本稿では、米国でのオルタナティブ（代替）データ及びそれを用いたナウキャスティングや様々な分析の取組について、公的機関と民間機関に分けて、それぞれの概要を紹介する。公的機関ではGDPなど景気動向全体のナウキャスティングが目立つのに対し、民間機関では人々の消費行動など、よりミクロな分析を試みている例が多い。 経済分析に代替データを使用することはまだ比較的新しい手法であるため、個人情報保護の観点からのデータの適切な取り扱いが懸念されており、今後規制が進み、データ使用に制約が生じる可能性がある。また、新型コロナウィルスによるパンデミック以降、代替データを用いた分析の精度の低下も指摘されている。

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This paper will discuss on the planning process of the postwar international monetary system, especially on the role of Harry Dexter White (1892-1948) who served as a high official in the Division of Monetary Research of the Treasury Department under Henry Morgenthau, Jr. during the New Deal period. The 1920s saw a considerable decline of European economies, and the United States kept pouring much capital there. The American gold stock increased at an ever-accelerating speed, so that it seemed necessary for the United States to extend the credit and create additional domestic purchasing power to make up for the economic contraction of gold deficit countries. But Benjamin Strong, the first Governor of the of during 1914-1928 took cautious stand because the free exchange of gold worldwide did not materialize during his term. John Maynard Keynes whose main target was to improve the massive unemployment insisted on the recovery of private investment through debt readjustment including global as well as domestic procedures during the Great Depression. He advocated the necessity of raising price levels. Harry White approached the same issue with rather different perspectives. He was completely in line with the early New Deal's inflationary monetary policies leading to the depreciation of the dollar. He supported domestic public works program through deficit financing. Further he insisted that it would be necessary to establish international organization that could find ways to redistribute the world gold supply. The original White plan intended to resume world trade and supply capital for that purpose through the Stabilization Fund (later IMF) and the Bank for Reconstruction and Development. The bank was supposed to issue non-interest bank notes (later to be called Unitas). But these "bold" features diminished as the plan sought support both from the American Congress and British cabinet.

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先進国株式市場を対象に最小分散ポートフォリオを構築し，その実現リスクが期待通りに低いこと，および時価加重ポートフォリオとの比較検証を通して，最小分散ポートフォリオが時価加重ポートフォリオよりも優れた効率性を示すことを実証する．さらに日本株のリスク分位ポートフォリオを構築し，リスクとリターンのトレードオフが成立していないことを示す．

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In this paper, we estimate “inflation expectations curve” – a term structure of inflation expectations – combining forecast data of various agents. We use a state-space model which considers consistency among expectations at different horizons, and for relationships between inflation rate, real growth rate and nominal interest rate. We find that the slope of the curve in Japan is positive in almost all periods since the 1990s. In addition, looking at the estimated inflation expectations in time series, the inflation expectations at all horizons rose in the mid-2000s and from late 2012 to 2013, after the downward trend from the early 1990s to the early 2000s. Short-term inflation expectations in particular have tended to shift upwards since the launch of Quantitative and Qualitative Monetary Easing, while being affected by fluctuations in the import price.

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In this study we investigated what types of credit association are more likely to seek credit ratings. Specifically, we examined whether the credit rating acquisitions of credit associations are promoted by a competitive prefectural environment, by the amounts of bad loans or by the amounts of deposit balances. Our study demonstrated that credit associations that were located in more competitive markets or that had large deposit balances were more likely to disclose credit ratings. We also found that credit associations that were experiencing serious bad loan problems were less likely to choose to voluntarily disclose this information.

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What kind of higher education will allow us to meet the challenges of a 21st century economy? Though we are repeatedly told that we need to produce more specialists in STEM (Science, Technology, Engineering and Math), the best education suited to our age is a well-rounded, liberal education in natural science and the humanities. Looking backward to Ancient Greece, we introduce and explain the history of liberal arts education. The model of that form of education, adapted to the demands of the modern world, can be found at St. John’s College, which requires a general education in the tradition of Western great books. That education cultivates the habits of virtue, of discussion, of translation, writing, experimentation, mathematical demonstration, and musical analysis to train students to become highly adaptable, creative thinkers around complex problems. Paradoxically, it is the oldest education in the arts of understanding that, as our pioneers in the fields of technology and entrepreneurship have demonstrated, will prepare students to be “future-proof” in the uncertain economy of the future.

