2002 4 1 1990 1 525-8577 1-1-1. Tel.: 077-561-4855. Fax.: 077-561-3964. E-mail: khori@ec.ritsumei.ac.jp 1
[17]Holmström and Tirole (2000) (1) (2) (1) (2) 1 1 2
MM MM MM MM CP 0 3
1 1990 1970 2 2 1 1 17% 5% 3 2 20 5% 1 4 3 1 5 1990 1997 4
2 3 4 5 2 2.1 MM [35]Townsend (1979) [38]Williamson (1987) 5
2 3 q q [8]Fazzari, Hubbard and Petersen (1988) [22]Kaplan and Zingales (1997) [8]Fazzari, Hubbard and Petersen (1988) [22]Kaplan and Zingales (1997) [8]Fazzari, Hubbard and Petersen (1988) 2 3 [20]Hubbard(1998) 6
4 [19]Hoshi, Kashyap and Scharfstein (1991) [19]Hoshi, Kashyap and Scharfstein (1991) [19]Hoshi, Kashyap and Scharfstein (1991) [13]Hayashi and Inoue (1991) [19]Hoshi, Kashyap and Scharfstein (1991) [13] Hayashi and Inoue (1991) [19]Hoshi, Kashyap and Scharfstein (1991) [14]Hayashi (1997) [19]Hoshi, Kashyap and Scharfstein (1991) 5 4 [9]Fazzari, Hubbard and Petersen (2000) [23]Kaplan and Zingales (2000) 5 q 7
2.2 2.1 [35]Townsend (1979) [38]Williamson (1987) [5]Bernanke and Gertler (1989) [5]Bernanke and Gertler (1989) [35]Townsend (1979) [38]Williamson (1987) [5]Bernanke and Gertler (1989) [1]Aghion and Bolton (1997) [5]Bernanke and Gertler (1989) [11]Greenwald and Stiglitz (1993) (1) 1 (2) (3) 8
[28]Kiyotaki and Moore (1997) [28]Kiyotaki and Moore (1997) 6 2.3 7 [29]Lucas (1990) [10]Fuerst (1992) 6 [6]Bernanke, Gertler and Gilchrist (1996) 7 [18] 1997 9
(1) (2) CD (3) 3 2 CD 3 [3]Bernanke (1983) [33]Romer and Romer (1990) [4]Bernanke and Blinder (1992) [27]Kashyap, Stein and Wilcox (1993) [33]Romer and Romer (1990) [4]Bernanke and Blinder (1992) [27]Kashyap, Stein and Wilcox (1993) 10
[27]Kashyap, Stein and Wilcox (1993) CP [24]Kashyap, Lamont and Stein (1994) [26]Kashyap and Stein (1995) [25]Kashyap, Lamont and Stein (1994) 1982 [37]Ueda (1993) [21] 1995 [15] 1995 [32] 1997 [30] 2000 [37]Ueda (1993) [15] 1995 [32] 1997 [30] 2000 [21] 1995 3 3.1 11
VAR VAR VAR 3.2 [12]Granger (1969) [34]Sims (1980) innovation accounting Granger VECM [36]Toda and Yamamoto (1995) VAR [36]Toda and Yamamoto (1995) VAR [36]Toda and Yamamoto (1995) 8 VAR 8 [2] 2000 12
3.3 CALL RLOAN INV SALES LIQ1 LIQ2 CALL RLOAN 2 LIQ1 LIQ2 2 LIQ1 LIQ2 2 INV SALES LIQ1 LIQ2 1 1973 2 LIQ2 1973 2 1970 2 2000 2 2 4 4.1 [7]Dickey and Fuller (1979) Augmented Dickey-Fuller ADF ADF AIC [31]Pantula et al. (1994) AIC 2 13
9 ADF 3 LIQ1 ADF 4 LIQ1 LIQ1 I(0) I(1) 4.2 Granger LIQ1 0 [36]Toda and Yamamoto (1995) Granger VAR k VAR VAR I(1) k +1 VAR k 0 Granger F Q1 Q3 1. A: CALL, INV, SALES, LIQ1 2. B CALL, INV, SALES, LIQ2 3. C RLOAN, INV, SALES, LIQ1 4. D RLOAN, INV, SALES, LIQ2 A VAR k =4 A LIQ1 I(1) A 5 5 5 LIQ1 INV LIQ1 SALES 9 ADF 14
CALL B B I(1) B 5 B 6 6 5 LIQ2 SALES INV SALES A CALL RLOAN C 7 C 5 7 A C SALES INV B CALL RLOAN D 8 D 5 8 D B A C 1970 3 2000 B D 1974 3 2000 1970 A C B D B D 1974 3 2000 A C 9 10 INV SALES LIQ1 SALES A C B D 1974 5 10 Granger 3 15
4.3 Granger Granger 1974 3 2000 A 10 4 5 6 4.4 Granger 3 Granger 1 10 1 inovation accounting 16
