ª ª * E-mail : shinobu.nakagawa@boj.or.jp ** E-mail : tomoko.katagiri@boj.or.jp i
ii
iii
1-1 70 6 2 90 1 1 1-2 90 2 3 90 1-1 70 3 1 2 93 97 98 98 98 98/4 3 1 1-2 35 1
80 90 25060 510 4 4 90 5 6 or 7 1 91 99 8 4 5060 70 1-1 70 5 2-2 90 6 7 8 91 89 90 91 2
RW * i =a 1 +a 2 *YA i +a 3 *HE i +a 4 *AR i +a 5 *NF i + a 6 *SV i +a 7 *UC i + j a 8,j *DA i,j + j a 9,j *DO i,j ì0 RWi RW i = í if * îrwi RWi * * 0 > 0 RW YA HE 0 1 AR 12 4 3 2 4 4 1 2 5 1 6 NF 2 3 4 5 6 7 SV 01 UC 012 DA j j=1.20 2.60 DO j j=1.2.3.4. 5.6. 99 YA NFUC DO 3 DO 5 9 HEAR 10 DA 1 DA 2 11 91 99 9 10 12 18 11 3 60 4 90 99/4 3
12 99 3,478 91 3,327 a 1-29.750 (-6.40) <0.00> -36.783 (-7.33) <0.00> YA a 2 0.020 (8.03) <0.00> 0.022 (7.95) <0.00> HE a 3 7.933 (2.98) <0.00> 8.330 (3.45) <0.00> AR a 4-3.225 (-5.81) <0.00> -2.364 (-3.91) <0.00> NF a 5-1.784 (-2.36) <0.02> -1.775 (-2.11) <0.04> SV a 6 - - - -1.394 (-0.54) <0.59> UC a 7-6.505 (-4.58) <0.00> -7.216 (-3.94) <0.00> DA 1 a 8,1-10.599 (-1.51) <0.13> -3.903 (-0.68) <0.50> DA 2 a 8,2 2.925 (1.18) <0.24> 3.922 (1.37) <0.17> DO 1 a 9,1-13.249 (-2.44) <0.01> -17.351 (-2.75) <0.01> DO 2 a 9,2 0.557 (0.18) <0.86> 0.527 (0.15) <0.88> DO 3 a 9,3 7.995 (2.42) <0.02> 10.680 (2.95) <0.00> DO 4 a 9,4-1.767 (-0.55) <0.58> -1.515 (-0.40) <0.69> DO 5 a 9,5 19.174 (6.08) <0.00> 22.999 (6.24) <0.00> DO 6 a 9,6-2.806 (-0.51) <0.61> -4.097 (-0.60) <0.55> adjr 2 0.036 0.057 z t p 5 1 or 0 1 13 99 YA UCDO 5 91 99 12 91 98 18 91 99 HE HE 90 13 91 99 2 91 4
99 3,478 91 3,327 a 1-1.280 (-8.97) <0.00> -2.447 (-9.00) <0.00> YA a 2 0.0004 (5.41) <0.00> 0.0003 (2.18) <0.03> HE a 3 0.155 (1.95) <0.05> 0.142 (1.10) <0.27> AR a 4-0.075 (-4.24) <0.00> -0.016 (-0.52) <0.61> NF a 5-0.035 (-1.45) <0.15> 0.021 (0.47) <0.64> SV a 6 - - - -0.198 (-1.35) <0.18> UC a 7-0.110 (-2.46) <0.01> -0.179 (-1.73) <0.08> DA 1 a 8,1-0.052 (-0.25) <0.80> 0.019 (0.07) <0.95> DA 2 a 8,2 0.073 (0.95) <0.34> -0.099 (-0.62) <0.54> DO 1 a 9,1 0.104 (0.69) <0.49> -0.274 (-0.65) <0.52> DO 2 a 9,2 0.081 (0.82) <0.41> 0.177 (0.86) <0.39> DO 3 a 9,3 0.295 (2.87) <0.00> 0.258 (1.25) <0.21> DO 4 a 9,4-0.104 (-0.99) <0.32> 0.147 (0.68) <0.49> DO 5 a 9,5 0.369 (3.69) <0.00> 0.407 (2.01) <0.04> DO 6 a 9,6 0.022 (0.13) <0.90> -0.052 (-0.12) <0.90> pseudo-r 2 0.053 0.043 z t p 5 6098 60 14 AW it - AW it-1 =b i0 + j b i1j *r jt +b i2 *volr mt +b i3 *DY t +b i4 *AG60 t +b i5 *DP t-1 AW i i= r j j=f.m.b. volr m DY AG60 60 DP 14 Brainard and Tobin19691979 5
15 r f r m volr m DY 16 AG60 2-2 1 DP -1 b 0 2.20 (0.6) -1.31 (-0.3) -1.02 (-1.3) r f b 1f 1.34 (2.7) -0.57 (-1.1) -0.05 (-0.4) r m b 1m -0.06 (-3.1) 0.08 (3.9) -0.004 (-0.9) r b b 1b -0.73 (-2.3) 0.05 (0.2) 0.18 (2.6) volr m b 2 0.47 (2.6) -0.30 (-1.6) -0.11 (-2.6) DY b 3-0.05 (-0.8) 0.11 (1.7) 0.003 (0.2) AG60 b 4 DP -1 b 5 adjr 2 S.E. 0.16 0.06 0.38 (1.5) (0.6) 1.75 0.11-0.03 0.40 (0.9) (-0.3) 1.87 0.03-0.02 0.24 (1.3) (-0.7) 0.40 D.W. 1.91 2.33 2.20 t S.E.D.W. 10 90 1 70 1 15 Seemingly Unrelated RegressionSUR SUR OLS 16 DYr m D.W.2.33 6
17 6-2 4 18 6-36-590 2 4 19,20 7 2 21 78 96 8-1 24 13 8-2 17 5-18589 1 5-2 1-1 18 11 19 1 20 90 98 42NY 3.5 FT100 2.7 CAC40 2.6 XETRADAX 3.6 90 21 34 2 7
Blume and Friend1975Mankiw and Shapiro1986 CAPM 22 9 2 E(rm ) - rf = s C 2 m 1 a C r f TB3M E(r m )TOPIXS&P500 2 m C m 2 E(r m )- r f preference 90 22 BOX 8
1999 23 24 90 90 98/6 93/4 94 MMF 94/12 95/10 MMF 98/6 1999 96 97 10-1 10-295 25 23 24 25 9
