WEKO3
アイテム
Aggregate Risk in Japanese Equity Markets
http://hdl.handle.net/2261/2526
http://hdl.handle.net/2261/2526bfc6c409-a5f1-486a-90fd-bd505b46b073
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | Aggregate Risk in Japanese Equity Markets | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Braun, R. Anton
× Braun, R. Anton× Shioji, Etsuro |
|||||
著者所属 | ||||||
値 | University of Tokyo | |||||
著者所属 | ||||||
値 | Yokohama National University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In the past decade Japanese households have been buffeted by some big aggregate shocks. Economic growth has slowed, unemployment risk has risen, and asset prices have fallen to levels not seen since the early 1980's. These shocks have hit both households'financial and human capital. This paper develops a framework for identifying the sources of these shocks and a way to measure how household assessments of these risks vary over time. We consider the perspective of a forward-looking risk-averse household and derive expected returns and time-varying risk premia for each risk factor. We then construct times-series of historical expected risk premia using Japanese data on industry returns. An analysis of this data provides four main findings. First, prior to 1984 expected risk premia on identified goods market shocks, monetary policy and financial market risk are all important determinants of industry level expected returns. Second, starting in 1984 households perceive that the risk from financial shocks is increasing and demand higher risk premia to hold this risk. Third, between 1987 and 1990 risk premia on monetary policy are large and positive. Monetary policy is perceived to be adding to financial risk. Fourth, in 1990 as expected risk premia on financial risk shoot up, expected risk premia on monetary policy shocks turn negative for all industry returns. As stock prices collapse between 1990 and 1995, monetary policy shocks play an important role in hedging risk emanating from the financial sector. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 2003-CF-250, 発行日 2003-12 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題Scheme | NDC | |||||
主題 | 330 | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
値 | Center for International Research on the Japanese Economy | |||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf250ab.html |