Tatsuyoshi Miyakoshi

Spillovers of stock return volatility to Asian equity markets from Japan and the US

Abstract This paper examines the magnitude of return and volatility spillovers from Japan and the US to seven Asian equity markets. I construct a volatility spillover model that deals with the US shock as an exogenous variable in a bivariate EGARCH for Japan and Asian markets. First, only the influence of the US is important for Asian market returns; there is no influence from Japan. Second, the volatility of the Asian market is influenced more by the Japanese market than by the US. Third, there exists an adverse influence of volatility from the Asian market to the Japanese market.

ARCH versus information-based variances: evidence from the Tokyo Stock Market

Abstract By using both the individual stock prices quoted on the Tokyo Stock Exchange and their price index (TOPIX), this paper examines whether the conditional variance of stock returns is characterized by the auto-regressive-conditional-heteroskedasticity (ARCH) effect or the information-based effect. The paper finds that the inclusion of the trading volume in both generalized ARCH (GARCH) and exponential GARCH (EGARCH) specifications eliminates the ARCH effect for individual stocks and the TOPIX. The paper explains the reasons for these results. The findings suggest strong support for the information-based variance model which gives a parallel explanation to the ARCH-type models.

The causes of the Asian currency crisis: empirical observations

Abstract This paper examines statistically and systematically the five causes of the Asian currency crisis exposed by the IMF, using a probit model. The paper shows that the two causes of the IMF are persuasive. The Asian currency crisis tends to occur when the ratio of foreign reserve to total debt is low and the progress of financial deregulation without regularity is great. The paper also shows that the general causes found by previous researches never fit the case of this crisis, but that the trade linkage of each country to the first victim country helps explain the causes of this crisis.

The causes of the long stagnation in Japan

The paper investigates whether the Japanese bank lending causes the long stagnation in the 1990s and if so whether this effect on the growth is more persistent than in the 1980s. Applying a VAR model for the annual prefecture panel data, the former can be verified by Granger causality test and the latter by impulse response function. There exists only one way causality from the loan to the GDP in the slump periods, while two way causalities exist in the 1980s. The shock in the loan equation is less persistent than the shock in GDP in the 1980s, but the persistence is reversed in the 1990s.

Granger Causality Between Money and Income for the Japanese Economy in the Presence of a Structural Change

This paper examines Granger causality between money and income in the Japanese economy based upon a bivariate VAR model with a structural change in the trend function. We employ a stratified testing strategy incorporating preliminary tests for a unit root and for the order of cointegration rank. Our study reveals that the choice of either trend stationarity or difference stationarity, as well as the order of cointegration rank, crucially affect the test results for Granger causality. It is found that the causality from money to income was strong before 1980 but weakened or virtually disappeared after 1980; the opposite causality existed weakly before 1980 but not after 1980. The result confirms the claim by the Bank of Japan (1992) and Honda et al. (1995) among others that the role of money as a leading indicator for predicting movements in income has weakened or even disappeared in the 1980s. n n n nJEL Classification Numbers: C32, E40

An alternative method for predicting technical inefficiency in stochastic frontier models

The median is proposed as an alternative to the expectation of the conditional distribution in order to predict the technical inefficiency in stochastic frontier production models with panel data. Numerical comparison reveals that the two predictors can take different values when the distribution is skewed.

Testing PPP Hypotheses between Japan and the Six G7 Countries

The paper examines the purchasing power parity(PPP) theory of the foreign exchange rate of the yenagainst the currencies of the six G7 countries. We usethe error-corrected five-dimensional vectorautoregressive (VAR) model with structural changes inthe trend function. The data cover the period of thepost-Breton–Woods floating exchange rate system. Theresults reveal that the PPP relation alone determinesthe exchange rates for the USA, France, Germany, andItaly, while a linear combination of PPP and uncoveredinterest rate parity (UIP) relations determines that for Canada. Ina model without trend breaks, the PPP relations holdonly for Germany, which indicates that a correctspecification of the sampling distribution of data isimportant. The one-step prediction based on the errorcorrection model (ECM) outperforms the random walkmodel. The ECM is useful to predict the out-of-samplebehaviors of the exchange rates.

Practical illustrations of the two recent contributions to stochastic frontier models

In a recent year, the conditional expectation for technical inefficiency (i.e., the predictor) in stochastic frontier production models and its confidence interval are proved to be increasing in the individual firms inefficiency effect, which is defined as the mean of the normal distribution that is truncated at zero. This paper illustrates how the two recent contributions work in practice and how these findings are significant, by using the Battese and Coelli (1995) type specification and giving an empirical study on the Japanese pharmaceutical industry.

Designs of pension management with the rapid ageing

The rapid ageing of the population and the strong desires for working by the retired old has become a serious issue on the Japanese pension management. This paper suggests a partial solution for the issue in an overlapping generation framework. It is shown that providing the old with jobs rather than pensions can result in a Pareto improvement at a steady state.