10-3 3 1 11-190 2 97 11-2 1 9 26 11-3 97 MMF 67 93/2 95/10 1 1,000 1/10 () 50 1,000 500 100 1 1 1,000 1/10 9/10 5 1 4 26 11-2(1)91 94 90 10
12-1 12-2 90 12-3 97 74 27 12-5 28 1 3,000 29 5 1 10 5,000 2,500 2 27 12-4 28 12 1 300 1 3 1 4 29 99/10 75/5 11
1 10 30 31 99 4 1 100 1.150* 100 500 0.900+2,500 500 1,000 0.700+12,500 1,000 3,000 0.575+25,000 3,000 5,000 0.375+85,000 5,000 272,500 * 1.150 2,500 2,500 11 13 26 20 32 20 1865 550 33 30 31 1 1 23 32 99 3 31 33 1539.6 5 26 12 10 20 12
3,000 90 90 34 14 12 (a) 1946 1 (b) 1963 35,36 34 35 2 13
90 21 37 99/10 38 36 2 81 86 90 81 15 147014 115086 14 11502 1528 90 3 152831 93 5 1539.6 37 11 38 2 U.S. Bancorp Piper Jaffray Inc. 97 1798 27 14
Tobit model GDP 39 Y i 0Y i * Y i * Y i latent variable Y = bx + u (1) * i i i X i Y i (1)X i u i Y * i 40 * ì0 Yi 0 Yi = í if (2) * îyi Y * i > 0 u i 0 2 ()() LLF 2 L( b, s ) = Õ 2 LLF( b, s ) = ì æ bx í1 - Fç î è s å i= 1 Õ Yi= 0 Yi> 0 n é ê1(y i ë i öü ý øþ ì ís î -1 æ bx fç è s ì æ bx = 0) logí1 - Fç î è s i i öü ý øþ öü ý + 1(Y i øþ ì > 0) logís î -1 æ bx fç è s i (3) öüù ýú øþû Yi=0 Y i =0 Yi>0 Y i >0 1() 1 0 indicator 39 5 censored regression model 40 Y * i Y i =0 15
function (3) LLF 2 16
2 r f r m E(r m ) m2 n t t+dt W t+dt U (W)>0U (W)<0 W t W t+dt W t+ dt = W [1 + t { ae(r ) + (1 - a)r } dt + as y(t) dt ] m f m y(t) E[U(W t+dt )] U(W t+dt ) W t 2 E[U(W t+ dt )] = U(W ) + U' (W )W t E(rm ) - rf 1 E(rm ) - rf 1 a = or C = 2 2 s C s a m t t m 2 2 2 { ae(r ) + (1 - a)r } dt + U''(W )W a s dt 9 C U'(W t ) C = - W U' '(W ) t t m f 1 2 t t m C 1998 r f TB3M E(r m )TOPIXS&P500 2 m 2 TOPIXS&P500 17
Blume, M. E. and Friend, I.1975, The Demand for Risky Asset, American Economic Review. Brainard, W. C. and Tobin, J.1969, Pitfalls in Financial Model Building, American Economic Review, Papers and Proceedings. Mankiw, N. G. and Shapiro, M.1986, Risk and Return, Consumption Beta versus Market Beta, Review of Economics and Statistics, Vol.68, No.2. 1999 11 11 7 1998 199990 4 1999 1979 74 18
4 9599 9498 200099
9915 9915 BIS "International Financial Statistics"
1-1
99 99 3 96 99 10
6064616490949194
99
8990 Deposits (Foreign deposits), Investment in bank personal trusts Corporate equities, Equity in noncorporate business, Mutual fund shares, Foreign depositslife insurance reserves, Pension funds reserves Credit market instruments (CP, U.S.government securities, Municipal securities, Corporate and foreign bonds, Mortgages), MMF Currency, Deposits with UK MFI's, Deposits other than with MFI's Shares, UK mutual funds shares, Rest of the world mutual funds shares, Deposits with Rest of the World MFI'sInsurance technical reservesshort term MMI's issued, Bonds issued Cash and other transferable deposits, Other depositsshares Net equity of households on life insurance reserves and pension funds Short-term securities, Bonds Currency and sight deposits, Time deposits, Saving deposits, Funds placed with building and loan associationsassets in the form of shares, Assets in the form of investment fund certificatesfunds placed with insurance enterprisesassets in the form of money market paper, Assets in the form of bonds FRB "Flow of Funds"99/6 BOE "United Kingdom National Accounts"
9915 0.056699 BIS "International Financial Statistics"
1110 96
2 FRB "Flow of Funds" BIS "International Financial Statistics"
95 3 5
9395 97
97 97
26 6 520 11 13 3 31 20 1 1 5 1 10 20 1 1 25 1 50 535 15 5 20 18 65 350 550 12 20 3,000 31