Horioka
Nakagawa and Oshima u ( c ) t+ 1 E β (1 + r ) 1 = t i+ 1 u ( c ) t 0 β c t y t uc ( t ) E () t r t c E β t ct γ ( + r ) 1 0 t+ 1 1 = t+ 1 ξ ct + β ct γ c t + 1 1+ r ) E β t + 1 t ct (1 + r 1 ( t+ 1 t+ 1 γ )
c t + 1 log( β) γe log [ log( )] ( ξ ) ( ξ ) + E + r + E + 1 2 t t 1 t 1 t t 1 Et t+ 1 ct 2 2 2 E ( ξ t t 1) = σ + t ε t+ 1 c 1 1 t 1 2 log + log( β ) + log(1 + r ) + σ + 1 + 1 2 + ε t t t c γ γ γ t 1 σ t 2 log(c t / C t-1 ) = a 1 + a 2 r t-1 + a 3 RISK t-1 + a 4 log(y t / y t-1 ) + v t RISK y
C Y R RISK1 RISK2 RISK3 R t-1 RISK1 t-1 RISK2 t-1risk3 t-1 log(x t / X t-1 )log(g t / G t-1 )X G log(c t / C t-1 ) = 0.0474 + 0.631 log(y t / Y t-1 ) 0.136 R t-1 0.071 RISK1 t-1 0.081 RISK2 0.218 RISK3 (2.94 *** ) (3.69 *** ) (1.88 * ) (3.45 *** ) (0.34) (2.37 ** ) Adjusted R 2 = 0.910 S.E.=0.0043 DW =1.95 ****** 10 SG1 SG2
WH YD SH CS SH = f(sg1, SG2, CS, WH, YD) SG2(-48)
z t = µ + k i= 1 A i z t-i ε t µ A i ε t k z t = µ + Π z t-1 1 i= 1 Γ i z t-i ε t Π z t-1 Π αβ α β β β β z t-1 βz t-1 = 0 Case 1 Case 2 SH, SG1, SG2, WH, YD SH, SG2, WH, YD
Trend stationary linear quadratic cointegration Π cointegration cointegration
β β SH = 293716 + 4439 trend + 5.855 SG1 21.937SG2 0.595 WH + 3.955 YD SH = 77994 2959 trend + 0.5301 SG1 2.0243 SG2 0.0335 WH + 0.8053 YD
Carlson, J. A. and M. Parkin(1975), Inflation Expectation, Economica 42. Horioka, Charles Yuji (1990) Why is Japan's Household Saving Rates So High? A Literature Survey, Journal of the Japanese and International Economics, Vol.4, No.1 (March 1990) --------------------------- (1989), Why Is Japan's Private Saving Rate So High? in R. Sato and T. Negishi, eds., Developments in Japanese Economics (Tokyo: Academic Press), pp. 145-178
Std. Coef. z P> z Err. SH SH -1 0.0534 0.0224 2.38 0.017 SH 0.1433 0.2136 0.67 0.502 SG1 0.3848 0.1563 2.46 0.014 SG2-1.2457 0.6139-2.03 0.042 WH -0.0568 0.0155-3.67 0 YD 0.2758 0.1680 1.64 0.101 constant 6476.6 2908.0 2.23 0.026 SG1 SG1-1 0.0638 0.0288 2.22 0.027 SH -0.5535 0.2739-2.02 0.043 SG1 0.2036 0.2004 1.02 0.31 SG2-0.5142 0.7871-0.65 0.514 WH 0.0346 0.0199 1.74 0.082 YD -0.0857 0.2154-0.4 0.691 constant 5945.1 3728.8 1.59 0.111 SG2 SG2-1 0.0015 0.0110 0.14 0.89 SH -0.1245 0.1044-1.19 0.233 SG1 0.1290 0.0764 1.69 0.091 SG2-0.3355 0.3002-1.12 0.264 WH 0.0027 0.0076 0.36 0.722 YD 0.1333 0.0821 1.62 0.105 constant -473.2 1421.9-0.33 0.739 WH WH -1-0.2028 0.4114-0.49 0.622 SH -2.1310 3.9185-0.54 0.587 SG1 0.3937 2.8674 0.14 0.891 SG2 4.5516 11.2613 0.4 0.686 WH 0.2855 0.2840 1.01 0.315 YD -1.4026 3.0814-0.46 0.649 constant 12795.0 53346.5 0.24 0.81 YD -1 0.1083 0.0301 3.6 0 SH 0.1282 0.2864 0.45 0.654 SG1 0.5105 0.2095 2.44 0.015 SG2-1.4221 0.8230-1.73 0.084 WH -0.0254 0.0208-1.22 0.222 YD 0.2446 0.2252 1.09 0.277 constant 17270.0 3898.5 4.43 0 beta Coef. Std. Err. z P> z SH 1 SG1-5.855 1.979-2.96 0.003 SG2 21.937 7.227 3.04 0.002 WH 0.595 0.109 5.47 0 YD -3.955 0.657-6.02 0 trend -4439 5766-0.77 0.441 const 293716
SH SH -1 SH SG1 SG2 WH YD const SG1 SG1-1 SH SG1 SG2 WH YD const SG2 SG2-1 SH SG1 SG2 WH YD const WH WH -1 SH SG1 SG2 WH YD const YD -1 SH SG1 SG2 WH YD const