経済経営研究

Vol.26 No.7 2006 3 1990 * * E-mail: kntanak@dbj.go.jp

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

1990 19922002 1997 1999 19971999 Keywords JEL classification D92G32

1 2 3 3.1 3.2 3.3 3.4 4 4.1 4.2 4.3 5 5.1 5.2 5.3 5.4 6 7 1 6 12 14 19 20 22 23 28 30 31 37 48 52 54

1 1990 10 90 q 1 capital crunch 2 Motonishi and Yoshikawa1999DI 97 98 Motonishi and Yoshikawa1999 Gibson19951997 q Gibson19951997 90 90 Sekine19992002 1 credit crunch 2003Caballero, Hoshi and Kashyap2006 2 debt overhang 1

2003 DI 2005 3 1 97 98 2 3 2001 I = I ( q, BANK )1 Iq qbank 2

1 BANK BANK L = L ( X, BANK )2 LXBANK 2 DI DI DI 2 Woo1999 97 Tsuru200120012002Ito and Sasaki2002 BANK BANK 90 3

1991 1991 Fazzar Hubbard and Petersen1988FHPHosh Kashyap and Scharfstein1991 HKSFHPHKS 3 1991 4 1991 5 19951991 2000 ISLM ISLM 90 3 2004 4 Kaplan and Zingales1997 5 Ogawa and Suzuki19982001 4

6 90 2 90 3 19912000 4 5 6 7 6 20051990 Ogawa and Suzuki2000 1980 1993 2003 90 5

2 2-1 1980 2.58990 3.0 93 2.0 2-2 91 92 500 98 2 92 2-3 DI DI DI 80 90 90 80 DI 91 92 97 99 DI 97 DI 2-4 92 GDP 99 90 90 90 2-5 DS90 7 SS L 0 L 1 97 DI 7 6

3.5 2-1 3.0 2.5 2.0 1.5 1.0 1981 85 90 95 2000 03 1. 2.. 600 500 2-2 /GDP 120 100 400 300 80 60 200 40 100 20 0 1981 85 90 95 2000 03 1. 2. 0 7

60 50 40 30 20 10 0-10 -20-30 2-3 -40 1981 85 90 95 2000 04 1. 2. 9.0 2-4 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 1981 85 90 95 2000 03 1. 2. GDP 3. GDP 8

90 SS r 0 r 1 2-6 DD r 0 r 1 L 0 L 1 3 SS 8 r 0 r 2 2-5 2-6 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

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 2 90 2 10

2-7 L 1 L 3 2 2 90 11

3 3.1 3.1.1 199119951999 1991 1991 ( I = I r, X )3 r = r ( I θ CF ) 4 IrX CFCF ICF LICF0L r r r 199134 r ICF financing hierarchy 1990 2 90 r 12

3.1.2 2000 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 2 2 2 3 Diamond1984 13

L D 6 90 3.2 3.2.1 200590 90 9 9 14

2 I = I ( L, A, q ) 7 ( L = L I θ CF, ρ, BANK, Y 8 ILAq qcf CF ibanky 78 1995 8ICF 8 ) 15

10 7 7 MM A L L BANK 1 90 10 Stiglitz and Weiss1981 1 16

3.2.2 9 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 9 10 11 A t-1 /K t-1 it 17

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 2 13 2 3 LAND n /K 12 DEBT 13 2 DEBT DEBT 18

90 4 BOND 90 BOND 14 BOND 5 BIS 10 910 I/K L/K 3.3 9L/K 3 14 19

1992 2002 11 3 1 80 80 90 2 3 3 5.3 15 3.4 910 X + u it = α1yit + α 2Z it + α 3i Y + v it = β1 X it + β 2Wit + β 3i it it 11 12 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 1 1 1 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 13 15 1999 20

13 3i Y it Y it u it 11 K 910 GMM 16 GMM 16 GMM GMM 21

4 4.1 3 1 2 1992 2002 5 17 4 3 1 18 2 2 19 2002 1,813 4-1 17 survival bias 18 19 2000 22

4-1 2002 1,813 1,070 92 58 21 151 52 135 165 151 98 31 116 743 9 134 22 313 33 117 115 4.2 910 q 7 4.2.1 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

q 14qr 20 14 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 4.2.2 BISBIS BISBIS 45 BIS 4-1 21 92 21 22 2001 10 90 2000 20 r t π t 21 22 94 9596 97 3 99 3 98 3 24

(%) 4-1 10.0 8.0 6.0 4.0 2.0 0.0-2.0 1992 93 94 95 96 97 98 99 2000 01 02 1. 2. 3. 94 9596 97 3 4. 97 98 BIS 23 BISBISBIS BIS BISBIS BIS BIS 8 4 Woo1999Ito and Sasaki20022002 23 25

BIS BIS 24 92 BIS 4-2 21 92 BIS 90 90 BIS BIS 25 BIS97 82002 4 90 BIS BIS BIS 8 4 BIS BIS BIS 16 BIS = 16 8 4 1692 21 BIS 24 90 Woo1999BIS Ito and Sasaki200290 2002 25 97 98 26

14.0 12.0 (%) 4-2BISBIS BIS 10.0 8.0 6.0 BIS 4.0 2.0 0.0 1992 93 94 95 96 97 98 99 2000 01 02 1. 2. BIS 98 3. BIS BIS BIS BIS 8 27

4.3 I/K -1 qa -1 /K -1 L/K -1 LAND r /K -1 CF/K -1 DEBT -1 3 26 4-2 19922002 q 2 L/K -1 I/K -1 I/K -1 qa -1 /K -1 LAND n /K -1 CF/K -1 DEBT -1 4-3 qi/k -1 L/K -1 98 99 LAND n /K -1 26 q 2 I/K -1 1 28

4-2 1992-2002 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 0.113 2.017 0.624-0.012 0.019 0.201 0.538 0.432 0.236 3.184 1.037 0.632 0.136 0.425 0.197 0.429 2.085 1.578 1.661-51.665 7.156 2.121 0.367 0.993 4.053 26.655 10.618 7.284 1.580 9.196 1.186 2.567-0.980-15.942-6.017-7.736-1.528-5.452 0.034-1.002 0.100 1.521 0.404-0.014 0.012 0.147 0.494 0.320 0.181 2.186 0.583 0.359 0.106 0.210 0.177 0.328 1.805 1.437 1.445-25.864 8.662 1.431 0.358 1.026 3.986 22.007 9.665 7.200 1.580 8.437 1.176 2.549-0.873-15.942-1.310-7.583-1.492-3.897 0.034-0.808 0.135 2.779 0.984-0.007 0.030 0.280 0.603 0.610 0.302 4.142 1.431 0.909 0.172 0.613 0.208 0.499 2.242 1.491 1.454-133.183 5.793 2.189 0.344 0.818 4.053 26.655 10.618 7.284 1.562 9.196 1.186 2.567-0.980-15.664-6.017-7.736-1.528-5.452 0.042-1.002 4-3 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 1992 0.177 2.611 0.711 0.038 0.022 0.198 0.556 0.523 0.0501 1993 0.143 2.283 0.702-0.016 0.022 0.170 0.548 0.482 0.0416 1994 0.127 2.169 0.696-0.007 0.020 0.179 0.540 0.450 0.0437 1995 0.130 2.317 0.645 0.009 0.018 0.203 0.539 0.425 0.0314 1996 0.141 2.443 0.595-0.040 0.020 0.208 0.538 0.419 0.0298 1997 0.127 2.064 0.545 0.024 0.021 0.204 0.535 0.417 0.0220 1998 0.115 1.801 0.603 0.032 0.019 0.198 0.533 0.407 0.0150 1999 0.077 1.850 0.632-0.031 0.040 0.213 0.531 0.427 0.0169 2000 0.084 1.704 0.602-0.019 0.019 0.228 0.538 0.423 0.0164 2001 0.070 1.263 0.580-0.057 0.013 0.204 0.532 0.406 0.0129 2002 0.052 1.628 0.562-0.074-0.008 0.196 0.528 0.383 0.0113 29

5 5.1 3 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 9 3 10 1 1 3 1 5 5 1 3 90 30

