IDEAS home Printed from https://ideas.repec.org/a/bla/jecrev/v54y2003i3p253-274.html
   My bibliography  Save this article

Sunspot Fluctuations in Asset Prices and Business Cycles in Japan Over 1986–1999

Author

Listed:
  • Tomoyuki Nakajima

Abstract

If individuals receive utility directly from the value of their wealth, equilibrium may be indeterminate so that sunspot equilibria may exist. In such an equilibrium, the price of an asset may fluctuate stochastically, as a result of spontaneous revisions of agents’ expectations. A neoclassical growth model with such a utility function is used to show that those fluctuations in asset prices can generate co‐movement among output, consumption and investment, even without assuming non‐convex technology. In particular, numerical results show that the model can replicate well the business cycles in Japan over the period 1986–1999.

Suggested Citation

  • Tomoyuki Nakajima, 2003. "Sunspot Fluctuations in Asset Prices and Business Cycles in Japan Over 1986–1999," The Japanese Economic Review, Japanese Economic Association, vol. 54(3), pages 253-274, September.
    • Handle: RePEc:bla:jecrev:v:54:y:2003:i:3:p:253-274
    DOI: 10.1111/1468-5876.00258
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-5876.00258
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-5876.00258?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
    ---><---

    References listed on IDEAS

    as
    1. Christopher D Carroll, 1997. "Why Do the Rich Save So Much?," Economics Working Paper Archive 388, The Johns Hopkins University,Department of Economics.
    2. Benhabib, Jess & Farmer, Roger E.A., 1999. "Indeterminacy and sunspots in macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 6, pages 387-448, Elsevier.
    3. Nicholas Barberis & Ming Huang & Tano Santos, "undated". "Prospect Theory and Asset Prices," CRSP working papers 494, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    4. Lawrence J. Christiano & Jonas D. M. Fisher, 1998. "Stock market and investment good prices: implications of macroeconomics," Working Paper Series WP-98-6, Federal Reserve Bank of Chicago.
    5. Yoshikawa, Hiroshi, 1995. "Macroeconomics and the Japanese Economy," OUP Catalogue, Oxford University Press, number 9780198233268.
    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. Karnizova, Lilia, 2010. "The spirit of capitalism and expectation-driven business cycles," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 739-752, September.
    2. Yasuo Hirose, 2008. "Equilibrium Indeterminacy and Asset Price Fluctuation in Japan: A Bayesian Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 967-999, August.
    3. Marco Airaudo, 2017. "Complex stock price dynamics under Max Weber’s spirit of capitalism hypothesis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(1), pages 47-73, June.
    4. Lilia Karnizova, 2013. "Letting the speculative and the news views of the Japanese business cycle compete," Economics Bulletin, AccessEcon, vol. 33(2), pages 1146-1158.
    5. Takashi Kamihigashi, 2008. "The spirit of capitalism, stock market bubbles and output fluctuations," International Journal of Economic Theory, The International Society for Economic Theory, vol. 4(1), pages 3-28, March.

    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. Normann, Marcel & Langer, Thomas, 2001. "Altersvorsorge, Konsumwunsch und mangelnde Selbstdisziplin: Zur Relevanz deskriptiver Theorien für die Gestaltung von Altersvorsorgeprodukten," Sonderforschungsbereich 504 Publications 01-40, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    2. Normann, Marcel & Langer, Thomas, 2001. "Altersvorsorge, Konsumwunsch und mangelnde Selbstdisziplin : zur Relevanz deskriptiver Theorien für die Gestaltung von Altersvorsorgeprodukten," Papers 01-40, Sonderforschungsbreich 504.
    3. Thomas Lubik, 2003. "Investment Spending,Equilibrium Indeterminacy and the Interactions of Monetary and Fiscal Policy," Economics Working Paper Archive 490, The Johns Hopkins University,Department of Economics.
    4. Guo, Jang-Ting & Lansing, Kevin J., 1998. "Indeterminacy and Stabilization Policy," Journal of Economic Theory, Elsevier, vol. 82(2), pages 481-490, October.
    5. Barbara Liberda, 1999. "Household Saving in Poland," CASE Network Studies and Analyses 0187, CASE-Center for Social and Economic Research.
    6. Kawai, Eizo, 2001. "Re-examination of wage, employment, and hours adjustments: what is crucial for differences in the adjustments?," Japan and the World Economy, Elsevier, vol. 13(4), pages 483-497, December.
    7. Grossmann, Volker, 2008. "Risky human capital investment, income distribution, and macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 30(1), pages 19-42, March.
    8. Stefano Bosi & Thomas Seegmuller, 2009. "On local indeterminacy and endogenous cycles in Ramsey models with heterogeneous households," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 8(1), pages 53-58, April.
    9. Esther Fernández & Rafaela Pérez Sánchez & Jesús Ruiz, 2003. "Environmental fiscal policies might be ineffective to control pollution," Economic Working Papers at Centro de Estudios Andaluces E2003/48, Centro de Estudios Andaluces.
    10. Mark Weder, 2006. "A heliocentric journey into Germany's Great Depression," Oxford Economic Papers, Oxford University Press, vol. 58(2), pages 288-316, April.
    11. Maxime Menuet & Alexandru Minea & Patrick Villieu, 2019. "The Peril of Fiscal Rules," Post-Print hal-02314996, HAL.
    12. Angelo Antoci & Marcello Galeotti & Paolo Russu, 2014. "Global analysis and indeterminacy in a two-sector growth model with human capital," International Journal of Economic Theory, The International Society for Economic Theory, vol. 10(4), pages 313-338, December.
    13. Matthias S. Hertweck & Vivien Lewis & Stefania Villa, 2021. "Going the Extra Mile: Effort by Workers and Job‐Seekers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(8), pages 2099-2127, December.
    14. repec:spo:wpmain:info:hdl:2441/vbu6kd1s68o6r34k5bcm3iopv is not listed on IDEAS
    15. Kazuya Kamiya & So Kubota & Kayuna Nakajima, 2017. "Real Indeterminacy of Stationary Monetary Equilibria in Centralized Economies," The Japanese Economic Review, Japanese Economic Association, vol. 68(4), pages 497-520, December.
    16. Maxime MENUET & Alexandru MINEA & Patrick VILLIEU, 2017. "Public Debt, Endogenous Growth Cycles and Indeterminacy," LEO Working Papers / DR LEO 2467, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    17. Rousakis, Michael, 2012. "Implementation Cycles : Investment-Specific Technological Change and the Length of Patents," The Warwick Economics Research Paper Series (TWERPS) 983, University of Warwick, Department of Economics.
    18. Sergey Slobodyan, 2004. "One Sector Models, Indeterminacy, and Productive Public Spending," Computing in Economics and Finance 2004 314, Society for Computational Economics.
    19. d'Albis, Hippolyte & Augeraud-Véron, Emmanuelle & Hupkes, Hermen Jan, 2014. "Bounded interest rate feedback rules in continuous-time," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 227-236.
    20. John Heaton & Deborah Lucas, 2000. "Stock prices and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Apr.
    21. Guo, Jang-Ting & Harrison, Sharon G., 2004. "Balanced-budget rules and macroeconomic (in)stability," Journal of Economic Theory, Elsevier, vol. 119(2), pages 357-363, December.

    More about this item

    Statistics

    Access and download statistics

    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:bla:jecrev:v:54:y:2003:i:3:p:253-274. 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: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/jeaaaea.html .

    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.