論文 - 藤原　一平

Working Paper No. 318-Fiscal Forward Guidance: A Case for Selective Transparency-Dallas Fed

I Fujiwara, Y Waki

Federal Reserve Bank of Dallas 2017年

A note on imperfect credibility

I Fujiwara, T Kam, T Sunakawa

CAMA Working Paper 2016年

Declining trends in the real interest rate and inflation: The role of aging

S Fujita, I Fujiwara

FRB of Philadelphia Working Paper 2016年

Aging and Deflation: A Politico-Economic Perspective

I Fujiwara, S Hori

2016年

Private News and Monetary Policy: Forward guidance or the expected virtue of ignorance

F Ippei, W Yuichiro

Research Institute of Economy, Trade and Industry (RIETI) Discussion papers 2016年

Policy regime change against chronic deflation? Policy option under a long-term liquidity trap

Fujiwara I., Nakazono Y., Ueda K.

Journal of the Japanese and International Economies （Journal of the Japanese and International Economies）  37   59 - 81 2015年09月

ISSN  0889-1583

　概要を見る

© 2015 Elsevier Inc. The policy package known as Abenomics appears to have influenced the Japanese economy drastically, in particular, in the financial markets. In this paper, focusing on the aggressive monetary easing of Abenomics, the first arrow, we evaluate its role in guiding public perceptions on monetary policy stance through the management of expectations. In order to end chronic deflation, such as that which Japan has been suffering over the last two decades, policy regime change must be perceived by economic agents. Analysis using the QUICK survey system (QSS) monthly survey data shows that monetary policy reaction to inflation rates has been in a declining trend since the mid 2000s, implying intensified forward guidance well before Abenomics. However, Japan seems to have moved closer to a long-term liquidity trap, where even long-term bond yields are constrained by the zero lower bound. Consequently, no sizable difference in perceptions has been found before and after the introduction of Abenomics. Estimated changes in perceptions are not abrupt enough to satisfy "Sargent's (1982) criteria for regime change" termed by Eggertsson (2008). This poses a serious challenge to central banks: what is an effective policy option left under the long-term liquidity trap?

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Purchasing power parity and the Taylor rule

M Ogaki, BE Hansen, I Fujiwara, H Kim

AJRC Working Papers （Journal of Applied Econometrics）  30 （ 6 ） 874 - 903 2015年09月

ISSN  0883-7252

　概要を見る

© 2015 John Wiley & Sons, Ltd. It is well known that there is a large degree of uncertainty around Rogoff's consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a system method that combines the Taylor rule and a standard exchange rate model to estimate half-lives. Further, we propose a median unbiased estimator for the system method based on the generalized method of moments with non-parametric grid bootstrap confidence intervals. Applying the method to real exchange rates of 18 developed countries against the US dollar, we find that most half-life estimates from the single equation method fall in the range of 3-5 years, with wide confidence intervals that extend to positive infinity. In contrast, the system method yields median-unbiased estimates that are typically shorter than 1 year, with much sharper 95% confidence intervals. Our Monte Carlo simulation results are consistent with an interpretation of these results that the true half-lives are short but long half-life estimates from single-equation methods are caused by the high degree of uncertainty of these methods.

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SIRE DISCUSSION PAPER SIRE-DP-2015-66

Y Waki, R Dennis, I Fujiwara

2015年

Report on Ph. D. Dissertation Defence

T SONOBE, I FUJIWARA

2015年

Private news and monetary policy forward guidance or (the expected virtue of ignorance)

I Fujiwara, Y Waki

Globalization and Monetary Policy Institute Working Paper 2015年

Pegging the exchange rate to gain monetary policy credibility

JS Davis, I Fujiwara

2015年

Financal frictions and policy cooperation: a case with monopolistic banking and staggered loan contracts

Y Teranishi, I Fujiwara

Federal Reserve Bank of Dallas 2015年

Declining Trends in the Real Interest Rate and Inflation: Role of aging

F Shigeru, F Ippei

Research Institute of Economy, Trade and Industry (RIETI) Discussion papers 2015年

