The most prominent characteristic of the Japanese yen/U.S. dollar nominal exchange rate in the post-Plaza Accord era is near random-walk behavior sharing a common stochastic trend with the two-country monetary base differential augmented with excess reserves. In this paper, we develop a simple...

We say that a social choice rule is implementable with (small) transfers if one can design a mechanism whose set of equilibrium outcomes coincides with that specified by the rule but the mechanism allows for (small) ex post transfers among the players. We then show in private-value environments...

This paper empirically establishes the significant roles of transport costs in price dispersions across regions. We identify and estimate the iceberg-type distance-elastic transport costs as a parameter of a structural model of cross-regional price differentials featuring product delivery...

We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process driven by the fractional Brownian motion (fBm). In particular, we are concerned with the estimation of the drift parameter, assuming that the Hurst parameter H is known and is in [1/2, 1). Under...

The work of Professor P.C.B. Phillips, even if it is focused on the area of linear nonstationary models, is enormous. So it is hard for me to explore the whole of his work in this paper. Therefore I have decided to take up only a few results of his work. The topics chosen here are applications...

We discuss some computational problems associated with distributions of statistics arising from the fractional Brownian motion (fBm). In particular, we deal with (ratios of) its quadratic functionals. While it is easy in principle to deal with the standard Bm, the fBm is difficult to analyze...

In this paper, we investigate the context effect in the choice of public and private earthquake insurance contracts using data from a questionnaire survey completed by an identical set of approximately 2,000 households in 2008 and again in 2009. According to the 2008 survey, the public...

Understanding the effects of marginal tax rate on debt policy is crucial not only for　considering various capital structure theories of firms but also for evaluating corporate tax reform proposals. In this empirical study, we have found a positive relation in most cases between the...

We consider the problem of a fair collective choice function (fair CCF) which maps each profile of extended preference orderings into the set of fair social states (the set consists of alternatives which are both Pareto efficient and envy-free) when such a set exists. Our main objective is to...

This paper examines the logical relationship between distributive equity and efficiency in aggregating infinite utility streams. Our main results show that there exist social welfare functions which satisfy the axioms of Pigou-Dalton Transfer Principle and a weak version of efficiency, but there...