, p T a T, a N g, y cca fdi ADF ** PP Z ADF PP Z ADF * PP Z ADF PP Z ADF * PP Z ADF ** PP Z ADF * PP Z : 1. ***,**,* 1%, 5% and 10%. 2. ADF: Augmented, PPZ: (z). 3. s + p, p : (). 4. s + p, T p : (). T 5. p N, p T : (). 6. a T, a N : (). 7. g, y : GDP (). 8. cca : GDP. 9. fdi : () GDP (). 10., (1994) AIC., j AIC, j

23 : 2:,, s + p, p s + p T, pt pn, pt p N, p T s + p, p s + p T, pt pn, pt p N, p T s + p, p s + p T, pt pn, pt p N, p T s + p, p s + p T, pt pn, pt p N, p T s + p, p s + p T, pt pn, pt p N, p T s + p, p s + p T pn, pt p N, p T * 3 1. ***,**,* 1%, 5% and 10%. 2. s + p, p : (). 3. s + p T, p T : (). 4. p N, P T : (). 5. p, N p T : (). 6., (1994) AIC.. 22

24 3: s + p, p s + p T, p T pn, pt at, an g, y cca fdi ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) ( 0.000) : 1. (2000). 2. p. 3. s + p, p : ( ). 4. s + p T, p T : (). 5. p N, p T : (). 6. a T, a N : (shizenn ). 7. g, y : GDP (). 8. cca : GDP. 9. fdi : () GDP (). 23

25 4:,, ( 0.121) ( 0.242) 3. t (- ) ( 0.358) 4. t ( ) ( 0.000) ( 0.015) 6. t (- ) ( 0.273) 7. t ( ) ( 0.356) : 1..,. 2. (1999) , i i =, H 0 : i = =1( i), H 1 : i = <1( i),. i ,., i =, H 0 : i =1( i), H 1 : i = <1( i),. 5. p-. 24

26 5: (1) :. (2) :,. (3) :,,,. (1) (2) (3) pn, pt pn, pt pn, pt at, an at, an at, an g, y g, y cca fdi pn, pt pn, pt pn, pt at, an at, an at, an g, y g, y cca fdi pn, pt pn, pt pn, pt at, an at, an at, an g, y g, y cca fdi pn, pt pn, pt pn, pt at, an at, an at, an g, y g, y cca fdi

27 (1) (2) 5: () (3) pn, pt pn, pt pn, pt at, an at, an at, an g, y g, y cca fdi pn, pt ** 11 pn, pt pn, pt at, an at, an at, an g, y g, y cca fdi pn, pt pn, pt pn, pt at, an ** 11 at, an at, an g, y g, y cca fdi : 1. ***,**,* 1%, 5% and 10%. 2. ADF: Augmented, PPZ: (z). 3. s + p, p : (). 4. s + p, T p T : (). 5. p N, p T : (). 6. a T, a N : (). 7. g, y GDP (). 8. cca : GDP. 9. fdi : () GDP (). 10., (1994) AIC

28 : 6: (1), ( 0.020) ( 0.000) 3. t (- ) ( 0.000) 4. t ( ) ( 0.000) ( 0.000) 6. t (- ) ( 0.000) 7. t ( ) ( 0.000) (2),,, ( 0.019) ( 0.004) 3. t (- ) ( 0.004) 4. t ( ) ( 0.000) ( 0.000) 6. t (- ) ( 0.000) 7. t ( ) ( 0.000) 1..,. 2. (1999) p-. 27

29 7: ADL : t- P- C (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (a, T a N ) t (a, T a N ) t, (a, T a N ) t, (a, T a N ) t, (g, y) t (g, y) t, (g, y) t, (g, y) t, AR(1)-AR(4):LM P R 2 Adj-R t- P- C (p N, p T ) t, (a T, a N ) t (g, y) t AR(1)-AR(4):LM P R 2 Adj-R S.E. t- P- C (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (a T, a N ) t (a T, a N ) t, (a T, a N ) t, (a T, a N ) t, (g, y) t (g, y) t, AR(1)-AR(4):LM P R 2 Adj-R