4-3 q 97 2001 1 5.3 5.2 19922002 BIS 9 19921996 1997 2002 2 19972002 DI 19971999 20002002 19922002 5-1 1 2 3 q BOND BISabcd 4 BIScd 8 1 2 3 31

bd 4 5 c 1 5-2 5-3 1 2 3 2 2 19922002 19921996 19972002 1 2 3 1 19972002 5 cd 19972002 5 19972002 1997 2002 2 19972002 19971999 20002002 1 2 3 19971999 1 5 19971999 19971999 3 1 32

5 19971999 33

5-1 a b c d 1992-2002 N=18,931 1992-2002 N=19,066 N=16,288 α 1 0.050 4.47 *** β 1 0.215 3.42 *** 0.212 3.38 *** 0.217 3.25 *** 0.214 3.19 *** α 2 0.091 6.38 *** β 2-2.328-13.11 *** -2.334-13.02 *** -2.502-11.53 *** -2.505-11.46 *** α 3 0.330 5.20 *** β 3 0.045 1.05 0.040 0.93 0.059 1.19 0.055 1.08 β 4 0.778 1.23 0.798 1.11 β 5 0.951 2.82 *** 0.909 2.71 *** J(p) 11.791 0.161 J(p) 6.582 0.254 6.718 0.243 5.825 0.324 6.045 0.302 1992-1996 N=8,319 1992-1996 N=8,358 N=7,246 α 1 0.074 3.94 *** β 1 0.453 3.08 *** 0.421 2.85 *** 0.514 3.50 *** 0.474 3.19 *** α 2 0.054 2.09 ** β 2-2.385-7.87 *** -2.439-7.93 *** -2.490-7.11 *** -2.554-7.18 *** α 3 0.363 5.25 *** β 3 0.054 1.02 0.027 0.48 0.076 1.22 0.044 0.64 β 4 2.547 2.80 *** 2.834 2.64 *** β 5-0.771-0.72-1.696-1.49 J(p) 5.929 0.655 J(p) 3.172 0.673 3.413 0.637 3.199 0.669 3.361 0.645 1997-2002 N=10,581 1997-2002 N=10,689 N=8,988 α 1 0.034 3.52 *** β 1 0.176 2.75 *** 0.178 2.79 *** 0.190 2.63 *** 0.192 2.66 *** α 2 0.110 4.75 *** β 2-2.112-9.34 *** -2.104-9.29 *** -2.181-8.53 *** -2.176-8.51 *** α 3 0.279 3.87 *** β 3 0.070 1.30 0.073 1.34 0.079 1.29 0.082 1.34 β 4-2.499-2.65 *** -2.443-2.05 ** β 5 1.226 3.56 *** 1.232 3.57 *** J(p) 14.15 0.078 J(p) 9.519 0.090 9.430 0.093 9.648 0.086 9.507 0.090 1997-1999 N=5,308 1997-1999 N=5,358 N=4,525 α 1 0.037 3.05 *** β 1 0.181 1.40 0.186 1.44 0.226 1.49 0.229 1.52 α 2 0.105 4.23 *** β 2-1.987-6.01 *** -1.955-5.91 *** -1.990-5.57 *** -1.976-5.52 *** α 3 0.209 2.35 ** β 3 0.020 0.17 0.025 0.22 0.040 0.28 0.048 0.33 β 4-3.859-3.34 *** -3.070-2.20 ** β 5 1.824 3.51 *** 1.677 3.30 *** J(p) 7.588 0.475 J(p) 5.401 0.369 5.108 0.403 5.883 0.318 5.667 0.340 2000-2002 N=5,224 2000-2002 N=5,284 N=4,416 α 1 0.020 2.96 *** β 1 0.164 2.95 *** 0.164 2.95 *** 0.177 2.80 *** 0.177 2.81 *** α 2 0.124 4.65 *** β 2-2.036-6.80 *** -2.034-6.80 *** -2.092-6.05 *** -2.093-6.04 *** α 3 0.301 4.79 *** β 3 0.081 1.25 0.080 1.24 0.085 1.14 0.086 1.14 β 4 1.006 0.61-0.208-0.09 β 5 0.292 0.79 0.301 0.74 J(p) 13.980 0.082 J(p) 11.381 0.044 11.358 0.045 9.740 0.083 9.740 0.083 1. t * 10** 5*** 1t White N 5-2 2. 23 I/KqROA1 CF/KA/KDEBT LAND n /KLAND r /K 3. 23 qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 34

5-2 a b c d 1992-2002 N=12,017 1992-2002 N=12,027 N=10,333 α 1 0.034 7.45 *** β 1 0.204 4.08 *** 0.193 3.88 *** 0.216 4.53 *** 0.215 4.52 *** α 2 0.132 6.76 *** β 2-1.516-8.41 *** -1.555-8.00 *** -1.563-6.11 *** -1.562-6.03 *** α 3 0.291 7.40 *** β 3-0.002-0.06-0.021-0.42-0.019-0.38-0.021-0.39 β 4 0.121 0.22 0.216 0.30 β 5 0.616 2.33 ** 0.604 2.25 ** J(p) 14.618 0.067 J(p) 9.870 0.079 10.054 0.074 5.546 0.353 5.578 0.349 1992-1996 N=5,454 1992-1996 N=5,454 N=4,745 α 1 0.051 4.90 *** β 1 0.432 2.72 *** 0.379 2.41 ** 0.381 2.52 ** 0.363 2.30 ** α 2 0.121 4.18 *** β 2-1.616-4.80 *** -1.648-4.91 *** -1.801-4.35 *** -1.778-4.14 *** α 3 0.311 4.82 *** β 3 0.047 0.90-0.043-0.49 0.002 0.01-0.017-0.12 β 4 0.872 0.96 1.627 1.04 β 5-1.606-1.95 * -2.156-1.96 * J(p) 7.668 0.467 J(p) 12.432 0.029 11.996 0.035 7.314 0.198 8.151 0.148 1997-2002 N=6,547 1997-2002 N=6,564 N=5,558 α 1 0.018 4.54 *** β 1 0.165 3.36 *** 0.161 3.29 *** 0.205 4.70 *** 0.205 4.71 *** α 2 0.121 4.94 *** β 2-1.455-7.42 *** -1.415-6.01 *** -1.445-4.84 *** -1.440-4.78 *** α 3 0.210 4.86 *** β 3-0.037-0.87-0.035-0.81-0.016-0.30-0.015-0.29 β 4-1.496-1.89 * -0.796-0.67 β 5 1.031 3.81 *** 1.033 3.81 *** J(p) 11.286 0.186 J(p) 3.558 0.615 4.397 0.494 3.508 0.622 3.480 0.626 1997-1999 N=3,312 1997-1999 N=3,320 N=2,814 α 1 0.025 4.14 *** β 1 0.228 2.96 *** 0.223 2.90 *** 0.260 2.95 *** 0.263 2.99 *** α 2 0.066 3.62 *** β 2-1.451-5.09 *** -1.339-3.46 *** -1.352-2.23 ** -1.342-2.17 ** α 3 0.143 2.73 *** β 3-0.151-2.23 ** -0.153-2.20 ** -0.216-1.30-0.208-1.24 β 4-2.008-2.23 ** -1.062-0.62 β 5 1.545 3.93 *** 1.477 3.61 *** J(p) 9.095 0.334 J(p) 6.609 0.251 6.647 0.248 4.782 0.443 4.844 0.435 2000-2002 N=3,211 2000-2002 N=3,220 N=2,721 α 1 0.012 2.99 *** β 1 0.099 1.58 0.089 1.43 0.139 2.53 ** 0.139 2.52 ** α 2 0.129 3.39 *** β 2-1.462-6.09 *** -1.537-6.16 *** -1.562-6.12 *** -1.566-6.11 *** α 3 0.174 3.00 *** β 3-0.076-1.21-0.096-1.46-0.054-0.74-0.054-0.74 β 4-1.135-0.94-0.963-0.49 β 5 0.500 1.53 0.536 1.56 J(p) 11.455 0.177 J(p) 6.484 0.262 5.673 0.339 4.680 0.456 4.793 0.442 1. 23 I/KqROA1 CF/KA/KDEBT LAND r /K 2 q 2. 23 qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 35

