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Public Capital and Asset Prices: Time-series Evidence from Japan

Author

Listed:
  • Kazuki Hiraga

    (School of Political Science and Economics, Tokai University)

  • Masafumi Kozuka

    (Faculty of Economics, University of Marketing and Distribution Sciences)

  • Tomomi Miyazaki

    (Graduate School of Economics, Kobe University)

Abstract

This research examines the effects of public infrastructure capital on asset prices in Japan over the periods from 1983:Q1 to 2008:Q4. The empirical results show that while public infrastructure capital forecasts the stock price returns and total factor productivity by Granger fs causality test after 1991, the contribution of public investment on stock returns is small by variance decomposition using Factor-Augmented VAR model. Our empirical evidence on the post high-growth era in Japan suggest that although public capital forecasts stock price returns and TFP, public infrastructure investment is not expected to play a key role of revitalizing capital markets. @

Suggested Citation

  • Kazuki Hiraga & Masafumi Kozuka & Tomomi Miyazaki, 2016. "Public Capital and Asset Prices: Time-series Evidence from Japan," Discussion Papers 1625, Graduate School of Economics, Kobe University.
    • Handle: RePEc:koe:wpaper:1625
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    References listed on IDEAS

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    Cited by:

    1. Funashima, Yoshito & Iizuka, Nobuo & Ohtsuka, Yoshihiro, 2020. "GDP announcements and stock prices," Journal of Economics and Business, Elsevier, vol. 108(C).

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    More about this item

    Keywords

    Public infrastructure capital in Japan; Stock price targeting; Lag-augmented VAR; Factor Augmented VAR;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H54 - Public Economics - - National Government Expenditures and Related Policies - - - Infrastructures

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