We empirically analyze the effects of uncertainty on investment, by types of uncertainty and by properties of stochastic processes; that is, permanent and transitory components separated from economic variables. According to our results, based on Japanese economic data, we find significant...

Despite the widespread belief that technology shocks are the main source of business fluctuations, recent empirical studies find that an investment efficiency shock mainly drives such fluctuations and reflects financial conditions for investment. This poses the question as to what is the major...

The observed decline in the relative price of investment goods in Japan suggests the existence of investment-specific technological (IST) changes. This paper examines whether IST changes are a major source of business fluctuations in Japan, by estimating a dynamic stochastic general equilibrium...

We estimate a medium-scale DSGE model of the Japanese economy following Christiano, Eichenbaum and Evans (2005), Smets and Wouters (2003) and Levin et al. (2005). By using actual capital utilization data and modifying the formulation of utilization following Greenwood, Hercowitz and Huffmann...

This paper investigates what can be learned about the effects of monetary policy on firm investment after the collapse of the asset price bubble in Japan. By estimating firm investment functions based on corporate panel data, the paper reveals that the monetary easing after the bubble burst...

Empirical studies report a marked dispersion in skill-premium changes across economies over the past few decades. Structural models in early studies successfully replicate the increases in skill premiums in many economies, while some other cases with a decline in the skill premium are yet to be...

Because a borrower often faces switching costs in dealing with individual banks, the financial health of any given bank might affect the borrower's cost of funds. These costs would be particularly large for firms that have close relationships with relatively few banks. The purpose of this paper...

One of the greatest challenges China faces is how to reshape its heavily investment-driven mode of economic growth. By investigating how the rebalancing of Japan's economic growth mode was realized in the 1970s, we indicate that it is essential in the rebalancing to correct the distortions in...

In Japan, like many other industrialized countries, output volatility declined dramatically in the 1980s. In order to investigate the cause of this decline, we decompose the variance of output growth by frequency. Our important findings are: (1) The total variance of output growth decreased,...

This paper investigates (i) what has determined the land investment behavior of Japanese firms since the latter half of the 1980s; and (ii) how the current market prices of their land assets diverge from their shadow prices (marginal values of land investment). To do so, we estimate nonlinear...