5-3 a b c d 1992-2002 N=6,619 1992-2002 N=6,657 N=5,595 α 1 0.047 3.51 *** β 1 0.238 2.67 *** 0.235 2.63 *** 0.266 2.69 *** 0.260 2.60 *** α 2 0.077 5.13 *** β 2-2.829-9.01 *** -2.838-8.96 *** -3.212-8.82 *** -3.229-8.80 *** α 3 0.254 3.86 *** β 3 0.074 1.23 0.070 1.12 0.100 1.37 0.089 1.17 β 4 0.610 0.42 1.643 0.93 β 5 0.028 0.04-0.050-0.07 J(p) 12.968 0.113 J(p) 12.638 0.081 12.592 0.083 9.113 0.245 9.069 0.248 1992-1996 N=2,730 1992-1996 N=2,723 N=2,326 α 1 0.037 2.25 ** β 1 0.466 2.97 *** 0.432 2.73 ** 0.462 2.56 ** 0.428 2.35 ** α 2 0.082 3.71 *** β 2-2.300-5.29 *** -2.372-5.36 *** -2.793-5.12 *** -2.853-5.19 *** α 3 0.215 3.79 *** β 3 0.114 1.97 ** 0.082 1.27 0.178 2.55 ** 0.144 1.84 * β 4 3.410 1.67 * 3.443 1.49 β 5-0.003 0.00-0.949-0.39 J(p) 21.038 0.007 J(p) 4.929 0.669 4.704 0.696 4.999 0.660 4.869 0.676 1997-2002 N=3,873 1997-2002 N=3,924 N=3,247 α 1 0.034 2.50 ** β 1 0.263 2.53 ** 0.267 2.58 *** 0.284 2.42 ** 0.289 2.47 ** α 2 0.094 3.90 *** β 2-2.791-6.35 *** -2.779-6.32 *** -3.153-6.04 *** -3.145-6.03 *** α 3 0.235 2.75 *** β 3 0.152 1.73 * 0.158 1.79 * 0.147 1.55 0.156 1.64 β 4-3.631-1.69 * -4.354-1.53 β 5 0.187 0.29 0.221 0.34 J(p) 8.555 0.381 J(p) 15.473 0.030 15.429 0.031 11.866 0.105 11.730 0.110 1997-1999 N=1,912 1997-1999 N=1,935 N=1,617 α 1 0.038 2.29 ** β 1 0.214 1.10 0.235 1.21 0.319 1.45 0.336 1.54 α 2 0.095 4.49 *** β 2-2.987-4.49 *** -2.939-4.41 *** -3.522-4.56 *** -3.512-4.54 *** α 3 0.087 1.11 β 3 0.196 1.28 0.213 1.39 0.160 0.95 0.180 1.06 β 4-5.361-2.18 ** -4.963-1.55 β 5 0.969 1.02 0.763 0.80 J(p) 7.812 0.452 J(p) 7.866 0.345 7.778 0.353 8.480 0.292 8.340 0.304 2000-2002 N=1,934 2000-2002 N=1,965 N=1,606 α 1 0.023 2.39 ** β 1 0.210 2.74 *** 0.207 2.70 *** 0.222 2.51 ** 0.219 2.47 ** α 2 0.091 3.04 *** β 2-2.824-5.53 *** -2.811-5.51 *** -3.065-5.06 *** -3.054-5.07 *** α 3 0.351 4.12 *** β 3 0.130 1.77 * 0.126 1.73 * 0.142 1.66 * 0.137 1.60 β 4 2.665 0.61 3.619 0.59 β 5-0.473-0.65-0.611-0.74 J(p) 6.197 0.625 J(p) 9.602 0.212 9.591 0.213 8.834 0.265 8.837 0.265 1. 23 I/KqROA1 CF/KA/K DEBTLAND n /KLAND r /K 2. 23 L/KqCF/K1 DEBTA/K LAND n /KBISBONDLAND r /K 3. 36

5.3 3.3 80 80 96 1 5-4 5-6 1 19971999 3.3 I/K LAND r /KCF/K 1 1 19971999 1 1 37

2 27 2 5-7 19971999 1 3 1 1 2 1 1 2 2 3 5-8 5-9 2 1 910 L 1 3.3 CP 1 5-10 5-12 27 CP 1 2 38

5-4 a b c d 1992-2002 N=15,138 1992-2002 N=15,234 N=13,226 α 1 0.036 2.94 *** β 1 0.169 2.09 ** 0.172 2.12 ** 0.173 2.16 ** 0.177 2.19 ** α 2 0.093 6.36 *** β 2-1.994-10.62 *** -1.985-10.46 *** -2.221-9.42 *** -2.212-9.31 *** α 3 0.287 3.99 *** β 3 0.057 0.91 0.063 0.98 0.054 0.74 0.062 0.81 β 4-0.662-0.93-0.590-0.73 β 5 0.910 2.41 ** 0.935 2.49 ** J(p) 12.635 0.125 J(p) 2.728 0.742 2.658 0.753 3.486 0.625 3.368 0.643 1992-1996 N=6,520 1992-1996 N=6,547 N=5,771 α 1 0.078 2.81 *** β 1 0.314 1.81 * 0.308 1.75 * 0.442 2.57 ** 0.431 2.46 ** α 2 0.077 2.56 ** β 2-1.737-6.65 *** -1.746-6.58 *** -1.839-6.30 *** -1.855-6.32 *** α 3 0.362 3.87 *** β 3 0.071 0.97 0.068 0.84 0.104 1.19 0.097 0.97 β 4 0.406 0.38 0.700 0.54 β 5-1.432-1.24-1.663-1.30 J(p) 8.407 0.395 J(p) 3.221 0.666 3.279 0.657 ) 3.362 0.644 3.420 0.636 1997-2002 N=8,599 1997-2002 N=8,681 N=7,421 α 1 0.022 2.57 ** β 1 0.182 2.35 ** 0.186 2.39 ** 0.179 2.11 ** 0.181 2.14 ** α 2 0.087 4.15 *** β 2-1.885-7.66 *** -1.873-7.61 *** -2.014-7.44 *** -2.010-7.42 *** α 3 0.241 3.54 *** β 3 0.092 1.22 0.097 1.29 0.079 0.95 0.084 1.01 β 4-3.804-3.64 *** -3.523-2.79 *** β 5 1.229 3.20 *** 1.238 3.21 *** J(p) 13.22 0.105 J(p) 5.247 0.386 5.284 0.382 5.874 0.319 5.801 0.326 1997-1999 N=4,297 1997-1999 N=4,338 N=3,714 α 1 0.027 2.42 ** β 1 0.184 1.07 0.190 1.10 ) 0.219 1.12 0.221 1.13 α 2 0.085 3.60 *** β 2-1.951-5.21 *** -1.908-5.09 ) *** -1.965-5.19 *** -1.945-5.12 *** α 3 0.168 2.17 ** β 3 0.128 0.85 0.136 0.90 0.132 0.78 0.140 0.83 β 4-4.764-3.59 *** -3.711-2.41 ** β 5 1.820 3.26 *** 1.641 3.02 *** J(p) 7.291 0.506 J(p) 4.105 0.534 3.738 0.588 5.026 0.413 4.811 0.439 2000-2002 N=4,267 2000-2002 N=4,312 N=3,674 α 1 0.018 2.28 ** β 1 0.174 2.83 *** 0.175 2.84 *** 0.170 2.47 ** 0.171 2.49 ** α 2 0.115 3.82 *** β 2-1.698-5.87 *** -1.699-5.88 ) *** -1.874-5.58 *** -1.879-5.59 *** α 3 0.384 4.50 *** β 3 0.068 0.95 0.069 0.96 0.083 0.95 0.084 0.97 β 4-0.531-0.32-1.720-0.71 β 5 0.299 0.74 0.375 0.84 J(p) 8.680 0.370 J(p) 7.296 0.200 7.294 0.200 6.558 0.256 6.538 0.257 5-1 39