30 7: () t- P- C (p N, p T ) t, (a T, a N ) t (g, y) t AR(1)-AR(4):LM P R 2 Adj-R t- P- C (p N, p T ) t, (p N, p T ) t, (a T, p N ) t (a T, p N ) t, (a T, p N ) t, (g, y) t (g, y) t, (g, y) t, (g, y) t, AR(1)-AR(4):LM P R 2 Adj-R t- P- C (p N, p T ) t, (p N, p T ) t, (a T, a N ) t (a T, a N ) t, (a T, a N ) t, (g, y) t AR(1)-AR(4):LM P R 2 Adj-R

31 7: () t- P- C (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (a T, a N ) t (a T, a N ) t, (a T, a N ) t, (a T, a N ) t, (g, y) t (g, y) t, (g, y) t, (g, y) t, AR(1)-AR(4):LM P R 2 Adj-R : 1. : ADL(). 2. AR(1)-AR(4):LM : Breusch-Godfrey. 3. : (p N, p T ): 4. : (a T, a N ), GDP (g, y). 30

32 : 8: 7 () a T, a N g, y (0.090) (0.037) (0.365) (0.108) (0.476) (0.157) (0.253) (0.238) (0.303) (0.060) (0.180) (0.325) (0.075) (0.091) (0.496) (0.232) (0.024) (0.146) (0.148) (1.400) (42.321) LR H 0 : p- 2 (6) = (0.000) : PMGE ( ). 3. : (p N, p T ). 4. : (a T, a N ), GDP (g, y). 31

33 9: ADL : t- P- C (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (a T, a N ) t (a T, a N ) t, (a T, a N ) t, (a T, a N ) t, (g, y) t cca t fdi t AR(1)-AR(4):LM P R 2 Adj-R t- P- C (p N, p T ) t, (p N, p T ) t, (a T, a N ) t (a T, a N ) t, (a T, a N ) t, (g, y) t cca t fdi t AR(1)-AR(4):LM P R 2 Adj-R

34 9: () t- P- C (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (a T, a N ) t (g, y) t (g, y) t, (g, y) t, cca t cca t, cca t, cca t, fdi t AR(1)-AR(4):LM P R 2 Adj, R t- P- C (p N, p N ) t, (a T, a N ) t (a T, a N ) t, (g, y) t (g, y) t, cca t cca t, fdi t fdi t, AR(1)-AR(4):LM P R 2 Adj-R t- P- C (p N, p T ) t, (p N, p T ) t, (a T, a N ) t (a T, a N ) t, (g, y) t (g, y) t, cca t cca t, fdi t fdi t, AR(1)-AR(4):LM P R 2 Adj-R

35 9: () t- P- C (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (a T, a N ) t (a T, a N ) t, (g, y) t cca t cca t, fdi t AR(1)-AR(4):LM P R 2 and Adj-R t- P- C (p N, p T ) t, (p N, p T ) t, (p N, p T ) t, (a T, a N ) t (a T, a N ) t, (a T, a N ) t, (a T, a N ) t, (g, y) t cca t cca t, fdi t AR(1)-AR(4):LM P R 2 Adj-R : 1. : ADL(). 2. AR(1)-AR(4):LM : Breusch-Godfrey. 3. : (p N, p T ): 4. : (a T, a N ), GDP (g, y), GDP (cca), () GDP (fdi). 34

36 10: 9 () a T, a N g, y cca fdi (0.143) (0.162) (0.700) (0.882) (1.827) (0.189) (11.147) (7.282) (19.976) (20.140) (0.194) (0.140) (0.189) (0.064) (0.464) (0.099) (0.318) (0.858) (1.825) (4.842) (0.144) (0.140) (0.168) (0.210) (12.423) (0.288) (0.076) (0.169) (0.324) (0.145) (0.528) (11.747) (5.243) (15.618) (16.692) LR H 0 : p- 2 (6) = (0.000) : : PMGE( ). 3. : (p N, p T ). 4. : (a T, a N ), GDP (g, y), GDP (cca), ()(fdi). 35

38 q=s+p*-p

42 y = x R2 = y = x R2 = y = x R2 =

46 ()

48 ()

産業・企業レベルデータで見た日本の経済成長.pdf

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