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Asset Pricing Interpretations of the Primary Fiscal Balance : The Case of Japan
http://hdl.handle.net/10086/0002061092
http://hdl.handle.net/10086/0002061092b697fdb0-074d-4cc3-9d24-6f047af9e4e0
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
070_hiasDP-E-153.pdf (1.2 MB)
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| Item type | デフォルトアイテムタイプ（フル）その２(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2025-10-23 | |||||||
| タイトル | ||||||||
| タイトル | Asset Pricing Interpretations of the Primary Fiscal Balance : The Case of Japan | |||||||
| 言語 | en | |||||||
| 作成者 |
SAITO, Makoto
× SAITO, Makoto
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| 寄与者 | ||||||||
| 寄与者タイプ | Editor | |||||||
| 姓名 | Hitotsubashi Institute for Advanced Study, Hitotsubashi University | |||||||
| 言語 | ja | |||||||
| アクセス権 | ||||||||
| アクセス権 | open access | |||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||
| 主題 | ||||||||
| 言語 | en | |||||||
| 主題Scheme | Other | |||||||
| 主題 | primary fiscal balance | |||||||
| 主題 | ||||||||
| 言語 | en | |||||||
| 主題Scheme | Other | |||||||
| 主題 | fiscal sustainability | |||||||
| 主題 | ||||||||
| 言語 | en | |||||||
| 主題Scheme | Other | |||||||
| 主題 | net liability dynamics | |||||||
| 主題 | ||||||||
| 言語 | en | |||||||
| 主題Scheme | Other | |||||||
| 主題 | 𝛽-CAPM | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | Chien et al. (2025) state controversially that the Japanese government has exploited available arbitrage opportunities, and that it has backed its huge liabilities by high 𝛽 financial assets and fiscal claims. A major empirical ground for their statement is that the government reduced its net liabilities substantially by earning enormous capital gains from domestic and foreign risky assets from the mid-2010s through to the mid-2020s. Employing a net liability version of the primary fiscal balance (PFB), we prove theoretically that only if arbitrage opportunities are available to the government, high 𝛽 assets and claims the government is currently holding may improve the discounted PFB. However, we empirically demonstrate that there is no strong evidence for the presence of arbitrage opportunities for the government, and that its net positions bear at most moderate 𝛽 . These theoretical and empirical findings contradict Chien et al.’s statement. | |||||||
| 言語 | en | |||||||
| 出版者 | ||||||||
| 出版者 | Hitotsubashi Institute for Advanced Study, Hitotsubashi University | |||||||
| 言語 | en | |||||||
| 日付 | ||||||||
| 日付 | 2025-10 | |||||||
| 日付タイプ | Issued | |||||||
| 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 | |||||||
| 出版タイプ | ||||||||
| 出版タイプ | VoR | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||
| 関連情報 | ||||||||
| 関連タイプ | isPartOf | |||||||
| 言語 | en | |||||||
| 関連名称 | Discussion paper series ; No. HIAS-E-153 | |||||||
| ページ数 | ||||||||
| ページ数 | 35 | |||||||
| JEL | ||||||||
| 値 | E63 | |||||||
| JEL | ||||||||
| 値 | G12 | |||||||
| JEL | ||||||||
| 値 | H62 | |||||||