5-5 a b c d 1992-2002 N=9,550 1992-2002 N=9,564 N=8,365 α 1 0.039 6.96 *** β 1 0.202 3.95 *** 0.164 3.11 *** 0.157 2.85 *** 0.164 2.98 *** α 2 0.148 6.90 *** β 2-1.203-7.91 *** -1.135-6.87 *** -1.221-5.26 *** -1.212-5.12 *** α 3 0.454 6.91 *** β 3 0.008 0.22-0.054-0.90-0.091-1.30-0.077-1.03 β 4-0.843-1.54-0.639-0.81 β 5 0.538 2.09 ** 0.574 2.23 ** J(p) 12.748 0.121 J(p) 11.102 0.049 5.622 0.345 4.948 0.422 4.696 0.454 1992-1996 N=4,259 1992-1996 N=4,261 N=3,768 α 1 0.040 4.37 *** β 1 0.307 2.54 ** 0.290 2.34 ** 0.255 1.66 * 0.253 1.65 * α 2 0.185 7.20 *** β 2-1.099-5.26 *** -1.127-5.33 *** -1.041-4.69 *** -1.064-4.68 *** α 3 0.377 5.04 *** β 3 0.042 0.94-0.035-0.43-0.087-0.77-0.083-0.61 β 4 0.141 0.16 ) 1.398 0.98 β 5-1.984-2.46 ** -2.516-2.45 ** J(p) 6.722 0.567 J(p) 15.284 0.009 12.343 0.030 9.399 0.094 10.907 0.053 1997-2002 N=5,284 1997-2002 N=5,303 N=4,580 α 1 0.020 4.98 *** β 1 0.160 2.87 *** 0.156 2.82 *** 0.157 3.24 *** 0.160 3.28 *** α 2 0.115 4.14 *** β 2-1.118-5.96 *** -1.059-4.62 *** -1.321-4.80 *** -1.308-4.69 *** α 3 0.276 4.81 *** β 3-0.072-1.55-0.041-0.83-0.054-0.89-0.050-0.81 β 4-2.898-3.80 *** -2.261-1.88 * β 5 1.094 4.32 *** 1.091 4.30 *** J(p) 21.061 0.007 J(p) 9.711 0.084 4.494 0.481 ) 3.723 0.590 3.757 0.585 1997-1999 N=3,312 1997-1999 N=2,669 N=2,299 α 1 0.014 2.56 ** β 1 0.241 2.68 *** 0.250 2.74 *** 0.281 2.82 *** 0.292 2.93 *** α 2 0.075 3.92 *** β 2-1.223-4.12 *** -1.208-2.93 *** -1.291-1.45-1.265-1.39 α 3 0.059 0.97 β 3 0.008 0.06 0.029 0.22-0.050-0.24-0.020-0.09 β 4-2.487-2.66 *** -1.893-0.84 β 5 1.483 4.00 *** 1.361 3.40 *** J(p) 15.301 0.054 J(p) 6.509 0.260 6.691 0.245 4.254 0.513 4.554 0.473 2000-2002 N=2,610 2000-2002 N=2,619 N=2,265 α 1 0.010 2.51 ** β 1 0.091 1.46 0.093 1.52 0.112 2.04 ** 0.111 2.00 ** α 2 0.123 3.54 *** β 2-0.940-5.74 *** -0.997-5.95 *** -1.159-6.20 *** -1.175-6.33 *** α 3 0.222 3.23 *** β 3-0.102-1.85 * -0.104-1.90 * -0.082-1.10-0.084-1.12 β 4-2.901-2.45 ** -3.681-1.80 * β 5 0.622 1.78 * 0.773 2.05 ** J(p) 13.516 0.095 J(p) 14.254 0.014 10.627 0.059 9.011 0.109 9.084 0.106 5-2 40

5-6 a b c d 1992-2002 N=5,330 1992-2002 N=5,360 N=4,571 α 1 0.037 2.62 *** β 1 0.164 1.45 0.168 1.46 0.201 1.65 * 0.203 1.64 α 2 0.067 4.47 *** β 2-2.648-8.25 *** -2.642-8.13 ) *** -3.119-8.34 *** -3.116-8.27 *** α 3 0.202 3.33 *** β 3 0.122 1.46 0.128 1.44 0.144 1.44 0.147 1.37 β 4-0.795-0.45-0.195-0.10 β 5-0.154-0.20-0.148-0.19 J(p) 13.829 0.086 J(p) 10.778 0.149 10.777 0.149 10.681 0.153 10.683 0.153 1992-1996 N=2,149 1992-1996 N=2,143 N=1,866 α 1 0.066 2.58 *** β 1 0.350 1.99 ** 0.335 1.91 ) * 0.336 1.61 0.321 1.54 α 2 0.066 2.66 *** β 2-2.330-5.08 *** -2.350-5.11 *** -3.075-5.57 *** -3.099-5.67 *** α 3 0.171 2.61 *** β 3 0.165 1.85 * 0.152 1.47 0.248 2.29 ** 0.233 1.80 * β 4 1.350 0.52 1.424 0.48 β 5-0.915-0.34-1.342-0.48 J(p) 21.117 0.007 J(p) 3.764 0.806 3.809 0.801 5.088 0.649 5.141 0.643 1997-2002 N=3,169 1997-2002 N=3,211 N=2,690 α 1 0.028 2.20 ** β 1 0.262 2.08 ** 0.268 2.13 ** 0.282 2.02 ** 0.287 2.06 ** α 2 0.084 3.30 *** β 2-2.438-5.12 *** -2.429-5.10 *** -2.660-4.80 *** -2.654-4.79 *** α 3 0.227 3.35 *** β 3 0.173 1.38 0.183 1.45 ) 0.154 1.14 0.164 1.20 β 4-4.055-1.60 ) -3.263-1.05 β 5 0.170 0.23 0.195 0.27 J(p) 6.467 0.595 J(p) 14.369 0.045 14.346 0.045 12.360 0.089 12.273 0.092 1997-1999 N=1,563 1997-1999 N=1,582 N=1,337 α 1 0.033 1.68 * β 1 0.325 1.44 0.342 1.52 0.432 1.67 * 0.444 1.72 * α 2 0.095 2.96 *** β 2-2.692-3.95 *** -2.652-3.88 *** -2.944-3.99 *** -2.937-3.98 *** α 3 0.176 2.25 ** β 3 0.305 1.81 * 0.316 1.86 * 0.249 1.41 0.259 1.46 β 4-4.497-1.59 ) -2.723-0.79 β 5 1.033 0.96 0.917 0.85 J(p) 5.029 0.754 J(p) 7.842 0.347 7.946 0.337 9.426 0.223 9.492 0.219 2000-2002 N=1,585 2000-2002 N=1,611 N=1,335 α 1 0.022 2.21 ** β 1 0.185 2.21 ** 0.185 2.22 ** 0.222 2.39 ** 0.218 2.33 ** α 2 0.079 2.32 ** β 2-2.655-4.57 *** -2.654-4.58 *** -2.815-4.11 *** -2.795-4.11 *** α 3 0.360 3.46 *** β 3 0.117 1.32 0.117 1.33 0.168 1.55 0.160 1.49 β 4-0.161-0.04 ) 5.176 0.81 β 5-0.621-0.78-0.817-0.90 J(p) 3.206 0.921 J(p) 9.423 0.224 9.426 0.223 9.058 0.249 9.125 0.244 1. 5-3 2. 41

