Ogaki, Masao



Faculty of Economics (Mita)




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  • 現代経済学の潮流2010

    OGAKI Masao, 2010.09

    Scope: 117-151

Papers 【 Display / hide

  • Granger causality from exchange rates to fundamentals

    Ko Hsiu Hsin, Ogaki Masao

    International Review of Economics and Finance 38   198 - 206 2015.07

    ISSN  1059-0560

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    <p>We use a residual-based bootstrap method to re-examine the finding of the Granger causality relation from exchange rates to fundamentals in Engel and West (2005), in which the relation is taken as evidence for their explanation for the present-value model for exchange rates. Our test results are against the previous findings. The Monte Carlo experiment results suggest that the previous evidence for the causality relation from exchange rates to fundamentals is very likely caused by the size distortion. Hence, the existing Granger causality evidence is not strong enough to validate the new explanation for the present-value model.</p>

  • Normative Behavioural Economics Based on Unconditional Love and Moral Virtue

    Bhatt Vipul, Ogaki Masao, Yaguchi Yuichi

    Japanese Economic Review 66 ( 2 ) 226 - 246 2015.06

    ISSN  1352-4739

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    <p>An important difficulty in many models of behavioural economics is that preferences are endogenous and unstable. Therefore, preferences may not provide the most desirable yardstick to evaluate social states. The present paper proposes unconditional love as a candidate for such a yardstick. The concept of unconditional love, although lofty, is often hard to apply for practical policy recommendations. We propose an intermediary learning stage, where learning to unconditionally love is desirable, and policies that promote such learning are deemed to be good. We illustrate the use of this principle in models of endogenous altruism.</p>

  • Purchasing power parity and the taylor rule

    Kim Hyeongwoo, Fujiwara Ippei, Hansen Bruce E., Ogaki Masao

    Journal of Applied Econometrics  2014

    ISSN  0883-7252

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    <p>It is well known that there is a large degree of uncertainty around Rogoff's consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a system method that combines the Taylor rule and a standard exchange rate model to estimate half-lives. Further, we propose a median unbiased estimator for the system method based on the generalized method of moments with non-parametric grid bootstrap confidence intervals. Applying the method to real exchange rates of 18 developed countries against the US dollar, we find that most half-life estimates from the single equation method fall in the range of 3-5 years, with wide confidence intervals that extend to positive infinity. In contrast, the system method yields median-unbiased estimates that are typically shorter than 1 year, with much sharper 95% confidence intervals. Our Monte Carlo simulation results are consistent with an interpretation of these results that the true half-lives are short but long half-life estimates from single-equation methods are caused by the high degree of uncertainty of these methods. © 2014 John Wiley &amp; Sons, Ltd.</p>

  • A Theory of Exchange Rates and the Term Structure of Interest Rates

    Lim Hyoung Seok, Ogaki Masao

    Review of Development Economics 17 ( 1 ) 74 - 87 2013.02

    ISSN  1363-6669

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    <p>This paper defines the concepts of indirect and direct risk premium effects and analyzes their properties in an exchange rate model. In the model, these effects are endogenously determined in a rational expectations equilibrium. For the effect of an interest rate shock, they have the opposite signs and the indirect risk premium effect can dominate the direct risk premium effect under reasonable parameters. This means that domestic short-term bonds and foreign bonds are complements in the model even though domestic long-term bonds and foreign bonds are substitutes. This model, focusing on the indirect risk premium effect and on the term structure of interest rates, can be combined with a small sample bias approach to explain stylized facts about the forward premium anomaly, which is found for short-term interest rates, but not for long-term interest rates. © 2013 Blackwell Publishing Ltd.</p>

  • Tough love and intergenerational altruism

    Bhatt Vipul, Ogaki Masao

    International Economic Review 53 ( 3 ) 791 - 814 2012.08

    ISSN  0020-6598

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    <p>This article develops and studies a tough love model of intergenerational altruism. We model tough love by modifying the Barro-Becker standard altruism model in two ways. First, the child's discount factor is endogenously determined, so lower childhood consumption leads to a higher discount factor later in life. Second, the parent evaluates the child's lifetime utility with a constant high discount factor. Our model predicts that parental transfers will fall when the child's discount factor falls. This is in contrast with the standard altruism model, which predicts that parental transfers are independent of exogenous changes in the child's discount factor. © (2012) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.</p>

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Research Projects of Competitive Funds, etc. 【 Display / hide

  • 行動経済学による共同体メカニズムの実証研究と理論研究


    MEXT,JSPS, Grant-in-Aid for Scientific Research, 大垣 昌夫, Grant-in-Aid for Scientific Research (A) , Principal Investigator


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