Tomomi Miyazaki

Asymmetric correlations in gold and other financial markets

ABSTRACT In this article, we implement a recently developed statistical method to test asymmetries in cross-asset correlations, focusing in particular on the gold market. Our empirical results provide evidence that gold exhibits asymmetric correlations with stocks and the U.S. dollar, but not with bonds. Furthermore, splitting the sample into three characteristic periods, we find that exceedance correlations exhibit substantial time variation even in similar market tensions for same pairs of assets. Our findings imply that investors and fund managers should take into account the asymmetric dependence structure, which depends on the upside or downside of the market.

Optimal Monetary Policy in an Estimated Local Currency Pricing Model

We analyze fluctuations in inflation and the nominal exchange rate under optimal monetary policy with local currency pricing by developing two-country DSGE local currency pricing and producer currency pricing models. We estimate our models using Bayesian techniques with Japanese and US data, and calculate impulse response functions. Our estimation results show that local currency pricing is strongly supported against producer currency pricing. From the estimated parameters, we show that completely stabilizing consumer price index inflation is optimal from the viewpoint of minimizing welfare costs and that completely stabilizing consumer price index inflation is consistent with completely stabilizing the nominal exchange rate.

Decentralization Reform and Property Tax in Japan: A Consideration of the Benefit Principle

This chapter reviews the relationship between property tax and the benefit principle in Japan. Based on Miyazaki and Sato (2011), the author first demonstrates that property tax is not a benefit tax for the supply side because the conditions for tax capitalization, one of the foundations of the “benefit view” with regard to property tax, cannot be satisfied under Japan’s current local taxation system. This should be attributed to three factors: limitation of the authority of municipalities to set tax rates, certain preferential property tax programs for land, and the possibility that property tax is a capital tax in effect. The author proposes granting municipalities complete discretion in deciding tax rates and repealing preferential tax programs to make property tax function as a benefit tax.

Fiscal stimulus effectiveness in Japan: evidence from recent policies

ABSTRACT This article examines the effects of Japanese fiscal policy after the 2008 global financial crisis using a mixed vector autoregression/event study approach. We focus on the effects of stimulus packages with environmental benefits. The empirical results show that a tax break and subsidy programme designed to promote the adoption of eco-friendly cars helped stimulate automobile production, while a similar programme intended to promote the purchase of energy-efficient appliances had no effect on appliance production.