5-7 1CD a b c d 1997-2002 N=1,178 1997-2002 N=1,189 N=1,072 α 1 0.038 5.36 *** β 1 0.106 0.46 0.107 0.46 0.269 1.03 0.273 1.04 α 2 0.034 1.18 β 2-1.846-3.40 *** -1.815-3.34 *** -1.931-3.23 *** -1.888-3.16 *** α 3 0.002 0.04 β 3 0.077 0.43 0.075 0.42 0.151 0.64 0.147 0.63 β 4 3.745 1.80 * 4.384 1.64 β 5-0.096-0.12-0.252-0.31 J(p) 12.640 0.125 J(p) 6.498 0.261 6.618 0.251 6.615 0.251 6.722 0.242 1997-1999 N=683 1997-1999 N=686 N=623 α 1 0.037 6.46 *** β 1 0.585 1.47 0.591 1.48 0.625 1.45 0.643 1.49 α 2 0.106 2.20 ** β 2-0.653-1.05-0.616-0.98-0.839-1.33-0.764-1.20 α 3 0.057 0.61 β 3 0.306 0.82 0.285 0.76 0.518 1.29 0.488 1.20 β 4 6.118 2.42 ** 7.803 2.36 ** β 5-0.128-0.11 0.002 0.00 J(p) 5.057 0.751 J(p) 3.777 0.582 3.725 0.590 4.660 0.459 4.562 0.472 2000-2002 N=494 2000-2002 N=502 N=449 α 1 0.002 0.28 β 1 0.210 1.26 0.212 1.30 0.353 2.27 ** 0.356 2.38 ** α 2 0.046 1.55 β 2-3.145-3.37 *** -3.053-3.31 *** -3.317-3.36 *** -3.159-3.29 *** α 3 0.089 1.99 ** β 3 0.193 1.20 0.174 1.10 0.195 1.27 0.177 1.20 β 4 16.880 2.33 ** 18.579 1.95 * β 5 0.781 0.78-0.243-0.19 J(p) 17.06 0.029 J(p) 3.249 0.662 2.962 0.706 3.283 0.656 3.261 0.660 2CD a b c d 1997-2002 N=9,398 1997-2002 N=9,479 N=7,911 α 1 0.034 3.48 *** β 1 0.172 2.56 ** 0.175 2.62 ** 0.180 2.33 ** 0.183 2.38 ** α 2 0.104 4.50 *** β 2-1.961-8.35 *** -1.948-8.30 *** -2.022-7.53 *** -2.016-7.51 *** α 3 0.290 3.80 *** β 3 0.072 1.28 0.075 1.33 0.078 1.21 0.082 1.27 β 4-3.681-3.36 *** -4.034-2.90 *** β 5 1.341 3.52 *** 1.377 3.58 *** J(p) 14.69 0.065 J(p) 6.186 0.289 6.115 0.295 6.118 0.295 5.937 0.312 1997-1999 N=4,623 1997-1999 N=4,672 N=3,900 α 1 0.040 3.04 *** β 1 0.146 1.07 0.152 1.12 0.174 1.08 0.180 1.12 α 2 0.102 3.72 *** β 2-2.004-5.64 *** -1.953-5.49 *** -2.057-5.26 *** -2.027-5.18 *** α 3 0.249 2.66 *** β 3 0.020 0.17 0.026 0.22 0.007 0.04 0.016 0.10 β 4-5.409-4.06 *** -4.618-2.91 *** β 5 2.298 4.01 *** 2.107 3.78 *** J(p) 8.453 0.390 J(p) 3.586 0.610 3.365 0.644 4.037 0.544 3.862 0.569 2000-2002 N=4,729 2000-2002 N=4,781 N=3,967 α 1 0.018 2.52 ** β 1 0.171 2.94 *** 0.171 2.94 *** 0.174 2.61 *** 0.175 2.63 *** α 2 0.104 4.31 *** β 2-1.999-6.99 *** -1.998-6.99 *** -2.114-6.38 *** -2.117-6.37 *** α 3 0.278 4.06 *** β 3 0.075 1.06 0.074 1.07 0.075 0.92 0.076 0.93 β 4 0.472 0.28-1.045-0.43 β 5 0.164 0.41 0.211 0.48 J(p) 18.236 0.020 J(p) 11.745 0.038 11.734 0.039 10.530 0.062 10.527 0.062 5-1 42

5-8 1CD a b c d 1997-2002 N=700 1997-2002 N=703 N=650 α 1 0.003 0.62 β 1 0.238 1.36 0.279 1.58 0.376 2.31 ** 0.383 2.36 ** α 2 0.012 0.46 β 2-0.748-1.99 ** -0.697-1.86 * -0.689-1.61 * -0.703-1.65 * α 3 0.057 1.84 * β 3-0.207-1.22-0.149-0.82-0.083-0.50-0.089-0.54 β 4 2.086 1.49 2.653 1.48 β 5 0.488 0.79 0.433 0.69 J(p) 7.660 0.467 J(p) 4.916 0.426 4.323 0.504 3.596 0.609 3.686 0.595 1997-1999 N=418 1997-1999 N=418 N=387 α 1 0.000 0.03 β 1 0.296 2.05 ** 0.313 2.15 ** 0.293 2.14 ** 0.292 2.15 ** α 2 0.012 0.36 β 2-0.998-1.50-0.892-1.31-0.969-1.36-1.038-1.48 α 3 0.072 1.32 β 3 0.534 1.52 0.478 1.30 0.327 0.87 0.280 0.70 β 4 1.024 0.71 1.785 0.98 β 5 0.336 0.42 0.323 0.41 J(p) 5.604 0.691 J(p) 6.225 0.285 5.773 0.329 4.056 0.541 4.335 0.502 2000-2002 N=282 2000-2002 N=285 N=263 α 1 0.005 1.15 β 1-0.023-0.11-0.121-0.65 0.195 1.04 0.152 0.89 α 2-0.057-1.50 β 2 0.030 0.06 0.027 0.06-0.273-0.52-0.312-0.57 α 3-0.002-0.07 β 3-0.602-2.47 ** -0.669-2.89 *** -0.425-1.95 * -0.449-2.06 ** β 4 0.821 0.19 0.084 0.02 β 5 0.127 0.19 0.107 0.15 J(p) 12.772 0.120 J(p) 5.732 0.333 5.941 0.312 6.661 0.247 7.483 0.187 2CD a b c d 1997-2002 N=5,844 1997-2002 N=5,859 N=4,907 α 1 0.022 4.51 *** β 1 0.150 3.04 *** 0.142 2.89 *** 0.194 4.30 *** 0.195 4.32 *** α 2 0.109 4.79 *** β 2-1.443-7.28 *** -1.316-5.31 *** -1.428-4.30 *** -1.419-4.23 *** α 3 0.230 4.31 *** β 3-0.060-1.55-0.057-1.39-0.028-0.53-0.026-0.50 β 4-2.391-2.82 *** -1.885-1.46 β 5 1.155 3.93 *** 1.175 3.98 *** J(p) 14.493 0.070 J(p) 9.176 0.102 10.134 0.072 8.331 0.139 8.156 0.148 1997-1999 N=2,894 1997-1999 N=2,902 N=2,427 α 1 0.029 4.58 *** β 1 0.216 2.69 *** 0.211 2.64 *** 0.251 2.66 *** 0.255 2.72 *** α 2 0.071 3.42 *** β 2-1.441-4.83 *** -1.279-3.11 *** -1.313-1.98 ** -1.296-1.92 * α 3 0.154 2.67 *** β 3-0.152-2.23 ** -0.154-2.21 ** -0.217-1.27-0.205-1.18 β 4-2.610-2.60 *** -1.743-0.92 β 5 1.840 4.28 *** 1.745 3.96 *** J(p) 10.626 0.224 J(p) 7.508 0.186 7.373 0.194 5.662 0.341 5.654 0.341 2000-2002 N=2,929 2000-2002 N=2,935 N=2,458 α 1 0.013 2.81 *** β 1 0.071 1.11 0.067 1.08 0.108 1.95 * 0.107 1.92 * α 2 0.139 3.82 *** β 2-1.623-6.72 *** -1.681-6.92 *** -1.727-6.41 *** -1.736-6.43 *** α 3 0.169 2.61 *** β 3-0.095-1.65 * -0.111-1.93 * -0.087-1.26-0.089-1.28 β 4-2.324-2.07 ** -3.066-1.63 β 5 0.602 1.75 * 0.748 2.07 ** J(p) 12.982 0.112 J(p) 10.984 0.052 8.899 0.113 9.439 0.093 9.513 0.090 5-2 43

