細野 薫

Abstract This study examines the effects of the interaction of a size-dependent tax policy that exempts firms whose stated capital is at or below a certain threshold from taxation and financial frictions on firm growth and financing. Our empirical findings can be summarized as follows: First, firms with lower productivity, a positive potential tax benefit, and smaller stated capital are more likely to conduct the cash-out capital reduction to or below the threshold in response to the policy. Second, this capital reduction causes ex-post lower firm growth and fewer debt. Third, such causal effects are observed for firms with less cash flow ratios. These results indicate that the interaction between a size-dependent tax policy and financial constraints deters firm growth. Plain English Summary The interaction of a size-dependent tax policy that exempts firms whose stated capital is at or below a certain threshold from taxation and financial frictions deters firm growth. We use the introduction of the pro forma standard taxation system in Japan that exempts firms (SMEs), whose stated capital is at or below a threshold, from taxation to empirically examine how firms react to this institutional change and how such a reaction systematically affects their financing and real outcomes. We show that size-dependent tax policies can have a significant effect on firms’ growth and financing through financial constraints. It indicates that firms decide whether to obtain an SME status by considering the trade-off between a more severe borrowing constraint and a smaller tax payment. The results obtained in this study indicate that such indirect effects of a size-dependent tax policy on firm dynamics should be considered when designing the policy. Moreover, governments should understand that an institutional change in their tax systems generates a heterogeneous reaction from firms and thus has heterogeneous effects on their dynamics.

Abstract We estimate the causal effects of a tax incentive for specific productivity-enhancing equipment introduced in 2014 for Japanese small and medium-sized enterprises (SMEs). Using firm-level panel data, we find, first, that the introduction of the tax incentive did not on average increase the capital investment rate of SMEs eligible for the tax incentive possibly due to the small number of firms using the incentive. Second, despite this finding, the firms using the tax incentive increased their capital investment rate and improved labor productivity more than the comparable firms holding the stated capital close to but more than the criterion of SMEs did. Third, firms using the tax incentive did not increase capital intensity. Fourth, more financially constrained firms using the tax incentive increased their capital investment rate to a greater degree. These results show that the use of the tax incentive mitigates financial constraints in upgrading capital.

Using Japanese firm-level panel data spanning from 2000 to 2013, we estimate industry-level production functions that explicitly take into account the complementarity and substitutability between tangible and intangible capital. The estimation results show that tangible and intangible capitals are complementary in most industries although the degree of complementarity substantially varies across industries. We further find that the relation between tangible and intangible capital in the production function accounts for the relation between firm-level tangible capital and intangible capital investments. Namely, firms’ tangible investments are more strongly positively associated with intangible investments as the degree of the complementarity between the tangible and intangible assets becomes larger. These findings show the necessity to take into account the relation between the dynamics of tangible and intangible capital in terms of their complementarity for precisely understanding the mechanisms governing a firm’s growth.

This article investigates the effect of banks' lending capacity on firms' investment. To identify exogenous shocks to loan supply, we utilize the natural experiment provided by Japan's Great Hanshin-Awaji earthquake in 1995. Using a unique data set that allows us to identify firms and banks in the earthquake-affected areas, we find that the investment ratio of firms located outside the earthquake-affected areas but having a main bank inside the areas was significantly smaller than that of firms located outside the areas and having a main bank outside the areas. Our findings suggest that loan supply shocks affect firm investment.

In this paper, we investigate Whether financial shocks to firms affect their probability of bankruptcy. We also examine whether these shocks affect the natural selection of the firms, whereby more efficient firms are less likely to go bankrupt. By using the data on the bankruptcy of firms after the Great Tohoku Earthquake, we examine the impact of the damage to lender banks on the firms' probability of bankruptcy. To extract the impact of purely exogenous financial shocks on bankruptcy, we focus on firms located outside the earthquake-affected area but that transact with banks located inside the area. Our findings somewhat counterintuitively suggest that a damaged bank reduces the probability of bankruptcy and weakens the natural selection of firms. We further examine the impact of the injection of public capital into damaged banks and obtain some evidence that the injection reduces the probability of the bankruptcy of their borrowers and weakens the natural selection. (C) 2015 Elsevier B.V. All rights reserved.

