Search results for: Masakatsu Okubo

Items from 1 to 8 out of 8 results

article

On the computation of detection error probabilities under normality assumptions

Masakatsu Okubo

Economics Letters > 2018 > 171 > C > 106-109

This note describes a simple method for computing detection error probabilities under log-consumption models with i.i.d. Gaussian errors. The method is applicable to a class of models widely used in the literature, including the random walk, trend-stationary, long-run risk, and idiosyncratic risk models.

article

Earnings Dynamics and Profile Heterogeneity: Estimates from Japanese Panel Data

Masakatsu Okubo

Japanese Economic Review > 66 > 1 > 112 - 146

The recent empirical work on earnings processes using US panel data finds that ignoring heterogeneity in earnings profiles among individuals leads to an upward bias in the autoregressive parameter of earnings shocks. It then argues that the existing assumptions in incomplete markets and heterogeneous‐agent models, almost all of which require highly persistent earnings shocks and no individual‐specific...

article

DYNAMIC WELFARE COST OF STAGNATION: AN ALTERNATIVE MEASURE TO THE LUCAS–OBSTFELD MODEL

TATSUYOSHI MIYAKOSHI, MASAKATSU OKUBO, JUNJI SHIMADA

Pacific Economic Review > 16 > 2 > 168 - 191

The present paper proposes an alternative measure to the Lucas–Obstfeld model to analyze the welfare costs of stagnation, and provides a practical illustration of both the Lucas–Obstfeld model and the alternative model. Compared with the Lucas–Obstfeld model, the alternative model can evaluate: (i) whether policy was implemented in a timely fashion; (ii) whether the policy cost was expensive compared...

article

The Intertemporal Elasticity of Substitution: An Analysis Based on Japanese Data

MASAKATSU OKUBO

Economica > 78 > 310 > 367 - 390

This paper investigates whether the intertemporal elasticity of substitution (IES) for Japan possesses similar properties to that found for the United States in the literature. As the existing empirical findings are mixed, there is no clear consensus. This paper uses a model with both production and non‐separability between nondurables and durables in order to control for possible factors that cause...

article

Dynamic welfare costs of the 1997 Asian crisis

Tatsuyoshi Miyakoshi, Masakatsu Okubo, Junji Shimada

Empirical Economics > 2009 > 37 > 1 > 73-92

This paper measures and investigates the welfare costs, other effects and recovery process of the 1997 Asian crisis, and evaluates the impact of the policy program supported by the International Monetary Fund (IMF). The main findings are as follows. First, the ratio of ‘whole cost’ to the level of consumption in a hypothetical economy is high: 50% for Indonesia, 39% for Hong Kong, 36% for Korea, 30%...

article

Intertemporal substitution and nonhomothetic preferences

Masakatsu Okubo

Economics Letters > 2008 > 98 > 1 > 41-47

This study uses a model with nonseparable and nonhomothetic preferences to estimate the intertemporal elasticity of substitution (IES). We show that, while the assumption of homotheticity is strongly rejected, the estimated IES is positive and significant.

article

Intratemporal substitution between private and government consumption: the case of Japan

Masakatsu Okubo

Economics Letters > 2003 > 79 > 1 > 75-81

In this paper, we use Japanese quarterly data to examine the relationship between private and government consumption. We apply a two-step estimation procedure, and find additional evidence that the two types of consumption may be complements or unrelated.

article

Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction

Masakatsu Okubo

Journal of The Japanese and International Economies > 2002 > 16 > 2 > 253-278

This paper reexamines two versions of the permanent income hypothesis derived from R. E. Hall (1978, J. Polit. Econ.86, 971–987) and R. G. King, C. L. Plosser, J. H. Stock, and M. W. Watson (1991, Amer. Econ. Rev.81, 819–840) using Japanese quarterly data. The main focus is on the relationship between stochastic and deterministic trends of consumption and income. It is found that the deterministic...

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