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1 Vol.26 No * * [email protected]
2 Bank Lending and Firm Investment under the Depression of the 1990s in Japan Economics Today, Vol.26, No.7, March, 2006 Kenji TANAKA Research Institute of Capital Formation Development Bank of Japan
3 Keywords JEL classification D92G32
4
5
6
7 q 1 capital crunch 2 Motonishi and Yoshikawa1999DI Motonishi and Yoshikawa1999 Gibson q Gibson Sekine credit crunch 2003Caballero, Hoshi and Kashyap debt overhang 1
8 2003 DI I = I ( q, BANK )1 Iq qbank 2
9 1 BANK BANK L = L ( X, BANK )2 LXBANK 2 DI DI DI 2 Woo Tsuru Ito and Sasaki2002 BANK BANK 90 3
10 Fazzar Hubbard and Petersen1988FHPHosh Kashyap and Scharfstein1991 HKSFHPHKS ISLM ISLM Kaplan and Zingales Ogawa and Suzuki
11 Ogawa and Suzuki
12 DI DI DI DI DI 97 DI GDP DS90 7 SS L 0 L 1 97 DI 7 6
13 /GDP
14 GDP 3. GDP 8
15 90 SS r 0 r DD r 0 r 1 L 0 L 1 3 SS 8 r 0 r r 1 D S' D S D' S' S r 0 r 2 r 0 r 1 0 L 1 L 0 0 L L 2 1 L 0 8 DI 9
16 Stiglitz and Weiss 1981 S 2-7 L 2 L 1 r 1 r 0 r 1 L 1 DI 2-7 S' S r 0 r 1 D 0 L 3 L 0 L 1 L
17 2-7 L 1 L
18 ( I = I r, X )3 r = r ( I θ CF ) 4 IrX CFCF ICF LICF0L r r r r ICF financing hierarchy r 12
19 ISLM Bernanke and Blinder1988 Bernanke and Gertler1995 I = I ( L, A, q ) 5 L = L( ρ, D ) 6 ILAq q id r Stiglitz and Weiss1981 i D MM q A Diamond
20 L D
21 2 I = I ( L, A, q ) 7 ( L = L I θ CF, ρ, BANK, Y 8 ILAq qcf CF ibanky ICF 8 ) 15
22 MM A L L BANK Stiglitz and Weiss
23 I K t t 1 = α q 1 t + α 2 A K t 1 t 1 + α 3 L K t t 1 + η + u i t 9 K t iti t it q t ita t it L t it i u t 9qq A/K 11 3 L/K i A t-1 /K t-1 it 17
24 L t I t LAND = β 1 + K t 1 K t 1 K t 1 + β BOND + β BIS 4 t 5 r t CF t + β 2 DEBT K t 1 + µ + v t 1 i t t 1 + β 3 LAND K t 1 n t 1 10 r LAND i t CF i t i, t i, t n DEBT i, t i t LAND i t i, t BONDtt 10 BIS i, t i µ v i, t i 1 I/K+LAND r /KCF/K IK CF 2 DEBT 2 12 DEBT DEBT LAND n /K 12 DEBT 13 2 DEBT DEBT 18
25 90 4 BOND 90 BOND 14 BOND 5 BIS I/K L/K 3.3 9L/K
26 X + u it = α1yit + α 2Z it + α 3i Y + v it = β1 X it + β 2Wit + β 3i it it X it Y it Z it W it 3i 3i 11 12X it 1113 Y it α 2β1 = Z 1 α β 1 it 1 + v 1 α β it β 2 + W 1 α β 1 1 it β1 + α 1 α β 1 1 3i 1 + β 1 α β 1 1 3i β1 + u 1 α β 1 1 it
27 13 3i Y it Y it u it 11 K 910 GMM 16 GMM 16 GMM GMM 21
28 , survival bias
29 ,813 1, q q 2003 q t 1 E β t+ j 1 j= 0 = I t t t+ j Pt j ( δ ) π 14 j = 1 ( 1 + ), 1 β t r β + j t+ i t i= 1 [] I E t t p t t δt t t t r t 23
30 q 14qr q q t 1 = I P t 1 δ t + rt j= 0 1 j E t ( π ) t+ j π t 1 + rt = 15 I P rt + δ t t BISBIS BISBIS 45 BIS r t π t
31 (%) BIS 23 BISBISBIS BIS BISBIS BIS BIS 8 4 Woo1999Ito and Sasaki
32 BIS BIS BIS BIS BIS BIS 25 BIS BIS BIS BIS 8 4 BIS BIS BIS 16 BIS = BIS Woo1999BIS Ito and Sasaki
33 (%) 4-2BISBIS BIS BIS BIS BIS BIS BIS BIS 8 27
34 4.3 I/K -1 qa -1 /K -1 L/K -1 LAND r /K -1 CF/K -1 DEBT q 2 L/K -1 I/K -1 I/K -1 qa -1 /K -1 LAND n /K -1 CF/K -1 DEBT qi/k -1 L/K LAND n /K q 2 I/K
35 I/K -1 q A -1 /K -1 L/K -1 LAND r /K -1 CF/K -1 DEBT -1 LAND n -1 /K I/K -1 q A -1 /K -1 L/K -1 LAND r K -1 CF/K -1 DEBT -1 LAND n -1 K -1 BOND