本稿は, 不動産市場が経済活動に影響を及ぼす経路である銀行貸出のチャネルに注目し, 不動産価格の変化が銀行貸出にもたらす影響を, リーマンショックの時期を含む2007年から2013年にかけての日本の銀行レベルデータと不動産取引価格に係る情報とを用いて明らかにする. 本稿の特徴は, 銀行に生じる不動産価格のショックが一様であると仮定する Gan(2007b) とは異なり, 毎年2万地点以上について公表される公示地価情報を用い, 銀行にとっての取引先企業の立地を踏まえた不動産価格を計測した上で, その銀行貸出への影響を計測する点, 不動産価格が不動産関係貸出とそれ以外の貸出に及ぼす影響をそれぞれ観察して, 銀行貸出チャネルの経路をより詳細に理解する点にある. 得られた結果は以下のとおりである. 第1に, 不動産担保評価に広く用いられてきた公示地価に基づいて銀行が直面する不動産価格を算出すると, その上昇は, 銀行の自己資本比率を上昇させてその資金制約を緩和するだけでなく, 総貸出の増加をもたらす. この結果は, 銀行貸出チャネル仮説と整合的である. 第2に, 銀行が直面する不動産価格の上昇は, 不動産関係貸出を有意に増加させる一方で, それ以外の貸出を有意に増加させることはなく, 特に不動産担保を付けない貸出を限界的にではあるが減少させる. これらの結果は, 銀行が貸出ポートフォリオの中で不動産関係貸出とそれ以外の貸出を代替しているという仮説とは整合的である一方で, 不動産価格が下落すると不動産関係貸出は減少するという点で, 銀行による追い貸し仮説とは整合的ではない.Real estate price shocks potentially have impacts on banks' balance sheets, their lending behavior, and eventually economic activities. We examine the existence of this bank lending channel in Japan during the 2007-2013 period covering the global financial crisis. In contrast with Gan (2007b) that assumes uniform real estate price shocks after the bubble period in Japan, we identify heterogenous real estate price shocks that each bank faces by summarizing the land prices of firms with which the bank has transaction relationships. For this purpose, we employ a comprehensive database on firm-bank relationships as well as information on land prices for more than 20 thousand locational points in Japan to find the following: First, a rise in land prices increases bank capital and total bank loans, which is consistent with the bank lending channel hypothesis. A rise in land prices also leads to a significant increase in real estate loans and loans backed by real estate collateral. Second, a rise in land prices leads to no significant increase in non-real estate loans, and a marginally significant decrease in loans without real estate collateral. This evidences weakly for the portfolio reallocation story between real estate and non-real estate loans but against the forbearance lending story.

本稿の目的は, 企業が保有する資産の, 担保としての価値の減少が, 当該企業のdebt capacityを小さくする結果, 金融機関からの借入を難しくする, という所謂「担保チャンネル」が存在するか否かを実証的に検討することである. 本稿の分析上の特徴は, 東日本大震災が企業の保有資産にもたらした担保価値の毀損, という企業にとって純粋に外生的なショックに注目し, 既存研究とは異なる形で担保チャンネルの存在について識別を行っている点にある. 分析の結果, 震災による有形固定資産の価値毀損が大きいほど借入が難しいことが発見された. この結果は, 担保チャンネルが存在することを示唆している.The aim of this paper is to study the collateral channel which predicts that the reduction in the value of firms' physical assets leads to their smaller debt capacity, hence to borrowing constraints. As a unique feature of our approach, we employ a quasi-natural experiment approach and focus on a purely exogenous shock on firms' collateral values stemming from the damages associated with the Great Tohoku Earthquake, which enables us to identify the collateral channel in a much cleaner manner than conventional approaches. Our estimates show that firms that suffered from damages on their tangible fixed assets were more likely to face difficulty in borrowing from financial institutions. This finding supports the existence of the collateral channel.

