Exploiting the panel data structure of the Family Income and Expenditure Survey, compiled from 1989 to 1997 by the Japanese Bureau of Statistics, this paper explores how effectively idiosyncratic shocks are shared among consumers in Japan. Tests are conducted for the total consumption, together...

This paper examines a point optimal invariant (POI) test for the null hypothesis of cointegration. Our test is different from Jansson's (2005) test in that we consider location invariance in wider directions and that we assume an unknown variance-covariance matrix for the error term, while it is...

We propose an analytical approximation of the term structure of interest rates under general diffusion processes of the short-rate and state variables. A method of approximating conditional moments as the solution to a system of ordinary differential equations is applied to the pricing of bonds....

Arrow's celebrated theorem shows that the aggregation of individuals' preferences into a social ordering cannot make the ranking of any pair of alternatives depend only on individuals' preferences over that pair, unless the fundamental Pareto and non-dictatorship principles are violated. In a...

We consider a noncooperative coalitional bargaining game with random proposers. In a general case that the recognition probability is arbitrary anｄplayers have different discount factors for future payoffs, the existence of a stationary subgame perfect equilibrium (SSPE) is proved, and the...

The purpose of this paper is to address a question concerning risk management in continuing, multi-party, contractual, clearing and settlement arrangements through which large-value payments are typically made. We are particularly interested in the issues of incentive compatibility when athird...

This paper develops a theory of strategic outsourcing that arises due to trade liberalization. With trade liberalization, a domestic firm may choose to purchase the intermediate good from a more efficient foreign producer, who also competes with the domestic firm in the final-good market. This...

This paper presents the communication process of passionate belief messages according to a protocol, and then to show that, by communication among players, the posteriors for a given event must be equal among them even if they have asymmetric information. In our setting, the players may send...

We present a simple model of voluntary groups in a collective action problem where individuals differ in their willingness to cooperate. The heterogeneity of individuals' preferences generally yields multiple equilibrium groups with different levels of cooperation. Voluntary participation in a...

In an (n,m)-coordination game, each of the n players has two alternative strategies. A strategy generates positive payoff only if there are at least m-1 others who choose the same, where mn/2. The payoff is nondecreasing in the number of such others so that there are exactly two strict...