36 GMM I K t t 1 = α q 1 t + α 2 A K t 1 t 1 + α 3 L K t t 1 + η + u i t 9 K i, t i t I t i t q i, t i t A i, t i t L i, t i t η u i, t L t I t LAND = β 1 + K t 1 K t 1 K t 1 + β BOND + β BIS 4 t 5 r t t 1 i i CF t + β 2DEBT K t 1 + µ + v t t 1 + β 3 LAND K t 1 n t 1 10 r LAND i t CF i t i, t i, t n DEBT i, t i t LAND i t i, t BONDtt 10 BIS i, t i µ v i, t i
37 4-3 q BIS DI q BOND BISabcd 4 BIScd
38 bd 4 5 c cd
39
40 5-1 a b c d N=18, N=19,066 N=16,288 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β β *** *** J(p) J(p) N=8, N=8,358 N=7,246 α *** β *** *** *** *** α ** β *** *** *** *** α *** β β *** *** β J(p) J(p) N=10, N=10,689 N=8,988 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β *** ** β *** *** J(p) J(p) N=5, N=5,358 N=4,525 α *** β α *** β *** *** *** *** α ** β β *** ** β *** *** J(p) J(p) N=5, N=5,284 N=4,416 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β β J(p) J(p) t * 10** 5*** 1t White N I/KqROA1 CF/KA/KDEBT LAND n /KLAND r /K qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 34
41 5-2 a b c d N=12, N=12,027 N=10,333 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β β ** ** J(p) J(p) N=5, N=5,454 N=4,745 α *** β *** ** ** ** α *** β *** *** *** *** α *** β β β * * J(p) J(p) N=6, N=6,564 N=5,558 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β * β *** *** J(p) J(p) N=3, N=3,320 N=2,814 α *** β *** *** *** *** α *** β *** *** ** ** α *** β ** ** β ** β *** *** J(p) J(p) N=3, N=3,220 N=2,721 α *** β ** ** α *** β *** *** *** *** α *** β β β J(p) J(p) I/KqROA1 CF/KA/KDEBT LAND r /K 2 q qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 35
42 5-3 a b c d N=6, N=6,657 N=5,595 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β β J(p) J(p) N=2, N=2,723 N=2,326 α ** β *** ** ** ** α *** β *** *** *** *** α *** β ** ** * β * β J(p) J(p) N=3, N=3,924 N=3,247 α ** β ** *** ** ** α *** β *** *** *** *** α *** β * * β * β J(p) J(p) N=1, N=1,935 N=1,617 α ** β α *** β *** *** *** *** α β β ** β J(p) J(p) N=1, N=1,965 N=1,606 α ** β *** *** ** ** α *** β *** *** *** *** α *** β * * * β β J(p) J(p) I/KqROA1 CF/KA/K DEBTLAND n /KLAND r /K L/KqCF/K1 DEBTA/K LAND n /KBISBONDLAND r /K 3. 36
43 I/K LAND r /KCF/K
44 L CP CP
45 5-4 a b c d N=15, N=15,234 N=13,226 α *** β ** ** ** ** α *** β *** *** *** *** α *** β β β ** ** J(p) J(p) N=6, N=6,547 N=5,771 α *** β * * ** ** α ** β *** *** *** *** α *** β β β J(p) J(p) ) N=8, N=8,681 N=7,421 α ** β ** ** ** ** α *** β *** *** *** *** α *** β β *** *** β *** *** J(p) J(p) N=4, N=4,338 N=3,714 α ** β ) α *** β *** ) *** *** *** α ** β β *** ** β *** *** J(p) J(p) N=4, N=4,312 N=3,674 α ** β *** *** ** ** α *** β *** ) *** *** *** α *** β β β J(p) J(p)
46 5-5 a b c d N=9, N=9,564 N=8,365 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β β ** ** J(p) J(p) N=4, N=4,261 N=3,768 α *** β ** ** * * α *** β *** *** *** *** α *** β β ) β ** ** J(p) J(p) N=5, N=5,303 N=4,580 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β *** * β *** *** J(p) J(p) ) N=3, N=2,669 N=2,299 α ** β *** *** *** *** α *** β *** *** α β β *** β *** *** J(p) J(p) N=2, N=2,619 N=2,265 α ** β ** ** α *** β *** *** *** *** α *** β * * β ** * β * ** J(p) J(p)
