Journal: Journal of International Money and Finance 10, No.4, December 1991.
Authors: Yasushi Iwamoto and Akihisa Shibata

Abstract: This paper analyzes the effects of capital income taxation on the current, account, nothing the difference between two international tax rules: the residence principle and the source principle. An increase in the residence tax rate reduces foreign asset holdings in the long run and creates a current account deficit. On the other land, an increase in the source tax rate increases long-run foreign asset holdings. Because the King-Fullerton (1984) effective tax rate responds positively to the increase in both taxes, it does not predict the effects of taxation on the direction of international capital investments.
 

Journal: Journal of International Economics 33, No.1/2. August 1992.
Authors: Yoshiyasu Ono and Akihisa Shibata

Abstract: Using a two-country dynamic optimization model with capital accumulation. we explore the effect of such supply-side changes as a risen in productivity and a reduction in the corporate tax rate on the equilibrium path and the welfare of the two countries. The welfare effect consists of a tax distortion term and a welath term. Those supplu-side changes in the creditor county increase its welfare but unambiguously decrease the debtor's welfare, as capital moves from the debtor country to the credite country.

Journal: Journal of Monetary Economics 30, No.1, October 1992.
Authors: Shinsuke Ikeda and Akihisa Shibata

Abstract: In a continuous-time model of stock prices with dividends growing stochastically we examine bubbles which depend on market fundamentals. The fundamentals dependency stabilizes bubble dynamics. They can be stochastically stable, saddle-point stable, or unstable. Stock prices with these bubbles can be less volatile than fundamentals prices. These bubbles exhibit various transition patterns, such as nonmonotonic movements and monotonic  shrinkage in magnitude and volatility. The sign of their correlation with market fundamentals is time-varying. We introduce crash risks, permitting bubbles to crash partially and display various stochastic process switching. Crash risks affect the stochastic stability of bubbles.

Journal: Scandinavian Journal of Economics 95, No.4, December 1993.
Authors: Koichi Futagami, Yuichi Morita and Akihisa Shibata

Abstract: This paper develops an endogenous growth model with productive public capital along with private capital in a sprit similar to that of Barro (1990). Since our model introduces two stock variables, it has transitional dynamics, unlike most of the previous studies on endogenous growth including Barro's, where concerns are restricted to steady state analysis. First, we show that the transitional path is unique and stable. Second, the character of the transitional path is explored. Third, we show that the optimal tax rate is smaller than the rate which maximizes the national growth rate with a log-linear utility function.

Journal: Economics Letters 44, No.4, April 1994.
Authors: Yuichi Fukuta and Akihisa Shibata

Abstract: This paper tests Mankiw's (JME, 1987) optimal seigniorage model. Under quadratic cost functions of taxation and inflation, the rates of inflation and taxes have unit roots and they must be cointegrated. The hypothesis of optimal policy is rejected in five countries.

Journal: Journal of International Economics 38, No.3/4, May 1995.
Authors: Shinsuke Ikeda and AKihisa Shibata

Abstract: Using a monetary model of exchange rate determination, we study exchange rate dynamics with bubbles which depend on stochastic market fundamentals. These dynamics can be either stochastically stable, or unstable; and either monotonic or non-monotonic (including cyclic).  In an extreme case, they converge with probability one and exhibit cyclic movements. Implications for the analysis of time-dependent regime shifts are also explored. Exchange rates with bubbles likely to appear less volatile than the fundamentals in finite samples. Both the variance bounds and cointegration tests might thus be in effective in testing the absence of bubbles under fundamentals uncertainty.

Journal: Economica 62, No.246, May 1995.
Authors: Kazuo Mino and Akihisa Shibata

Abstract: This paper investigates the role of monetary policy in economic growth. Using an infinitely lived overlapping-generations model with a simple convex technology that can yield endogenous growth, we show that money supply behavior of the government may have significant effects on long-run economic growth. In addition to the effect on long-run growth rate of the economy, the policy may determine whether the economy stays in the exogenous growth process restricted by the growth rate of labour supply, or realizes the endogenous growth that sustains continuous growth of per capita income and consumption.