本論文では，1994年度から2002年度までの非上場企業を含む1590事例の企業合併のデータベースを作成し，企業の合併前後のパフォーマンスの変化について分析を行った．Propensity Score Matchingの方法を用い，合併元企業の合併直前から合併後におけるパフォーマンス変化を計測すると，TFPレベル，ROA，キャッシュフロー比率といった指標が製造業では落ち込む一方，非製造業では改善がみられた．合併相手のパフォーマンスや合併作業の影響を除いて考えるため，合併直後からその後におけるパフォーマンスの変化をみると，製造業についてもTFP，キャッシュフロー比率，ROAにおいて改善がみられた．また，合併直後からのパフォーマンス変化を更に合併の形態に分けて分析すると，製造業の場合，関係会社間でTFP，キャッシュフロー比率，異業種間の合併ではROAの改善が有意であることがわかった．This paper analyzes changes in corporate performance before and after mergers, using a database of 1,590 corporate mergers of both listed and unlisted companies which took place between 1994 and 2002. When we measure changes in the performance of companies from immediately before to immediately after mergers after controlling the performance of target companies using the Propensity Score Matching method, we find significant falls in indicators such as the TFP level, ROA and the cash flow ratio in manufacturing industries. On the other hand, when looking at changes in performance over the post-merger period, we find that TFP level, ROA and the cash flow ratio improved both in manufacturing and non-manufacturing industries.

This paper investigates fiscal sustainability of Japan by providing a dynamic stochastic general equilibrium (DSGE) model that features the low interest rate of the government bond relative to the economic growth rate to mimic the actual data. We evaluate fiscal sustainability by investigating whether the expected path of the debt-to-GDP ratio stabilizes or increases without bound. The debt-to-GDP ratio depends crucially on the projected growth rate and the fiscal policy rule. If the government does not react to the current fiscal crisis, the debt-to-GDP ratio will increase without bound, and then the fiscal policy is not sustainable. If the fiscal rule uses Bohn's (1998) idea that involves the response of the primary surplus to the debt, sustainability improves. This rule provides a useful and realistic reform plan in the short and long runs. J. Japanese Int. Economies 25 (4) (2011) 434-446. Keio University, Mita 2-15-45, Minato-ku, Tokyo 108-8345, Japan; Gakushuin University, Mejiro 1-5-1, Toshima-ku, Tokyo 171-8588, Japan. (C) 2011 Elsevier Inc. All rights reserved.

The purpose of this paper is to investigate the fiscal sustainability of Japan by applying a dynamic stochastic general equilibrium model to the Japanese economy. By introducing intermediation costs into the model, we succeed in explaining the observed relationship between the interest and GDP growth rates, which is crucial in testing for sustainability. When the projected real growth rate is 2.5%, the average real interest rate becomes 2.57%, and the debt-to-GDP ratio gradually increases stochastically so that government debt is not sustainable. To recover sustainability, the primary surplus must be 0.2% of GDP.

This paper empirically investigates how ownership structure of Japanese firms affects the risk-return profiles of their stocks. We find significant relationships between ownership and firms' operational performance, i.e., the ownership of financial institutions is associated with poor performance while the ownership of large shareholders is associated with the opposite. However, comparing the returns on portfolios sorted by ownership, we find no significant relationships between ownership and the rates of returns. Specifically, excess returns are insignificant after controlling for three risk factors (i.e., market, size, and value) while factor loadings are significantly different across portfolios, i.e., the ownership of financial institutions is associated with low-risk, low-return portfolios while the ownership of large shareholders is associated with the opposite.

銀行間市場等に流動性コストが存在する場合には，銀行は準備預金の保有によって流動性コストを節約できるため，準備預金供給の増加が名目金利の低下（流動性効果）をもたらしうる．我々は，まず，所要準備制約のもとでの銀行の最適化条件から準備預金需要関数を導出し，次に1994年８月から1999年9月までの日次データを用いて，準備預金需要を計測した．この結果，97年10月の金融危機から99年2月のゼロ金利政策採用までの間のみ，流動性効果が存在したことが明らかになった．これは金融危機によってコール市場や債権市場における流動性コストが高まったことによると考えられる．他方，この時期を除くと，流動性効果は認められなかった．これは，コール市場や債権市場における流動性コストが極めて低かったことを示唆している．また，99年2月以降は，コールレートがほぼゼロにまで低下したことも影響している可能性がある．If liquidity costs exist in inter-bank markets or security markets, bank reserves are beneficial in reducing these costs. An increase in bank reserves can lower nominal interest rates (liquidity effects). We develop a model of the demand for reserves from the bank's optimization condition under the reserve requirement regulation. We also test whether liquidity effects existed in the Japanese inter-bank market using daily data over August 1994 through September 1999. We find that liquidity effects existed only during the period of severe banking crisis, i.e., October 1997 through February 1999. Except for this period, liquidity costs seem to have been negligible.