2 2 VAR I(1) X t = Φ 1 X t 1 + + Φ 5 X t 5 + Φ 6 Z t + u t X t INV t SALES t LIQ1 t LIQ2 t 3 1 Φ s (t =1,, 5) 3 3 Φ 6 3 6 Z t Q 1,Q 2,Q 3 dcall t drloan t 3 6 u t 0 3 1 dcall t = CALL t CALL t 1 drloan t = RLOAN t RLOAN t 1 VAR 7 7 Granger 17
Granger Granger [13]Hayashi and Inoue (1991) 11 q Granger [13]Hayashi and Inoue (1991) [19]Hoshi, Kashyap and Scharfstein (1991) Granger [37]Ueda (1993) [30] 2000 12 [21] 1995 11 Granger 12 18
[18] 1997 [21] 1995 [18] 1997 [21] 1995 1990 1 2000 5 Granger 19
1 VAR Granger Granger VAR 2 Granger VAR 3 4 2 A 1974 3 2000 1970 2000 2 1. 20
13 2. 3. 14 15 4. 16 70 1.98 5. 6. 13 10 14 15 90 68SNA 16 [30] 2000 21
1 0.1299 0.0203 0.0422 0.0057 0.1721 0.0214 0.0268 0.0028 0.0256 0.0038 0.0524 0.0054 1. cash on hand and in the U.S. banks U.S. government and other securities 2. Quarterly Financial Report for Manufacturing, Mining, and Trade Corporations(U.S. Census Bureau) 22
2 CALL 0.6585 9.9176 14.6678-41.1497 RLOAN 0.0897 9.5652 8.8065-26.0152 INV 0.0375 0.0100 0.0657 0.0181 SALES 0.7183 0.0618 0.9023 0.5908 LIQ1 0.3430 0.0480 0.4557 0.2852 LIQ2 0.3433 0.0476 0.4570 0.2865 1. CALL RLOAN INV SALES LIQ1 LIQ2 CALL RLOAN 23
3 0 CALL 9-2.3644 RLOAN 12-2.4502 INV 9-1.6643 SALES 2-2.2323 LIQ1 6-2.5961* LIQ2 6-2.0517 1. CALL RLOAN INV SALES LIQ1 LIQ2 CALL RLOAN 2. LIQ2 1970 3 2000 LIQ2 1973 2000 3. * 10% ** 5% 24
4 1 CALL 8-3.5695** RLOAN 12-2.6471* INV 9-3.1976* SALES 4-5.1078** LIQ2 5-2.8612* 1. CALL RLOAN INV SALES LIQ1 LIQ2 CALL RLOAN 2. LIQ2 1970 3 2000 2 LIQ2 1973 3 2000 2 3. * 10% ** 5% 25
5 Granger A CALL INV SALES LIQ1 CALL 252.9894** 0.6043 1.7934 0.6580 INV 0.6804 12.3410** 2.2498 4.1613** SALES 0.2278 1.4746 21.8042** 2.8677* LIQ1 0.9376 0.2284 3.4464* 200.0004** 1. CALL INV SALES LIQ1 CALL 2. 1970 3 2000 3. F ** 1% * 5% Granger 26
6 Granger B CALL INV SALES LIQ2 CALL 220.6124** 0.6469 1.6798 0.8904 INV 0.6459 13.1849** 1.9303 3.5572* SALES 0.2409 3.7965* 31.1230** 1.4594 LIQ2 1.0593 0.6201 4.1463** 191.5510** 1. CALL INV SALES LIQ2 CALL 2. 1974 3 2000 3. F ** 1% * 5% Granger 27
7 Granger C RLOAN INV SALES LIQ1 RLOAN 3494.090** 0.4447 0.3583 0.6482 INV 0.4466 10.6053** 2.5729* 4.1412** SALES 1.4654 1.5799 17.4497** 2.9877* LIQ1 0.8888 0.3019 3.4093* 183.9805** 1. CALL INV SALES LIQ1 RLOAN 2. 1970 3 2000 3. F ** 1% * 5% Granger 28
8 Granger D RLOAN INV SALES LIQ2 RLOAN 2967.787** 0.5045 0.2364 1.0640 INV 0.4745 11.3649** 2.4082 3.4043* SALES 1.3784 3.9043** 26.2757** 1.6925 LIQ2 1.1412 0.7119 4.2372** 171.0912** 1. RLOAN INV SALES LIQ2 RLOAN 2. 1974 3 2000 3. F ** 1% * 5% Granger 29
9 Granger CALL INV SALES LIQ1 CALL 222.0788** 0.6713 1.7507 0.9216 INV 0.6056 12.9335** 1.8728 3.6734** SALES 0.2406 4.0836** 27.9232** 1.5883 LIQ1 1.0394 0.9431 4.0131** 180.3559** 1. CALL INV SALES LIQ1 RLOAN 2. 1974 3 2000 3. F ** 1% * 5% Granger 30
10 Granger RLOAN INV SALES LIQ1 RLOAN 2972.822** 0.3929 0.1897 0.9842 INV 0.4186 11.4474** 2.2577 3.6186** SALES 1.2572 4.1702** 23.7164** 1.7930 LIQ1 0.9268 0.9914 3.9940** 161.9097** 1. RLOAN INV SALES LIQ1 RLOAN 2. 1974 3 2000 3. F ** 1% * 5% Granger 31
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