The first contribution of this paper, in following the works of Lettau and Ludvigson (2001a,b), is to construct a Japanese consumption–wealth ratio data series and to examine whether it explains Japanese stock market data. We find that the consumption–wealth ratio does predict future stock...

The first contribution of this paper, following the works of Lettau and Ludvigson (2001a,b), is construction of the Japanese consumption-wealth ratio data series and to examine whether it explains Japanese stock market data. We find that the consumption-wealth ratio does not predict future stock...

This paper proposes new point estimates for predictive regressions. Our estimates are easily obtained by the least squares and the instrumental variable methods. Our estimates, called the plug-in estimates, have nice asymptotic properties such as median unbiasedness and the approximated...

In this paper, we analyze feasible bias-reduced versions of point estimates for predictive regressions: The plug-in estimates, which are based on the augmented regressions proposed by Amihud and Hurvich (2004) and Amihud, Hurvich and Wang (2010), and the grouped jackknife estimate by Quenouille...

As Japanese firms have reduced the proportion of debts in their capital structures, they have also increased their debt maturities. Since the shorter debt maturity is more costly for the firms of poor performance, it is argued that the maturity length plays the role of signal as the theoretical...

This note provides an overview of macroeconomic problems that the Japanese economy faces after the global financial crisis and discusses Japan's policy responses, emphasizing the comparison with the United States and European countries.

I study the relationship between portfolio choice and age for the Japanese households by means of micro data and by paying particular attention to the interaction between decisions to hold stocks and real estate. The major findings are: First, equity shares in financial wealth (S/FW) increase...

This paper provides an overview of the sustainability of Japan’s government debt, emphasizing the viewpoint of market participants in the Japanese government bonds (JGB) market. The Japanese government will be able to finance its debt as long as current surpluses continue, meaning there is...