5-9 1CD a b c d 1997-2002 N=426 1997-2002 N=431 N=371 α 1 0.025 1.73 * β 1 0.055 0.19 0.053 0.18 0.176 0.54 0.182 0.56 α 2 0.047 1.68 * β 2-3.026-3.82 *** -3.000-3.78 *** -3.381-3.56 *** -3.313-3.45 *** α 3 0.040 1.09 β 3-0.146-0.67-0.156-0.72-0.185-0.64-0.189-0.65 β 4 6.030 1.35 5.905 0.83 β 5 0.701 0.49 0.381 0.26 J(p) 12.607 0.126 J(p) 7.125 0.416 7.449 0.384 8.136 0.321 8.355 0.302 1997-1999 N=230 1997-1999 N=232 N=201 α 1 0.058 1.35 β 1 0.400 0.87 0.355 0.78 0.430 0.77 0.312 0.58 α 2 0.177 1.31 β 2-1.529-1.47-1.514-1.43-1.952-1.68 * -1.435-1.25 α 3 0.111 0.72 β 3-0.128-0.19-0.179-0.27-0.040-0.04-0.287-0.31 β 4 12.012 2.20 ** 18.731 2.28 ** β 5 0.574 0.20 1.034 0.35 J(p) 3.143 0.925 J(p) 6.768 0.453 6.883 0.441 7.910 0.341 8.044 0.329 2000-2002 N=195 2000-2002 N=198 N=170 α 1-0.016-1.21 β 1 0.376 2.38 ** 0.362 2.33 ** 0.306 2.33 ** 0.308 2.34 ** α 2 0.050 2.51 ** β 2-4.844-5.17 *** -4.723-5.03 *** -4.466-4.40 *** -4.395-4.32 *** α 3 0.024 0.43 β 3 0.171 1.32 0.153 1.18 0.067 0.68 0.066 0.66 β 4 12.347 0.93 6.409 0.44 β 5 3.640 2.59 *** 3.229 1.96 * J(p) 10.04 0.262 J(p) 7.783 0.352 8.256 0.311 8.141 0.320 8.429 0.296 2CD 1997-2002 a b c d N=3,444 1997-2002 N=3,491 N=2,871 α 1 0.032 2.49 ** β 1 0.271 2.55 ** 0.279 2.62 *** 0.300 2.48 ** 0.308 2.55 ** α 2 0.091 3.80 *** β 2-2.443-5.40 *** -2.429-5.36 *** -2.837-5.17 *** -2.828-5.16 *** α 3 0.223 2.71 *** β 3 0.179 2.09 ** 0.189 2.18 ** 0.172 1.89 * 0.186 2.03 ** β 4-5.442-2.12 ** -6.560-1.99 ** β 5 0.119 0.17 0.203 0.29 J(p) 9.23 0.323 J(p) 21.330 0.003 21.199 0.003 16.894 0.018 16.735 0.019 1997-1999 N=1,680 1997-1999 N=1,703 N=1,414 α 1 0.031 2.02 ** β 1 0.178 0.88 0.208 1.03 0.209 0.90 0.230 1.00 α 2 0.076 4.13 *** β 2-2.952-4.23 *** -2.861-4.10 *** -3.454-4.25 *** -3.425-4.21 *** α 3 0.076 1.11 β 3 0.182 1.18 0.207 1.34 0.038 0.25 0.068 0.43 β 4-9.078-3.09 *** -7.784-2.12 ** β 5 1.497 1.69 * 1.208 1.36 J(p) 12.251 0.140 J(p) 7.842 0.347 7.804 0.350 11.216 0.129 11.016 0.138 2000-2002 N=1,738 2000-2002 N=1,766 N=1,436 α 1 0.019 1.94 * β 1 0.213 2.63 *** 0.210 2.58 *** 0.230 2.44 ** 0.226 2.38 ** α 2 0.087 2.60 *** β 2-2.581-5.13 *** -2.567-5.10 *** -2.903-4.85 *** -2.889-4.85 *** α 3 0.370 3.70 *** β 3 0.138 1.65 * 0.134 1.61 0.174 1.80 * 0.167 1.73 * β 4 2.804 0.61 4.322 0.68 β 5-0.721-0.92-0.895-1.00 J(p) 7.303 0.504 J(p) 8.765 0.270 8.770 0.270 8.346 0.303 8.370 0.301 1. 5-3 2. 44

5-10 a b c d 1992-2002 N=18,928 1992-2002 N=19,059 N=16,281 α 1 0.025 3.45 *** β 1 0.136 4.34 *** 0.137 4.35 *** 0.137 3.87 *** 0.138 3.88 *** α 2 0.081 5.45 *** β 2-0.652-6.70 *** -0.649-6.63 *** -0.708-6.08 *** -0.704-6.02 *** α 3 0.573 4.85 *** β 3 0.018 0.69 0.020 0.73 0.033 1.07 0.035 1.11 β 4-0.218-0.62-0.264-0.63 β 5 0.068 0.35 0.081 0.42 J(p) 12.609 0.126 J(p) 7.697 0.174 7.672 0.175 8.362 0.137 8.305 0.140 1992-1996 N=8,321 1992-1996 N=8,360 N=7,248 α 1 0.042 2.43 ** β 1 0.277 3.92 *** 0.265 3.75 *** 0.223 2.89 *** 0.201 2.60 *** α 2 0.068 2.39 ** β 2-0.637-3.50 *** -0.668-3.64 *** -0.807-3.56 *** -0.849-3.72 *** α 3 0.741 3.85 *** β 3 0.036 1.08 0.020 0.56 0.045 1.17 0.025 0.58 β 4 1.184 2.37 ** 1.693 2.73 *** β 5-1.007-1.79 * -1.550-2.46 *** J(p) 8.400 0.395 J(p) 7.080 0.215 6.842 0.233 6.367 0.272 6.596 0.252 1997-2002 N=10,574 1997-2002 N=10,674 N=8,973 α 1 0.019 2.97 *** β 1 0.109 3.57 *** 0.111 3.63 *** 0.116 3.27 *** 0.117 3.33 *** α 2 0.080 4.76 *** β 2-0.625-6.06 *** -0.617-5.97 *** -0.658-5.42 *** -0.654-5.37 *** α 3 0.516 4.13 *** β 3 0.021 0.63 0.024 0.72 0.036 0.93 0.041 1.03 β 4-2.753-6.09 *** -3.242-5.60 *** β 5 0.308 1.53 0.316 1.57 J(p) 8.78 0.361 J(p) 5.243 0.387 4.565 0.471 4.762 0.446 4.212 0.519 1997-1999 N=5,300 1997-1999 N=5,345 N=4,512 α 1 0.023 3.03 *** β 1 0.177 2.88 *** 0.180 2.95 *** 0.187 2.68 *** 0.190 2.75 *** α 2 0.074 4.03 *** β 2-0.749-5.00 *** -0.726-4.81 *** -0.766-4.46 *** -0.752-4.35 *** α 3 0.242 2.25 ** β 3-0.016-0.31-0.012-0.24-0.021-0.28-0.012-0.16 β 4-3.142-5.98 *** -3.326-5.17 *** β 5 1.264 4.13 *** 1.101 3.65 *** J(p) 7.788 0.454 J(p) 3.502 0.623 3.626 0.604 3.597 0.609 3.952 0.556 2000-2002 N=5,227 2000-2002 N=5,284 N=4,416 α 1 0.010 1.52 β 1 0.076 2.31 ** 0.076 2.32 ** 0.079 2.09 ** 0.079 2.09 ** α 2 0.081 3.36 *** β 2-0.508-3.70 *** -0.509-3.71 *** -0.542-3.36 *** -0.544-3.37 *** α 3 0.595 3.65 *** β 3 0.040 1.14 0.041 1.15 0.055 1.36 0.055 1.37 β 4-0.567-0.65-0.456-0.36 β 5-0.279-1.17-0.259-1.03 J(p) 14.594 0.068 J(p) 5.204 0.391 5.150 0.398 4.201 0.521 4.172 0.525 1. 23 I/KqROA1 CF/KA/K DEBTLAND n /KLAND r /K 2. 23 qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 45