Indeterminacy and Forecastability

藤原 一平

JOURNAL OF MONEY CREDIT AND BANKING 46 （ 1 ） 243 - 251 2014年02月

研究論文（学術雑誌）,  ISSN  0022-2879

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Optimal Monetary Policy with Endogenous Entry and Product Variety

藤原 一平

Journal of Monetary Economics 64, 1-20 （Journal of Monetary Economics）  64   1 - 20 2014年01月

研究論文（学術雑誌）,  ISSN  03043932

　概要を見る

Deviations from long-run price stability are optimal in the presence of endogenous entry and product variety in a sticky-price model in which price stability would be optimal otherwise Long-run inflation (deflation) is optimal when the benefit of variety to consumers falls short of (exceeds) the market incentive for creating that variety-the desired markup; Price indexation exacerbates this mechanism. Plausible preference specifications and parameter values justify positive long-run inflation rates. However, short-run price stability (around this non-zero trend) is close to optimal, even in the presence of endogenously time-varying desired markups that distort the intertemporal allocation of resources. © 2014 Elsevier B.V.

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Comments on Michael Devereux and James Yetman’s paper

I Fujiwara

Frank Packer and Aaron Mehrotra, 119 2014年

Policy Regime Change against Chronic Deflation? Policy option under long-term liquidity trap

K Ueda, Y Nakazono, I Fujiwara

AJRC Working Papers 2014年

Global liquidity trap

藤原 一平

AJRC Working Papers （Journal of Monetary Economics）  60 （ 8 ） 936 - 949 2013年11月

研究論文（学術雑誌）,  ISSN  0304-3932

　概要を見る

How should monetary policy respond to a "global liquidity trap," where the two countries may fall into a liquidity trap simultaneously? Using a two-country New Open Economy Macroeconomics model, we first characterize optimal monetary policy, and show that the optimal rate of inflation in one country is affected by whether or not the other country is in a liquidity trap. We next examine how well the optimal monetary policy is approximated by relatively simple monetary policy rules. The interest-rate rule targeting the producer price index performs well in this respect.© 2013 Elsevier B.V.

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Asymmetry in government bond returns

藤原 一平

AJRC Working Papers （Journal of Banking and Finance）  37 （ 8 ） 3218 - 3226 2013年08月

研究論文（学術雑誌）,  ISSN  0378-4266

　概要を見る

Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This finding has important implications for modeling and forecasting government bond returns. For example, widely used models for yield curve analysis such as the affine term structure model assume symmetrically distributed innovations. To answer the second question, we find that liquidity in government bond markets predicts the coefficient of skewness with a positive sign, meaning that the probability of a large and negative excess return is more likely in a less liquid market. In addition, a positive realized return is associated with a negative coefficient of skewness, or a small probability of a large and negative return in the future. © 2013 Elsevier B.V.

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The fiscal multiplier and spillover in a global liquidity trap

藤原 一平

Globalization Institute Working Papers （Journal of Economic Dynamics and Control）  37 （ 7 ） 1264 - 1283 2013年07月

研究論文（学術雑誌）,  ISSN  0165-1889

　概要を見る

We consider the fiscal multiplier and spillover-the extent to which one country's government expenditure increases production at home and also in another foreign country, when the two countries are caught simultaneously in a liquidity trap. Using a standard new open economy macroeconomics (NOEM) model, we show that the fiscal multiplier and spillover are contrary to textbook economics. For the country where government expenditure takes place, the fiscal multiplier exceeds one, the currency depreciates, and the terms of trade worsen. The fiscal spillover is negative if the intertemporal elasticity of substitution in consumption is less than one, and positive if it is greater than one. Incomplete stabilization of marginal costs due to the existence of the zero lower bound is critical in understanding the effects of fiscal policy in open economies. These results remain unchanged even if we incorporate incomplete markets or endogenous capital into the model, but local currency pricing yields positive fiscal spillover irrespective of the size of the intertemporal elasticity of substitution. © 2013 Elsevier B.V.

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