47 5-6 a b c d N=5, N=5,360 N=4,571 α *** β * α *** β *** ) *** *** *** α *** β β β J(p) J(p) N=2, N=2,143 N=1,866 α *** β ** ) * α *** β *** *** *** *** α *** β * ** * β β J(p) J(p) N=3, N=3,211 N=2,690 α ** β ** ** ** ** α *** β *** *** *** *** α *** β ) β ) β J(p) J(p) N=1, N=1,582 N=1,337 α * β * * α *** β *** *** *** *** α ** β * * β ) β J(p) J(p) N=1, N=1,611 N=1,335 α ** β ** ** ** ** α ** β *** *** *** *** α *** β β ) β J(p) J(p)
48 5-7 1CD a b c d N=1, N=1,189 N=1,072 α *** β α β *** *** *** *** α β β * β J(p) J(p) N= N=686 N=623 α *** β α ** β α β β ** ** β J(p) J(p) N= N=502 N=449 α β ** ** α β *** *** *** *** α ** β β ** * β J(p) J(p) CD a b c d N=9, N=9,479 N=7,911 α *** β ** ** ** ** α *** β *** *** *** *** α *** β β *** *** β *** *** J(p) J(p) N=4, N=4,672 N=3,900 α *** β α *** β *** *** *** *** α *** β β *** *** β *** *** J(p) J(p) N=4, N=4,781 N=3,967 α ** β *** *** *** *** α *** β *** *** *** *** α *** β β β J(p) J(p)
49 5-8 1CD a b c d N= N=703 N=650 α β ** ** α β ** * * * α * β β β J(p) J(p) N= N=418 N=387 α β ** ** ** ** α β α β β β J(p) J(p) N= N=285 N=263 α β α β α β ** *** * ** β β J(p) J(p) CD a b c d N=5, N=5,859 N=4,907 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β *** β *** *** J(p) J(p) N=2, N=2,902 N=2,427 α *** β *** *** *** *** α *** β *** *** ** * α *** β ** ** β *** β *** *** J(p) J(p) N=2, N=2,935 N=2,458 α *** β * * α *** β *** *** *** *** α *** β * * β ** β * ** J(p) J(p)
50 5-9 1CD a b c d N= N=431 N=371 α * β α * β *** *** *** *** α β β β J(p) J(p) N= N=232 N=201 α β α β * α β β ** ** β J(p) J(p) N= N=198 N=170 α β ** ** ** ** α ** β *** *** *** *** α β β β *** * J(p) J(p) CD a b c d N=3, N=3,491 N=2,871 α ** β ** *** ** ** α *** β *** *** *** *** α *** β ** ** * ** β ** ** β J(p) J(p) N=1, N=1,703 N=1,414 α ** β α *** β *** *** *** *** α β β *** ** β * J(p) J(p) N=1, N=1,766 N=1,436 α * β *** *** ** ** α *** β *** *** *** *** α *** β * * * β β J(p) J(p)
51 5-10 a b c d N=18, N=19,059 N=16,281 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β β J(p) J(p) N=8, N=8,360 N=7,248 α ** β *** *** *** *** α ** β *** *** *** *** α *** β β ** *** β * *** J(p) J(p) N=10, N=10,674 N=8,973 α *** β *** *** *** *** α *** β *** *** *** *** α *** β β *** *** β J(p) J(p) N=5, N=5,345 N=4,512 α *** β *** *** *** *** α *** β *** *** *** *** α ** β β *** *** β *** *** J(p) J(p) N=5, N=5,284 N=4,416 α β ** ** ** ** α *** β *** *** *** *** α *** β β β J(p) J(p) I/KqROA1 CF/KA/K DEBTLAND n /KLAND r /K qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 45
52 5-11 a b c d N=12, N=12,029 N=10,334 α *** β *** *** ** ** α *** β *** *** *** *** α *** β β β J(p) J(p) N=5, N=5,456 N=4,746 α *** β ** ** α *** β *** *** *** *** α *** β β ** ** β ** *** J(p) J(p) N=6, N=6,562 N=5,556 α *** β *** *** ** ** α *** β *** *** *** *** α *** β β *** *** β *** *** J(p) J(p) N=3, N=3,321 N=2,812 α *** β ** *** *** *** α *** β *** *** *** *** α ** β β *** *** β *** *** J(p) J(p) N=3, N=3,222 N=2,723 α ** β α ** β *** *** *** *** α ** β β β J(p) J(p) I/KqROA1 CF/KA/KDEBT LAND r /K 2 q qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 46