5-11 a b c d 1992-2002 N=12,017 1992-2002 N=12,029 N=10,334 α 1 0.034 6.81 *** β 1 0.091 2.65 *** 0.089 2.63 *** 0.081 2.28 ** 0.080 2.24 ** α 2 0.127 4.55 *** β 2-0.685-6.07 *** -0.688-6.05 *** -0.775-5.85 *** -0.778-5.81 *** α 3 0.677 5.57 *** β 3-0.038-1.04-0.039-1.01-0.039-0.92-0.040-0.92 β 4 0.080 0.24 0.211 0.48 β 5 0.183 1.04 0.172 0.95 J(p) 11.878 0.157 J(p) 16.489 0.006 16.419 0.006 18.047 0.003 18.105 0.003 1992-1996 N=5,456 1992-1996 N=5,456 N=4,746 α 1 0.038 4.12 *** β 1 0.213 2.31 ** 0.172 1.98 ** 0.136 1.35 0.099 0.94 α 2 0.136 4.07 *** β 2-0.788-3.62 *** -0.843-3.98 *** -0.941-3.92 *** -1.010-4.19 *** α 3 0.525 4.17 *** β 3-0.002-0.03-0.030-0.51-0.003-0.02-0.054-0.44 β 4 1.117 2.14 ** 2.248 1.97 ** β 5-1.231-2.55 ** -2.013-2.73 *** J(p) 11.913 0.155 J(p) 11.032 0.051 10.585 0.060 11.363 0.045 10.180 0.070 1997-2002 N=6,547 1997-2002 N=6,562 N=5,556 α 1 0.026 3.60 *** β 1 0.081 2.99 *** 0.080 3.03 *** 0.082 2.46 ** 0.081 2.44 ** α 2 0.095 2.73 *** β 2-0.609-4.90 *** -0.599-4.80 *** -0.671-4.98 *** -0.663-4.91 *** α 3 0.658 3.59 *** β 3-0.010-0.41-0.008-0.32-0.009-0.28-0.006-0.19 β 4-2.348-5.10 *** -2.531-4.09 *** β 5 0.502 2.72 *** 0.501 2.71 *** J(p) 6.143 0.631 J(p) 8.873 0.114 7.726 0.172 8.821 0.116 7.966 0.158 1997-1999 N=3,312 1997-1999 N=3,321 N=2,812 α 1 0.019 3.18 *** β 1 0.187 2.53 ** 0.199 2.72 *** 0.197 2.67 *** 0.204 2.78 *** α 2 0.058 3.76 *** β 2-0.725-4.10 *** -0.700-3.94 *** -0.792-4.01 *** -0.789-3.95 *** α 3 0.244 2.17 ** β 3-0.040-0.66-0.044-0.71-0.031-0.19-0.012-0.07 β 4-2.317-4.22 *** -2.336-2.79 *** β 5 1.084 3.93 *** 0.941 3.40 *** J(p) 12.381 0.135 J(p) 4.314 0.505 2.978 0.703 5.317 0.378 4.769 0.445 2000-2002 N=3,211 2000-2002 N=3,222 N=2,723 α 1 0.014 2.22 ** β 1 0.038 1.21 0.037 1.19 0.043 1.26 0.043 1.25 α 2 0.125 2.18 ** β 2-0.467-2.86 *** -0.471-2.88 *** -0.508-2.85 *** -0.509-2.85 *** α 3 0.528 2.56 ** β 3-0.004-0.12-0.005-0.15 0.014 0.34 0.013 0.32 β 4-0.637-0.91-0.531-0.46 β 5 0.032 0.14 0.060 0.24 J(p) 6.661 0.574 J(p) 6.587 0.253 6.469 0.263 6.490 0.261 6.411 0.268 1. 23 I/KqROA1 CF/KA/KDEBT LAND r /K 2 q 2. 23 qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 46

5-12 a b c d 1992-2002 N=6,614 1992-2002 N=6,704 N=5,642 α 1 0.023 2.19 ** β 1 0.172 3.57 *** 0.172 3.57 *** 0.181 3.37 *** 0.182 3.38 *** α 2 0.065 4.17 *** β 2-0.783-4.62 *** -0.783-4.61 *** -0.855-4.08 *** -0.853-4.07 *** α 3 0.530 3.86 *** β 3 0.035 1.12 0.036 1.09 0.058 1.60 0.061 1.57 β 4-0.106-0.13-0.282-0.28 β 5-0.157-0.38-0.146-0.35 J(p) 10.591 0.226 J(p) 1.561 0.906 1.559 0.906 1.868 0.867 1.836 0.871 1992-1996 N=2,731 1992-1996 N=2,723 N=2,360 α 1 0.031 1.59 β 1 0.324 3.46 *** 0.305 3.31 *** 0.267 2.54 ** 0.242 2.36 ** α 2 0.054 1.92 * β 2-0.756-3.23 *** -0.788-3.35 *** -0.982-3.12 *** -0.999-3.18 *** α 3 0.705 3.19 *** β 3 0.063 1.78 * 0.040 1.01 0.081 1.96 ** 0.062 1.35 β 4 2.211 1.93 * 2.114 1.69 * β 5-0.962-0.72-1.572-1.14 J(p) 6.557 0.585 J(p) 1.810 0.875 1.740 0.884 2.060 0.841 2.483 0.779 1997-2002 N=3,866 1997-2002 N=3,924 N=3,256 α 1 0.011 1.21 β 1 0.129 2.53 ** 0.133 2.61 *** 0.140 2.36 ** 0.144 2.43 ** α 2 0.073 4.49 *** β 2-0.731-3.78 *** -0.726-3.75 *** -0.751-3.17 *** -0.750-3.16 *** α 3 0.398 3.09 *** β 3 0.045 0.84 0.051 0.95 0.060 0.98 0.068 1.10 β 4-3.402-3.44 *** -4.371-3.23 *** β 5 0.065 0.16 0.103 0.25 J(p) 6.571 0.584 J(p) 2.846 0.724 2.559 0.768 2.710 0.745 2.490 0.778 1997-1999 N=1,905 1997-1999 N=1,934 N=1,616 α 1 0.030 1.93 * β 1 0.140 1.58 0.144 1.63 0.146 1.48 0.150 1.54 α 2 0.079 4.35 *** β 2-0.835-2.86 *** -0.803-2.72 *** -0.765-2.15 ** -0.754-2.11 ** α 3-0.034-0.29 β 3-0.037-0.46-0.032-0.41-0.055-0.60-0.045-0.49 β 4-4.171-3.78 *** -4.908-3.46 *** β 5 1.372 2.06 ** 1.181 1.81 * J(p) 7.936 0.440 J(p) 2.245 0.814 2.456 0.783 3.109 0.683 3.531 0.619 2000-2002 N=1,934 2000-2002 N=1,965 N=1,617 α 1 0.001 0.15 β 1 0.112 2.02 ** 0.113 2.02 ** 0.116 1.77 * 0.116 1.77 * α 2 0.058 2.78 *** β 2-0.641-2.74 *** -0.643-2.74 *** -0.705-2.47 ** -0.706-2.46 ** α 3 0.520 3.63 *** β 3 0.059 1.22 0.060 1.23 0.077 1.33 0.077 1.31 β 4-0.607-0.25 0.013 0.00 β 5-0.595-1.24-0.595-1.16 J(p) 13.127 0.108 J(p) 2.904 0.715 2.894 0.716 2.419 0.789 2.419 0.789 1. 23 I/KqROA1 CF/KA/KDEBT LAND n /KLAND r /K 2. 23 qcf/k1 DEBTA/KLAND n /K BISBONDLAND r /K 3. 47

5.4 19922002 19971999 19971999 2 ROA 19971999 5-13 5-18 1 cd 1 ROA 1 ROA ROA 48

ROA 1 ROA 1 49

5-13 a b c d 1997-1999 N=2,653 1997-1999 N=2,679 N=2,262 α 1 0.035 3.77 *** β 1 0.450 2.00 ** 0.449 2.00 ** 0.693 2.67 *** 0.683 2.65 *** α 2 0.092 3.29 *** β 2-2.128-6.04 *** -2.118-6.02 *** -2.130-5.92 *** -2.127-5.94 *** α 3 0.169 2.51 ** β 3-0.155-0.77-0.145-0.73 0.021 0.10 0.021 0.11 β 4-2.493-1.89 * -1.526-0.91 β 5 1.235 1.58 1.160 1.48 J(p) 7.295 0.505 J(p) 8.337 0.139 8.139 0.149 7.776 0.169 7.634 0.178 1997-1999 N=2,652 1997-1999 N=2,678 N=2,262 α 1 0.006 0.61 β 1-0.019-0.13-0.018-0.12-0.088-0.51-0.086-0.50 α 2 0.110 4.38 *** β 2-2.190-4.55 *** -2.146-4.46 *** -2.316-4.17 *** -2.302-4.14 *** α 3-0.018-0.30 β 3 0.056 0.38 0.051 0.35 0.054 0.24 0.057 0.26 β 4-3.770-2.21 ** -2.785-1.31 β 5 2.287 3.25 *** 2.161 3.17 *** J(p) 8.14 0.420 J(p) 3.191 0.670 3.161 0.675 3.408 0.637 3.342 0.647 5-1 5-14 a b c d 1997-1999 N=1,656 1997-1999 N=1,658 N=1,406 α 1 0.017 1.54 β 1 0.259 2.63 *** 0.263 2.71 *** 0.268 2.68 *** 0.271 2.72 *** α 2 0.090 3.82 *** β 2-1.721-6.57 *** -1.687-6.30 *** -1.620-5.74 *** -1.581-5.56 *** α 3 0.149 1.76 * β 3 0.112 0.72 0.128 0.80-0.028-0.17 0.003 0.02 β 4-1.368-1.86 * -1.475-1.46 β 5 1.121 2.29 ** 1.044 2.11 ** J(p) 23.979 0.002 J(p) 5.943 0.312 5.797 0.327 6.755 0.239 6.684 0.245 1997-1999 N=1,656 1997-1999 N=1,662 N=1,408 α 1 0.023 4.11 *** β 1 0.225 2.17 ** 0.199 1.93 * 0.209 1.53 0.210 1.53 α 2 0.066 2.91 *** β 2-1.329-3.63 *** -0.997-1.89 * -1.124-1.13-1.123-1.12 α 3 0.131 2.84 *** β 3-0.187-2.19 ** -0.207-2.36 ** -0.305-1.31-0.304-1.31 β 4-2.601-1.70 * -0.464-0.14 β 5 1.613 2.53 ** 1.583 2.36 ** J(p) 7.71 0.463 J(p) 7.121 0.212 6.208 0.286 6.162 0.291 6.177 0.289 5-2 5-15 a b c d 1997-1999 N=955 1997-1999 N=968 N=809 α 1 0.017 2.27 ** β 1 0.548 1.72 * 0.556 1.77 * 0.840 2.22 ** 0.844 2.25 ** α 2 0.058 2.86 *** β 2-3.902-3.72 *** -3.973-3.77 *** -3.430-4.29 *** -3.466-4.33 *** α 3 0.077 1.75 * β 3-0.088-0.41-0.075-0.35 0.024 0.10 0.035 0.15 β 4-5.652-1.67 * -4.718-1.16 β 5 0.383 0.23 0.116 0.07 J(p) 9.429 0.307 J(p) 10.483 0.163 10.303 0.172 9.014 0.252 8.901 0.260 1997-1999 N=955 1997-1999 N=967 N=807 α 1-0.039-0.93 β 1-0.086-0.45-0.073-0.38-0.199-0.91-0.188-0.86 α 2 0.116 3.20 ** β 2-2.330-2.75 *** -2.291-2.70 *** -4.227-3.97 *** -4.252-3.99 *** α 3-0.054-0.93 β 3 0.284 1.43 0.282 1.43 0.267 1.01 0.282 1.05 β 4-3.602-1.13-5.752-1.19 β 5 1.501 1.33 1.220 1.11 J(p) 4.21 0.838 J(p) 8.843 0.264 9.248 0.235 7.910 0.341 8.098 0.324 1. 5-3 2. 50

