The Japanese government has amassed a huge amount of gross public debts over the past several decades. However, previous empirical works dealing with vector auto-regression (VAR) have not considered the effect of debt on fiscal policy and the macro economy. In this paper, we incorporate debt...

This paper empirically investigates the changing dynamics of fiscal policy shocks to the macroeconomy in Japan. By estimating a Markov-switching vector-autoregressive (VAR) model, regime switches in both automatic fiscal responses to output and discretionary fiscal shocks are investigated. The...

Using 48 country data for the period 1800-2010, we empirically investigate the effect of hyperinflations on the public debt, the primary surplus, and the real economy. Estimating a panel vector-autoregressive (VAR) model, we find that (i) hyperinflations permanently reduce public debt-to-GDP...

This paper theoretically analyzes the Early Warning System (EWS) of the IMF based on the principal-agent model. We search for trade-off of the optimal contract of the IMF under the interim intervention and the noise of the signal. The main findings are as follows. First, when the net loss coming...

Why does the hours worked show a decreasing pattern in the postwar Japanese economy? This paper answers this question in the background of the changing pattern of government spending and tax-imposing behaviors. We construct and simulate a standard optimal growth model with the following key...

Econometric evidence suggests the existence of two dynamics in the postwar U.S. housing market: (i) housing rental and purchase prices co-move positively in response to productivity shocks, and (ii) the purchase price exhibits much larger volatile movements than the rental price in response to...