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This research focuses on a case where an agent makes an investment decision under rational inattention with bounded rationality. When facing multiple investment options under uncertainty, the additional information can be acquired at some cost. Real options model is applied to analyze the investment options among the multiple choices and the information cost is valued based on the Shannon's entropy. The derived multinomial logit is linked to Gibbs--Boltzmann distribution in order to prove the existence of bifurcations that give rise to a cascade of chaos. The result provides a realistic insight on the possible chaos in decision-making when facing multiple choices under limited information.

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This paper examines the possibility of combining a DSGE model and neural networks to supplement each other, with regard to out-of-sample forecasts for economic variables. The aim is to build a model with theoretical interpretability and state-of-the-art performance. The novel neural-net structure of TDVAE (Temporal Difference Variational Auto-Encoder) proposed by Gregor et.al [2019] enables to realize this idea. TDVAE virtually replicates a Gaussian stochastic state-space model through combination of neural networks. Because a DSGE model provides theoretical restrictions on the state transition and observation matrices of a linear state-space model, I choose to transplant those DSGE-oriented matrices into the formulations of state transition and observation probabilities in TDVAE. This TDVAE-DSGE approach certainly achieved the superior performance in the task of out-of-sample forecasts on Japan's real GDP during 1Q/2011 and 4Q/2018.

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Risk management in banking is a process designed to minimize and control the probability or impact of uncertain events. It includes identifying, assessing, and prioritizing risks and uncertainties faced by banking institutions. The process also involves formulating strategies to manage these risks through mitigation, transfer, acceptance, or avoidance techniques. Risks in banking may include credit risk, market risk, operational risk, liquidity risk, interest rate risk, and other business-related uncertainties.Using the DBA k-means method to cluster financial time series data from EDINET offers a novel way to understand bank relationships. It allows us to identify which banks share similar characteristics and provide a quantitative measure of how closely these banks resemble each other regarding their financial metrics.

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　現代において、家計の金融取引が拡大している。米国において、資金調達者としての家計は、住宅ローンや消費者信用での借入を増やしてきた。また資産保有者としての家計は、住宅を中心とした不動産や株式を多く保有している。現代においては、家計が保有する資産を担保にして借入を行う金融商品などが普及してきたこともあり、家計の借入は、自らが保有する資産価値変動の影響を大きく受けるようになっている。
　家計の金融取引が拡大する中で、米国金融機関は家計・個人を対象にした金融業を拡大してきた。金融機関は、対象顧客や貸付担保を広げながら、家計・個人を対象に貸付を増やしてきたのである。その際、証券化を利用し、金融機関の信用リスクを軽減するように試みてきた。しかし、2008年前後の金融危機時には、米国金融機関の貸倒費用が急増した。その中身を見ると、住宅ローンのみならずクレジットカードなどにおいても貸倒費用が急増している。金融機関による信用リスク管理は、これまで主に貸付商品ごとに行われてきた。しかし、金融危機時には、住宅価格の下落などにともなう住宅ローンの信用リスク増大が、クレジットカードほかの信用リスクにも影響を与えたのである。金融機関のリスク管理は、従来の金融商品別や事業部門別に行うだけでは、不十分となっている可能性がある。金融機関は、家計・個人を対象とした金融取引において、統合リスク管理の必要性に迫られていると考えられる。

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Labor Productivity Growth in the United States economy has rapidly accelerated from the middle of 1990s. The average annual growth rate is higher than in the Japanese industry over the 1990-2004, especially the 1995-2004.
This article examines the productivity performance of the manufacturing and other industries in the two countries over the above periods. The higher productivity growth rate in the U. S. industries is due to the development of information technology innovation and expansion of IT investment. The lower growth rate in the Japanese industries is owing to the delay of business restructuring and IT investment.
In spite of the higher productivity growth rate in the U. S. economy and the lower rate in the Japan's economy, the two countries have its own comparative advantage and disadvantage industries. In conclusion, U. S. economy has the strong competitive power in the industries producing IT and using intensively IT, briefly “New Economy” industries, in the global market. In contrast with the U. S. advantage, the Japan's economy has the strong competitive power in the industries producing materials such as steel and chemicals, and machinery such as automobile and machine tool, in short “Old Economy” industries.

