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...

This paper provides an in-depth review and analysis of household portfolios in Japan. (1) Using both aggregate and disaggregate data, it is shown that the shares of equities in household financial wealth have been decreasing throughout the 1990s. Stock market participations of Japanese...

The decline in Japan's household saving rate accelerated sharply after 1998, but then decelerated again from 2003. Such nonlinear movement in the saving rate cannot be explained by the monotonic trend of population aging alone. According to the life cycle model of consumption and saving,...

Using the data from the Financial Statements Statistics of Corporations by Industry (FSSCI), we examine whether the decrease of corporate debt subsequent to the banking crisis in the late 1990s improved the efficiency of factor allocation at the microeconomic level. While the cross-sectoral...