Journal: Journal of Economic Behavior and Organization 36, May 1998.
Authors: Koichi Futagami and Akihisa Shibata

Abstract: Assuming that the utility of each agent depends on its relative wealth position in the society, this paper constructs an endogenous growth model. It is shown that even if the subjective discount rates differ across agents, there exists a unique balanced growth equilibrium in which each agent owns a positive share of the world wealth. It is also shown that if the agents are identical then an increase in savings incentives always raises the long run growth rate but if they are heterogeneous then an increase in savings incentives may lower the long run growth rate.

Title: Capital Mobility in the World Economy: An Alternative Test

Journal: Journal of International Money and Finance 17 October 1998.
Authors: Akihisa Shibata and Mototsugu Shintani

Abstract: This paper proposes a new measure and test of international capital mobility. In order to investigate capital flows, we utilize a small open economy version of Campbell and Mankiw's [NBER Macroeconomic Annual (1989) 185-216] permanent income model. Our capital mobility measure focuses on the correlation between the country's consumption and net output instead of the correlation between domestic saving and domestic investment proposed by Feldstein and Horioka [Economic Journal 90 (1980) 314-329]. The model is estimated for 11 OECD countries. The results suggest that the null hypothesis of perfect capital mobility cannot be rejected for more than a half of these countries. On the other hand, some kind of capital mobility constraints are detected for several countries including the United States and Japan.

Title: Foreign Tax Credit and the Current Account

Journal: International Tax and Public Finance 6, May 1999.
Authors: Yasushi Iwamoto and Akihisa Shibata

Abstract: This paper provides a general equilibrium analysis of the effects of a foreign tax credit (FTC) provision on current account dynamics of a small, open economy. Because of the asymmetric functioning of FTC, the rate of return on domestic capital is determined by the arbitrage of the marginal investor, the investor in the creditor country. Thus a change in the home country capital income tax trate causes different responses in long-run foreign asset holdings and the current account dynamics depending upon whether the country is a net creditor or debtor and upon whehter the country has a higher tax rate than the foreign country or not.

Title: Welfare Effects of Bubbles in an Endogenous Growth Model

Journal: Research in Economics 53, December 1999.
Authors: Koichi Futagami and Akihisa Shibata
 

Abstract: This paper examines welfare effects of asset bubbles in an endogenous growth model with overlapping generations. In our model, a steady-state equilibrium with bubbles exists only if the presence of bubbles raises the welfare level of the initial generation. Bubbles can be beneficial to generations born at relatively early dates, whereas they reduce the welfare level of sufficiently distant future generations. Increasing the rate of supply of the useless asset improves the lifetime utilities of future generations.

Journal: Japanese Economic Review  51, June 2000.
Authors: Koichi Futagami and Akihisa Shibata
 

Abstract: This paper examines the possibility of the existence of bubbles and their effects on the growth rate by using an endogenous growth model. A necessary and sufficient condition for the existence of steady state equilibrium with bubbles is provided. If non-zero rates of useless asset supply is allowed, a steady state equilibrium with bubbles exists even if the growth rate of the bubbleless equilibrium is lower than the market interest rate. The national growth rate with bubbles depends positively on the rate of supply of the useless asset. Dynamic properties of the steady state with bubbles are also analyzed.

Journal: Japanese Economic Review  51, September 2000.
Authors: Kazuo Mino and Akihisa Shibata

Abstract: This paper studies the relation between money supply and long-run economic growth in the context of an endogenous growth model with overlapping generations. We present detailed analyses of growth and welfare effects of monetary expansion under alternative money supply rules. It is shown that although monetary expansion has a growth enhancing effect in the long run, in general it is not a Pareto improving policy. We also pay much attention to the presence of multiple equilibria in endogenous money supply regimes.

