IDEAS home Printed from https://ideas.repec.org/a/wsi/acsxxx/v15y2012isupp0ns0219525912500579.html
   My bibliography  Save this article

Macroeconomic Volatility Under High Accumulation Of Government Debt: Lessons From Japan

Author

Listed:
  • PAUL D. McNELIS

    (Department of Finance, Graduate School of Business Administration, Fordham University, New York, 10019, USA)

  • NAOYUKI YOSHINO

    (Department of Economics, Keio University, Tokyo, Japan)

Abstract

This paper applies Bayesian estimation to an open-economy Dynamic Stochastic General Equilibrium (DSGE) model of Japan, to assess the effects of expanding government debt on interest rates, real exchange rate dynamics, and real sector performance. We find that the emergence of even a small risk premium on government debt will trigger considerable instability in the real and nominal variables. We show that a switch to an exchange-rate rule for monetary policy would considerably moderate the instability induced by a rising risk premium.

Suggested Citation

  • PAUL D. McNELIS & NAOYUKI YOSHINO, 2012. "Macroeconomic Volatility Under High Accumulation Of Government Debt: Lessons From Japan," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(supp0), pages 1-29.
    • Handle: RePEc:wsi:acsxxx:v:15:y:2012:i:supp0:n:s0219525912500579
    DOI: 10.1142/S0219525912500579
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219525912500579
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219525912500579?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. N/A, 1999. "The world economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 168(1), pages 3-3, April.
    2. N/A, 1999. "The world economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 169(1), pages 3-3, July.
    3. N/A, 1999. "The world economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 167(1), pages 3-3, January.
    4. N/A, 1999. "The world economy," National Institute Economic Review, National Institute of Economic and Social Research, vol. 170(1), pages 3-3, October.
    5. Naoyuki Yoshino & Tetsuro Mizoguchi, 2010. "The Role of Public Works in the Political Business Cycle and the Instability of the Budget Deficits in Japan," Asian Economic Papers, MIT Press, vol. 9(1), pages 94-112, Winter/Sp.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Naoyuki Yoshino & Tetsuro Mizoguchi, 2013. "Change in the Flow of Funds and the Fiscal Rules Needed for Fiscal Stabilization," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(1), pages 51-70, January.
    2. Yoshino, Naoyuki & Taghizadeh-Hesary, Farhad & Mizoguchi, Tetsuro, 2018. "Fiscal Policy Conditions for Government Budget Stability and Economic Recovery: Comparative Analysis of Japan and Greece," ADBI Working Papers 851, Asian Development Bank Institute.
    3. Iwata, Yasuharu, 2013. "Two fiscal policy puzzles revisited: New evidence and an explanation," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 188-207.
    4. Naoyuki Yoshino & Tetsuro Mizoguchi & Farhad Taghizadeh-Hesary, 2017. "Optimal Fiscal Policy Rule for Achieving Fiscal Sustainability: A Japanese Case Study," ADB Institute Series on Development Economics, in: Naoyuki Yoshino & Farhad Taghizadeh-Hesary (ed.), Japan’s Lost Decade, chapter 0, pages 59-75, Springer.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Briggs, Ian & Murtagh, Martin & Kee, Robert & McCulloug, Geoffrey & Douglas, Roy, 2017. "Sustainable non-automotive vehicles: The simulation challenges," Renewable and Sustainable Energy Reviews, Elsevier, vol. 68(P2), pages 840-851.
    2. Schnabl Gunther, 2013. "Die japanischen Lehren für die europäische Krise," Zeitschrift für Wirtschaftspolitik, De Gruyter, vol. 62(1), pages 3-22, April.
    3. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
    4. Naoyuki Yoshino & Tetsuro Mizoguchi & Farhad Taghizadeh-Hesary, 2017. "Optimal Fiscal Policy Rule for Achieving Fiscal Sustainability: A Japanese Case Study," ADB Institute Series on Development Economics, in: Naoyuki Yoshino & Farhad Taghizadeh-Hesary (ed.), Japan’s Lost Decade, chapter 0, pages 59-75, Springer.
    5. Andreas Hoffmann & Gunther Schnabl, 2016. "Adverse Effects of Ultra-Loose Monetary Policies on Investment, Growth and Income Distribution," CESifo Working Paper Series 5754, CESifo.
    6. Gunther Schnabl, 2013. "The Macroeconomic Policy Challenges of Balance Sheet Recession: Lessons from Japan for the European Crisis," CESifo Working Paper Series 4249, CESifo.
    7. Gunther Schnabl, 2015. "Monetary Policy and Structural Decline: Lessons from Japan for the European Crisis," Asian Economic Papers, MIT Press, vol. 14(1), pages 124-150, Winter/Sp.
    8. Yoshino, Naoyuki & Taghizadeh-Hesary, Farhad & Mizoguchi, Tetsuro, 2018. "Fiscal Policy Conditions for Government Budget Stability and Economic Recovery: Comparative Analysis of Japan and Greece," ADBI Working Papers 851, Asian Development Bank Institute.
    9. Christoph A. Schaltegger & Martin Weder, 2013. "Will Europe Face A Lost Decade? A Comparison With Japan's Economic Crisis," CREMA Working Paper Series 2013-03, Center for Research in Economics, Management and the Arts (CREMA).
    10. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-81.
    11. Gunther Schnabl, 2016. "Central Banking and Crisis Management from the Perspective of Austrian Business Cycle Theory," CESifo Working Paper Series 6179, CESifo.
    12. Naoyuki Yoshino & Tetsuro Mizoguchi, 2013. "Change in the Flow of Funds and the Fiscal Rules Needed for Fiscal Stabilization," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(1), pages 51-70, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:acsxxx:v:15:y:2012:i:supp0:n:s0219525912500579. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/acs/acs.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.