R O A R O A 5-16 ROA a b c d 1997-1999 N=2,652 1997-1999 N=2,678 N=2,262 α 1 0.051 1.69 * β 1 0.391 2.47 ** 0.390 2.46 ** 0.393 2.02 ** 0.389 1.99 ** α 2 0.055 1.65 * β 2-1.954-4.60 *** -1.871-4.21 *** -2.334-4.38 *** -2.237-3.98 *** α 3 0.275 2.32 ** β 3 0.049 0.21 0.053 0.23 0.065 0.22 0.070 0.24 β 4-2.735-1.80 * -2.933-1.50 β 5 1.879 3.50 *** 1.733 3.29 *** J(p) 7.902 0.443 J(p) 5.474 0.361 5.261 0.385 4.685 0.456 4.461 0.485 1997-1999 N=2,654 1997-1999 N=2,679 N=2,262 α 1 0.028 3.29 *** β 1-0.007-0.04-0.002-0.01 0.077 0.40 0.082 0.43 α 2 0.096 4.01 *** β 2-2.168-4.93 *** -2.210-4.96 *** -2.310-4.84 *** -2.357-4.86 *** α 3 0.077 1.32 β 3-0.008-0.06-0.004-0.03 0.011 0.06 0.024 0.13 β 4-4.489-2.34 ** -3.743-1.64 β 5 1.329 1.84 * 1.251 1.76 * J(p) 13.75 0.089 J(p) 9.305 0.097 9.074 0.106 8.121 0.150 7.985 0.157 5-1 R O A R O A 5-17 ROA a b c d 1997-1999 N=1,655 1997-1999 N=1,661 N=1,407 α 1 0.033 3.52 *** β 1 0.491 3.61 *** 0.465 3.48 *** 0.619 3.42 *** 0.628 3.19 *** α 2 0.068 2.84 *** β 2-1.293-5.06 *** -1.101-2.88 *** -1.457-0.87-1.367-0.76 α 3 0.153 2.02 ** β 3 0.018 0.07-0.069-0.24-0.348-0.53-0.317-0.46 β 4-3.285-2.51 ** -2.358-0.55 β 5 1.895 2.13 ** 1.710 1.47 J(p) 7.338 0.501 J(p) 6.221 0.285 5.206 0.391 3.185 0.672 3.431 0.634 1997-1999 N=1,655 1997-1999 N=1,660 N=1,407 α 1 0.018 2.87 *** β 1 0.111 1.56 0.100 1.44 0.079 0.98 0.076 0.95 α 2 0.038 1.64 β 2-1.629-4.62 *** -1.581-4.41 *** -1.375-3.20 *** -1.366-3.19 *** α 3 0.139 2.77 *** β 3-0.216-3.24 *** -0.215-3.20 *** -0.364-1.96 ** -0.380-2.05 ** β 4 1.029 0.78 2.033 1.27 β 5 1.138 2.03 ** 1.200 2.13 ** J(p) 20.06 0.010 J(p) 5.364 0.373 4.226 0.517 3.434 0.633 3.364 0.644 5-2 R O A R O A 5-18 ROA a b c d 1997-1999 N=955 1997-1999 N=967 N=809 α 1 0.002 0.07 β 1 0.266 1.09 0.283 1.16 0.277 0.96 0.307 1.06 α 2 0.055 2.48 *** β 2-1.824-2.47 *** -1.631-2.12 ** -1.920-2.26 ** -1.658-1.84 * α 3 0.076 1.83 * β 3 0.001 0.01 0.008 0.04 0.025 0.11 0.043 0.18 β 4-5.916-1.58-8.390-1.76 * β 5 0.212 0.23-0.247-0.25 J(p) 14.659 0.066 J(p) 12.420 0.088 12.461 0.086 13.371 0.064 13.041 0.071 1997-1999 N=955 1997-1999 N=968 N=808 α 1 0.037 2.51 ** β 1-0.047-0.22-0.028-0.13 0.144 0.56 0.162 0.63 α 2 0.090 2.90 *** β 2-2.993-2.77 *** -3.099-2.79 *** -4.031-3.67 *** -4.221-3.77 *** α 3 0.025 0.26 β 3 0.257 1.24 0.272 1.31 0.278 1.24 0.315 1.39 β 4-6.871-1.90 * -8.293-1.63 β 5 0.868 0.66 0.803 0.61 J(p) 6.62 0.578 J(p) 11.553 0.116 11.462 0.120 10.084 0.184 9.889 0.195 1. 5-3 2. 51

6 1990 1. 19922002 1997 1999 q 2. 19971999 3. 19971999 52

4. 19971999 5. 1 2 53

7 7.1 Hayashi and Inoue1990 1977 Perpetual Inventory Method 6 K t = ( 1 δ ) K t 1 + I t 17 K i, t i t I t i t δ 12 12 18 Hayashi and Inoue1990 54

28 1977 Hayashi and Inoue1990 1977 29 1977 Hayashi and Inoue1990Hulten and Wykoff1979,1981 4.7 5.64 9.489 14.7 8.838 7.2 q q t δ t π t t t-1 r 7.7 I p t 7.3 7.4 28 14 4 4 29 1977 55

7.5 1977 30 1977 19 6 7.6 7.7 1 1 1 3 i t t1 r t 1 i t1 ri, t 1 r t 1 r i, t 1 t r t t i 30 1977 56

7.8 7.9 ROA 57

1991 Vol.11(4) 2003 pp.91-113 2001 pp.79-96 2003 22 1 pp.129-156. 2005 pp.295-316 2002 Working Paper Series, 02-3 2000 1980 No.17 2001 01-3 2005 Working Paper Series, 05-J-3 1999 65 2 pp.2-16 200020 pp.23-56 2002 Discussion Papers in Economics, No.309 20041990 Vol.25(4) 2001pp.173-210 1995 6 58

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.435-439. 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.27-48. 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.393-414. Fazzar Steven M., R. Glenn Hubbard and Bruce C. Petersen1988, Financing Constraints and Corporate Investment Brookings Papers on Economic Activity No.1, pp.141-206. Gibson, Michael S.1995, Can Bank Health Affect Investment? Evidence from Japan. The Journal of Business, Vol.68, No.3(July), pp.281-308. 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.1-21. 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.731-753. 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.33-60. 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

pp.372-397. 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.169-215. 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.181-200. 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.232-249. 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.1-21. 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.393-410. 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