構造変化と金融の不安定性

抄録

The subprime loan crisis of 2007 in the USA, which took lead in the market-oriented economic reform, marked the beginning of an international monetary crisis. Several nations, such as Iceland, have suffered from this crisis. Some economists on Wall Street are of the opinion that the financial instability hypothesis proposed by Hyman, P. Minsky deserves consideration (Lahart (2007)). Taylor and O'Connell (1985) presented a simple macroeconomic model on financial instability and proved that an economy would fall into a financial crisis if a decline in the expected profit rates aggravated the financial condition of firms and increased the household preference for liquidity. Semmler (1987) interpreted their idea as a nonlinear "S-shaped" saving function and presented a financial cycle by applying the Hopf-bifurcation theorem. The S-shaped saving function refers to the saving that is assumed to depend on the difference between the level of current income and that of its normal income. For example, bank loans increase in an expanding economy because lender risks decline. This study introduces the concept of "instability of confidence" and incorporates the factor of lender risks into a macrodynamic model on financial instability to illustrate the financial cycle and instability. It demonstrates that an increase in the instability of confidence makes the economy unstable when the economy's financial structure is fragile. The business cycle in this study occurs despite the marginal propensity to invest being relatively lesser than that to save. It is different from the Kaldorian business cycle models. Furthermore, this study examines changes in the financial structure using data from the Japanese economy. One characteristic of this analysis is that it is a subsample comparative analysis which focuses on the creation of proxy variable that show the instability of confidence and on the VAR model which introduces the proxy variables. This study reveals that the instability of confidence increased in the mid-1990s.