Asset price fluctuations in Japan: 1980 - 2000

Arbeitspapier

A notable feature of the Japanese economy in the last two decades is the large fluctuations in asset prices. We examine whether they can by accounted for by a stochastic growth model with habit persistence and costly capital adjustment. For the real estate price, people’s expectations on the trend growth rate in the future plays a crucial role. In particular, our model with adaptive expectations about future productivity growth can reproduce the aggregate land price. However, even with habit persistence and costly capital adjustment, a substantial portion of the stock price fluctuations is left unexplained, and a puzzle remains. Our result suggests that the price of installed capital is close to zero or that people don’t take into account the value of capital when trade shares.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2003-25

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Business Fluctuations; Cycles ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Asset Pricing; Trading Volume; Bond Interest Rates ; Economic Growth and Aggregate Productivity: General ; Economywide Country Studies: Asia including Middle East
• Thema: Japanese economy ; land prices ; stock prices ; adaptive expectations ; productivity growth ; Börsenkurs ; Bodenpreis ; Adaptive Erwartung ; Produktivität ; Stochastisches Wachstumsmodell ; Japan

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Nakajima, Tomoyuki
• Ereignis: Veröffentlichung
• (wer): Brown University, Department of Economics
• (wo): Providence, RI
• (wann): 2003

Weitere Informationen

• Handle: http://hdl.handle.net/10419/80203
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