Tax Policy and Consumer Spending: Evidence from Japanese Fiscal Experiments

This paper studies the extent to which the impact of tax policy on consumer spending differs between temporary and permanent, as well as anticipated and unanticipated tax changes. To discriminate between them, we use institutional information such as legal distinction between temporary and permanent tax changes, as well as timing of policy announcement and implementation. We find that the impact of temporary changes is significantly smaller than the impact of permanent changes. We also find that more than 80 per cent of Japanese consumers, including those who distinguish between temporary and permanent tax changes, respond to tax changes at the time of their implementation and not at the time of a policy announcement. We suggest an interpretation that these consumers follow a near-rational decision rule.

Novel and topical business news and their impact on stock market activities

We propose an indicator to measure the degree to which a particular news article is novel, as well as an indicator to measure the degree to which a particular news item attracts attention from investors. The novelty measure is obtained by comparing the extent to which a particular news article is similar to earlier news articles, and an article is regarded as novel if there was no similar article before it. On the other hand, we say a news item receives a lot of attention and thus is highly topical if it is simultaneously reported by many news agencies and read by many investors who receive news from those agencies. The topicality measure for a news item is obtained by counting the number of news articles whose content is similar to an original news article but which are delivered by other news agencies. To check the performance of the indicators, we empirically examine how these indicators are correlated with intraday financial market indicators such as the number of transactions and price volatility. Specifically, we use a dataset consisting of over 90 million business news articles reported in English and a dataset consisting of minute-by-minute stock prices on the New York Stock Exchange and the NASDAQ Stock Market from 2003 to 2014, and show that stock prices and transaction volumes exhibited a significant response to a news article when it is novel and topical.Comment: 8 pages, 6 figures, 2 table

Non-i.i.d. random holomorphic dynamical systems (Research on the Theory of Random Dynamical Systems and Fractal Geometry)

We consider non-i.i.d. random holomorphic dynamical systems whose choice of maps depends on Markovian rules. We show that generically, such a system is stable on average or chaotic with full Julia set. This generalizes a result for i.i.d. random dynamical systems of rational maps. This is a joint work with Hiraki Sumi (Kyoto University)

リーマン球面上の有理写像からなるマルコフ的ランダム力学系

京都大学新制・課程博士博士(人間・環境学)甲第23273号人博第988号新制||人||234(附属図書館)2020||人博||988(吉田南総合図書館)京都大学大学院人間・環境学研究科共生人間学専攻(主査)教授 角 大輝, 教授 上木 直昌, 准教授 木坂 正史学位規則第4条第1項該当Doctor of Human and Environmental StudiesKyoto UniversityDFA

On the stochastic bifurcations regarding random iterations of polynomials of the form z2+cnz^{2} + c_{n}

In this paper, we consider random iterations of polynomial maps $z^{2} + c_{n}$ where $c_{n}$ are complex-valued independent random variables following the uniform distribution on the closed disk with center $c$ and radius $r$. The aim of this paper is twofold. First, we study the (dis)connectedness of random Julia sets. Here, we reveal the relationships between the bifurcation radius and connectedness of random Julia sets. Second, we investigate the bifurcation of our proposed random iterations and give quantitative estimates of bifurcation parameters. In particular, we prove that for the central parameter $c = -1$, almost every random Julia set is totally disconnected with much smaller radial parameters $r$ than expected.Comment: It is slightly updated from the previous versio

POWER LAWS IN REAL ESTATE PRICES DURING BUBBLE PERIODS

How can we detect real estate bubbles? In this paper, we propose making use of information on the cross-sectional dispersion of real estate prices. During bubble periods, prices tend to go up considerably for some properties, but less so for others, so that price inequality across properties increases. In other words, a key characteristic of real estate bubbles is not the rapid price hike itself but a rise in price dispersion. Given this, the purpose of this paper is to examine whether developments in the dispersion in real estate prices can be used to detect bubbles in property markets as they arise, using data from Japan and the U.S. First, we show that the land price distribution in Tokyo had a power-law tail during the bubble period in the late 1980s, while it was very close to a lognormal before and after the bubble period. Second, in the U.S. data we find that the tail of the house price distribution tends to be heavier in those states which experienced a housing bubble. We also provide evidence suggesting that the power-law tail observed during bubble periods arises due to the lack of price arbitrage across regions.

Emergence of power laws with different power-law exponents from reversal quasi-symmetry and Gibrat’s law

To explore the emergence of power laws in social and economic phenomena, the authors discuss the mechanism whereby reversal quasi-symmetry and Gibrat’s law lead to power laws with different powerlaw exponents. Reversal quasi-symmetry is invariance under the exchange of variables in the joint PDF (probability density function). Gibrat’s law means that the conditional PDF of the exchange rate of variables does not depend on the initial value. By employing empirical worldwide data for firm size, from categories such as plant assets K, the number of employees L, and sales Y in the same year, reversal quasi-symmetry, Gibrat’s laws, and power-law distributions were observed. We note that relations between power-law exponents and the parameter of reversal quasi-symmetry in the same year were first confirmed. Reversal quasi-symmetry not only of two variables but also of three variables was considered. The authors claim the following. There is a plane in 3-dimensional space (log K, log L, log Y ) with respect to which the joint PDF PJ (K,L, Y ) is invariant under the exchange of variables. The plane accurately fits empirical data (K,L, Y ) that follow power-law distributions. This plane is known as the Cobb-Douglas production function, Y = AKαLβ which is frequently hypothesized in economics.