Journal: Journal of Mathematical Economics 35, No.1, February 2001.
Authors: Akiomi Kitagawa and Akihisa Shibata

Abstract: This paper presents a simple overlapping generations model of endogenous business cycles, in which cycles emerge as a result of long gestation of investment. The key mechanism to generate cycles in this model can be regarded as a "linearity", rather than non-linearities resulting from non-convexities in technology or preference, asymmetric information in financial markets, multi-sectors of production, or the existence of paper assets, which have played a crucial role in the previous literature. Moreover, if the return on investment technology is sufficiently low, the economy has indeterminate equilibria, each of which converges to a distinct n-period cycle.

Journal: Canadian Journal of Economics 34, November 2001.
Authors: Yoshiyasu Ono and Akihisa Shibata

Abstract: This paper investigates dynamic impacts of a temporary fiscal expansion in a two-sector growth model. If the expansion falls on consumption-investment commodities, capital accumulation can be either promoted or reduced and the short-term interest rate unambiguously rises. If the expansion falls on consumption commodities, capital accumulation is crowded out and the short-term interest rate declines during the period of the fiscal expansion. It is also shown that fiscal spending on the consumption commodity can move the short- and long-term interest rates in opposite directions.

Journal: Metroeconomica 53, November 2002.
Author: Akihisa Shibata

Abstract: A dynamic game growth model with infrastructure capital is analyzed and it is shown that the pattern of growth can be either endogenous or exogenous depending on agents' commitment behavior. If the agents commit their future actions, there is a unique Nash equilibrium with endogenous growth. However, if they cannot commit their future actions and they condition their actions on the state variable at each time, then for any level of infrastructure capital there exist infinitely many equilibria: some of them exhibit endogenous growth and others show no growth in the long run (or even in the short run).

Journal: Economic Theory, forthcoming.
Authors: Akiomi Kitagawa and Akihisa Shibata

Abstract: A simple overlapping generations model with investment gestation lags is constructed. The model shows that, if the technology is of the AK type with capital-deepening externalities, the existence of investment gestation lags always generates permanent cyclical fluctuations in the economic growth rate. The mean growth rate is shown to be positive if the external effect is strong. The model also shows that, if the production technology takes the Cobb-Douglas form, there exists a unique steady state in which the economy exhibits neither cyclical fluctuations nor long-run growth.

Journal: Journal of International Money and Finance, forthcoming.
Authors: Takuma Kunieda and Akihisa Shibata

Abstract: This paper constructs a small open economy version of the Kiyotaki and Moore (1997) model along the line developed by Kasa (1998) and derives a closed-form solution of the current account dynamics. Using
the solution, a null hypothesis of no credit constraints is tested for the Japanese economy. The empirical results show that the null hypothesis is strongly rejected and that the estimated signs of the parameters are consistent with the model. The Kiyotaki and Moore model gives an adequate description of the Japanese economy.

Title: Fiscal Spending, Relative Price Dynamics, and Welfare in a World Economy

Journal: Reviw of International Economics, forthcoming.
Authors: Yoshiyasu Ono and Akihisa Shibata

Abstract: This paper analyzes the dynamics of a 2×2×2 Heckscher-Ohlin model where foreign asset holdings and capital accumulation are independently determined by optimizing agents. Each country has two production sectors, both of whose products are used for consumption, and an investment sector, which uses one of the two commodities to accumulate real capital. In this setting we examine the effects of fiscal spending on the equilibrium paths of interest rates and prices and each country's lifetime utility. The welfare effect is found to consist of the static terms-of-trade effect, the dynamic foreign asset effect and the direct income-loss effect.

Title: Budget Deficits and Economic Growth

Journal: Public Finance 53, No.3-4, 1998 (Published in 2003)
Authors: Koichi Futagami and Akihisa Shibata

Abstract: This paper investigates the sustainability and welfare effects of government budget deficits by using a simple endogenous growth model with overlapping generations. It is shown that, if the initial volume of government debt and the ratio of primary budget deficits to GDP are not large, then there can exist two steady-growth equilibria, one of which is associated with a higher growth rate and the other of which is associated with a lower growth rate. It is also shown that changes in government spending cannot be Pareto improving although they affect the long-run growth rate and each generation's utility.

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