53 5-12 a b c d N=6, N=6,704 N=5,642 α ** β *** *** *** *** α *** β *** *** *** *** α *** β β β J(p) J(p) N=2, N=2,723 N=2,360 α β *** *** ** ** α * β *** *** *** *** α *** β * ** β * * β J(p) J(p) N=3, N=3,924 N=3,256 α β ** *** ** ** α *** β *** *** *** *** α *** β β *** *** β J(p) J(p) N=1, N=1,934 N=1,616 α * β α *** β *** *** ** ** α β β *** *** β ** * J(p) J(p) N=1, N=1,965 N=1,617 α β ** ** * * α *** β *** *** ** ** α *** β β β J(p) J(p) I/KqROA1 CF/KA/KDEBT LAND n /KLAND r /K qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 3. 47
54 ROA cd 1 ROA 1 ROA ROA 48
55 ROA 1 ROA 1 49
56 5-13 a b c d N=2, N=2,679 N=2,262 α *** β ** ** *** *** α *** β *** *** *** *** α ** β β * β J(p) J(p) N=2, N=2,678 N=2,262 α β α *** β *** *** *** *** α β β ** β *** *** J(p) J(p) a b c d N=1, N=1,658 N=1,406 α β *** *** *** *** α *** β *** *** *** *** α * β β * β ** ** J(p) J(p) N=1, N=1,662 N=1,408 α *** β ** * α *** β *** * α *** β ** ** β * β ** ** J(p) J(p) a b c d N= N=968 N=809 α ** β * * ** ** α *** β *** *** *** *** α * β β * β J(p) J(p) N= N=967 N=807 α β α ** β *** *** *** *** α β β β J(p) J(p)
57 R O A R O A 5-16 ROA a b c d N=2, N=2,678 N=2,262 α * β ** ** ** ** α * β *** *** *** *** α ** β β * β *** *** J(p) J(p) N=2, N=2,679 N=2,262 α *** β α *** β *** *** *** *** α β β ** β * * J(p) J(p) R O A R O A 5-17 ROA a b c d N=1, N=1,661 N=1,407 α *** β *** *** *** *** α *** β *** *** α ** β β ** β ** J(p) J(p) N=1, N=1,660 N=1,407 α *** β α β *** *** *** *** α *** β *** *** ** ** β β ** ** J(p) J(p) R O A R O A 5-18 ROA a b c d N= N=967 N=809 α β α *** β *** ** ** * α * β β * β J(p) J(p) N= N=968 N=808 α ** β α *** β *** *** *** *** α β β * β J(p) J(p)
58 q
59
60 7 7.1 Hayashi and Inoue Perpetual Inventory Method 6 K t = ( 1 δ ) K t 1 + I t 17 K i, t i t I t i t δ Hayashi and Inoue
61 Hayashi and Inoue Hayashi and Inoue1990Hulten and Wykoff1979, q q t δ t π t t t-1 r 7.7 I p t
62 i t t1 r t 1 i t1 ri, t 1 r t 1 r i, t 1 t r t t i
63 ROA 57
64 1991 Vol.11(4) 2003 pp pp pp pp Working Paper Series, No Working Paper Series, 05-J pp pp Discussion Papers in Economics, No Vol.25(4) 2001pp
65 1999 Keio Economic Society Discussion Paper Series, No.9901Keio University Bernanke, Ben S. and Alan Blinder1988, Credit, Money, and Aggregate Demand, The American Economic Review, Papers and Proceedings, Vol.78, No.2(May), pp Bernanke, Ben S. and Mark Gertler1995, Inside the Black Box: The Credit Channel of Monetary Policy Transmission, The Journal of Economic Perspectives, Vol.9, No.4(Fall), pp Caballero, Ricardo J, Takeo Hoshi and Anil Kashyap2006, Zombie Lending and Depressed Restructuring in Japan, mimeo. Diamond, Douglas1984, Financial Intermediation and Delegated Monitoring. The Review of Economic Studies, Vol.51, No.3(July), pp Fazzar Steven M., R. Glenn Hubbard and Bruce C. Petersen1988, Financing Constraints and Corporate Investment Brookings Papers on Economic Activity No.1, pp Gibson, Michael S.1995, Can Bank Health Affect Investment? Evidence from Japan. The Journal of Business, Vol.68, No.3(July), pp Gibson, Michael S.1997, More Evidence on the Link between Bank Health and Investment in Japan. Journal of the Japanese and International Economies, Vol.11, No.3 (Sep.), pp Hayash Fumio and Tohru Inoue1991 The Relation Between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms, Econometrica, Vol.59, No.3 (May), pp Hosh Takeo, Anil Kashyap and David Scharfstein1991, Corporate Structure, Liquidity, and Investment: Evidence from Japanese Industrial Groups. The Quarterly Journal of Economics, Vol.106, Issue1 (Feb.), pp Hultten, Charles R. and Frank C. Wykoff1979 Economic Depreciation of the U.S. Capital Stock: A First Step, Report submitted to the U.S. Treasury Department Office of Tax Analysis, Washington, D.C. Hultten, Charles R. and Frank C. Wykoff1981 The Measurement of Economics Depreciation, Depreciation, Inflation and the Taxation of Income from Capital, Washington, D.C.: Urban Institute Press. Ito, Takatoshi and Yuri Sasak N.2002, Impacts of the Basle Capital Standard on Japanese Banks' Behavior. Journal of the Japanese and International Economies, Vol.16, No.3 (Sep.), 59
66 pp Kaplan, Steven N. and Luigi Zingales1997, Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? The Quarterly Journal of Economics, Vol.112, Issue1 (Feb.), pp Motonish Taizo and Hiroshi Yoshikawa1999, Causes of the Long Stagnation of Japan during the 1990s:Financial or Real. Journal of the Japanese and International Economies, Vol.13, No.3 (Sep.), pp Ogawa, Kazuo and Kazuyuki Suzuki1998, Land Value and Corporate Investment: Evidence from Japanese Panel Data. Journal of the Japanese and International Economies, Vol.12, No.3 (Sep.), pp Ogawa, Kazuo and Kazuyuki Suzuki2000, Demand for Bank Loans and Investment under Borrowing Constraints: A Panel Study of Japanese Firm Data. Journal of the Japanese and International Economies, Vol.14, No.1 (March), pp Sekine, Toshitaka1999, Firm Investment and Balance-Sheet Problems in Japan IMF Working Papers, No.111, International Monetary Fund. Stiglitz, Joseph E. and Andrew Weiss1981, Credit Rationing in Markets with Imperfect Information. The American Economic Review, Vol.71, No.3 (June), pp Tsuru, Kotaro2001, The Choice of Lending Patterns by Japanese Banks during the 1980s and 1990s: The Causes and Consequences of a Real Estate Lending Boom. IMES Discussion Paper Series, No.2001-E-8, Institute for Monetary and Economic Studies, Bank of Japan. Woo, David1999, In Search of Capital Crunch : Supply Factors Behind the Credit Slowdown in Japan. IMF Working Papers, WP/99/3, International Monetary Fund. 60
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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
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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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* 2000 7 26 1 1 1 [2000] 1 2 1 2 2 1 B to C 250000 億円 200000 日本米国 213,200 150000 100000 50000 0 153,600 106,900 71,100 66,620 42,700 43,860 22,500 26,940 15,340 645 3,360 7,730 1998 年 1999 年 2000 年 2001
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表紙＿目次.PDF
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Keynes 1936 Tobin 1 Hicks 1937 Keynes IS LM 2 IS LM 3 IS LM Keynes Keynes animal spirits
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