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　この研究の目的は，国際穀物価格変動の衝撃が韓国の輸入穀物価格に及ぼした影響を分析し，物価転移経路ごとの国内穀物，畜産物，加工食品の生産者物価指数と消費者物価指数への転移効果を実証的に分析することにある．その際，国際穀物価格指数変動の国内物価への転移経路を分析するための時系列モデルであるVAR（Vector Autoregression）とVECM（Vector Error Correction Model）を利用した．時系列モデルの推定結果によれば，国際穀物価格と為替の変動の影響は，輸入穀物価格を長期間持続的に上昇させるかたちで現れた．そして，国際穀物価格に影響を受ける韓貨表示の輸入穀物価格と国内穀物，畜産物，加工食品の生産者物価指数と消費者物価指数の波及影響分析を通じて，国際穀物価格変動による国内農産物と食料品物価への転嫁効果を分析した．
　輸入穀物価格は，ウォン表示国内穀物価格に上昇圧力として作用することが確認された．しかし，国内穀物価格は輸入穀物価格による上昇要因よりも自体価格による衝撃効果にもっと敏感に反応していた．畜産物の場合，輸入穀物価格上昇が飼料価格上昇を主導しており，畜産農家の生産費増大を通じて畜産物価格に持続的に影響を与えている．国内加工食品の場合，輸入穀物を主原料として使っており，輸入穀物価格衝撃に敏感に反応している．構造変化を検定した結果，ウルグアイ・ラウンド交渉妥結による農産物市場開放によって国際穀物価格は国内輸入穀物価格の下落圧力として作用する構造変化が発生したことが分析された．最近の国際穀物価格の急上昇にともなう構造変化に関する分析結果によれば，国際穀物価格上昇が国内輸入穀物価格に上昇圧力として作用していた．国際穀物価格と為替の非対称価格転移を分析した結果，国際穀物価格が上昇して為替が下落する場合に，国内輸入穀物価格が敏感に反応することが分析された．
　韓国経済は海外依存度が高い構造的特徴を持っており，外部要因の衝撃に脆弱である．農産物のなかで輸入に全面的に依存している主要穀物（小麦，トウモロコシ，大豆）においては，国際穀物価格上昇が国内飼料価格上昇を通じて畜産農家の生産費を増大させるだけでなく，輸入穀物価格の上昇と国内食料品価格上昇を主導して国民の生活にも直接的に影響を与えていることが分析された．したがって，韓国農業と食品消費において海外衝撃を緩和させることができる多様な対策を持続的に民官が共同で開発していかなければならない．

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  By solving a dynamic optimization structure, this paper aims to achieve an optimal monetary policy which enables the central bank to minimize a Taylor-rule embedded social loss function of inflation and employment. Three different types of inflation expectations are tested: forward-looking, backward-looking, and mixed expectation formation. As a result, under several assumptions, we found stable and optimal policy paths with all of the three scenarios. The results suggest that when the expected inflation rate is below the target, the central bankers need to initially set the interest rate at a sufficiently low level but gradually raise it, until they reach the equilibrium. Opposite solution stands if the inflation expectation is above the target. These may be counterfactual to a commonly seen monetary policy, though we believe this analysis is meaningful, in a way that our solution can be regarded as a “reference” or “yardstick”, and indicate how the real-life monetary policy is deviating from the optimal path.

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This study measures global financial stability by constructing a global flow of funds (GFF) matrix model based on its inherent market mechanisms. We discuss the basic concept of GFF, integrate the data sources, establish a GFF statistical matrix, which can be used to evaluate the financial risks and influences among its members, and estimate bilateral exposures between countries for three different financial instruments within and across the G20 economies. Then, we use financial network analysis to construct the financial relationships between countries. Moreover, we employ the network theory to discuss an analytical method for the GFF and use countries in the G20 as the research sample to discuss the network centrality, mutual relationships, and the financial risk of foreign direct investment, portfolio investment, and cross-border bank credit among the United States, Japan, and China. This study establishes a GFF statistical matrix and introduces the network theory into the GFF analysis, which opens a new field for measuring and applying GFF.

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This paper examines the possibility of the collapse of the nominal dollar accompanying the U.S.external adjustment. Based on a sticky-price dynamic general equilibrium two-country model, we show that due to the recent decline in the exchange rate pass-through to import prices, the dollar need not depreciate to a large extent. Only when the intratemporal substitutability between U.S. and foreign goods is sufficiently larger than unity and the intertemporal substitutability of consumption is sufficiently near unity, will a sharp depreciation occur with a shrinking of the U.S. external deficit. However, when the intratemporal substitutability is only slightly larger than unity and the intertemporal substitutability is sufficiently near zero, the U.S. external adjustment can occur with a moderate depreciation of the nominal dollar. Both the existing empirical results about these parameters and the recent movements of the U.S. current account and the dollar suggest that we cannot reject the latter scenario.

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