研究発表

As Keynes contended in the General Theory, according to the classical theory of loanable funds, the equilibrium interest rate is determined at the intersection of the saving and investment curves. The former is derived from the intertemporal choice of consumption while the latter represents the marginal product of capital. Some classical authors, such as Taussig, discuss negative interests in this framework. Since the market interest rate rarely became negative until recently, if the equilibrium interest rate had been negative, the government would have had to fill the saving-investment gap by running a public deficit. Negative interest rates would surely cure this problem. Cassel, however, mentions another possibility: that the saving curve has a downward rather than upward slope. It is problematic because there is a possibility that the saving and investment curves do not at all intersect. If they do not intersect, lowering interest rates may enlarge the public deficit rather than reduce it. Thus, it is essential to identify the shape of the two curves before taking any policy action, either to raise or to lower the interest rate.

This paper presents the Flow-of-Funds Analysis applied to improve knowledge about financial flows in Brazilian economy. We develop asset-liabilities-matrixes (ALM) to the years 2004 and 2009, which are disaggregated in 10 institutional sectors to obtain a broadly overview of the specific structure of flows in Brazilian financial system. From flow-of-funds indexes we could illustrate the role of each institutional sector in the system, than we could highlight that during the period, there was a movement to increase the participation of others financial firms in financial system, excluding government-sponsored banks, while enterprises and government were working as financial intermediaries in an informal market.

The objective of this paper is twofold: (i) to design a flow-of-funds based national accounting system, an equivalent of cash-flow statement in business accounting; and (ii) to make from-whom-to-whom flow-of-funds matrix for Japan 1995-2013. Special features of the study is while so-called Flow of Funds Accounts (also known as financial accounts in Europe) covers only the lender-borrower relationship, Flow-of-Funds based National Accounts proposed in this study includes all the payments, such as sales, wages, interest, etc.

After the global financial crisis of 2008-2009, the governments of the world are piling up deficits to close the saving-investment gap in the private sector. The governments cannot accumulate deficits endlessly so that they must urgently promote the investments in the private industries. It is obvious that lowering the market rate of interest is one of the best policies to boost the capital investment. The problem is that what inflation rate they have in their mind when the entrepreneurs make investment decisions. Not only the output prices, but also the composition of inputs and their prices differ from one industry to another. Therefore, the value added deflator or even the operating surplus deflator for each industry are better alternative to calculate the real interest rate.

The objective of this paper is twofold: (i) to design a flow-of-funds based national accounting system, an equivalent of cash-flow statement in business accounting; and (ii) to make from-whom-to-whom flow-of-funds matrix for the U.S. to find out if there were structural changes in the first decade of the century. The matrix is tentatively derived from the Integrated Macroeconomic Accounts by removing the imputations that do not involve payment of funds. We found that there was a conspicuous structural change between 2008 and 2010 when the subprime mortgage crisis hit the economy; and the dominant factor was the shift in monetary policy. Our conclusion is that the economy is highly susceptible to both Federal Reserve’s supply of funds and its portfolio.

Since the global financial crisis of 2008-2009, public debt in advanced economies has increased substantially. In the past, people blamed the governments for the overwhelming public deficit; however, more recently, they began to notice that the real cause lies in the saving-investment imbalance in the private sector rather than in the lax fiscal policy of the government. According to the empirical evidence, almost all the countries, in which non-financial corporations are net savers, are suffering from government deficits. The real problem is that the mature economies are no longer investing enough to maintain the trade balance so that they cannot invest the surplus funds abroad either because of the balance of payments constraint.

バブル崩壊やサブプライム危機など、経済の節目となる事象は金融市場の混乱が実物市場に波及する形態をとることが指摘される。残念ながら今日、世界各国で公表されている資金循環統計は、金融市場取引のみの記述に止まり、実物市場取引を包含しない。本研究では経済主体間の資金授受に着目することで、実物・金融の両市場を包括する国民経済計算体系を提案する。また既存の国民経済計算をもとに、産業連関表等各種の統計資料を併用することで、資金の授受を伴わない帰属計算分をはがして、部門別の資金授受に関する統計を作成し、さらにこれを加工することで、制度部門×制度部門形式の資金循環行列の作成を試みる。これを用いて近年の資金循環構造変化を分析することが、本研究の目的である。

There are concerns about the sustainability of public debt in Japan, US and major European countries. In this paper the public debt problem is approached from the perspective of national accounting, analysing the distribution patterns of net financial transactions or financial net worth among the sectors. Empirical analysis suggests that the dearth of private-sector investment and the saving glut is the fundamental problem behind the swelling public debt.

The current version of the balance of payments statistics (BPM6) consists of the goods and services account, the primary income account, the secondary income account, the capital account, and the financial account. The accounts are to be compiled on a horizontal double-entry bookkeeping basis; it ensures the consistency of recording for each transaction category by counterparties. The nature of horizontal double entry allows the bilateral international transactions to be presented in a from-whom-to-whom matrix format; several international organizations publish such statistics. This paper is an attempt to tentatively make an international flow of funds accounts using the available data. The from-whom-to-whom matrix consists of 242 economic regions, and covers the goods and services account, the primary account, and FDI and portfolio investment portion of the financial account of the balance of payments statistics. The enhancement of balance of payments statistics in the from-whom-to-whom format and accompanying analytical tools will surely promote the better understanding of the flow of funds at the global perspective.

Since the global financial crisis of 2008-2009, public debt in advanced economies has increased substantially. In all 22 OECD countries that have public debt, the excess liabilities (i.e. negative financial net worth) of the non-financial corporations are less than the excess financial assets (i.e. positive financial net worth) of the households. In these countries, non-financial corporations are reluctant to invest so that the private sector in total has excess financial assets. They are investing surplus funds abroad but the government has no choice but to absorb the remaining surplus. That means, in the national accounting perspective, the real problem is not the public debt itself but the dearth of investment and the saving glut in the private sector; it is apparent that the public sector alone cannot solve the problem.

The collapse of the U.S. housing bubble in the 2000s and the consequent financial crisis and global recession reminded us of the importance of a database that enables us to review the interdependence between the real and financial markets. The objective of this paper is twofold: (i) to clarify the mechanism of formation and collapse of economic bubbles in the national accounting perspective; and (ii) to design a flow-of-funds based national accounting system, an equivalent of cash flow statement in business accounting, that serves the purpose best. Since economic transactions – especially financial transactions – heavily depend on the legal system, we will give the fundamental concepts of national accounting that is based on the balance sheets, which is in turn based on the Roman law concepts of jus in rem and jus in personam. Both assets and liabilities are separately measured in the amount of funds for which they are exchanged. In this system, macroeconomic saving-investment imbalance is equivalent to the sum of valuation changes in immovable (i.e. non-produced) as well as in financial assets, which constitutes an economic bubble.

The recent financial crisis and global recession reminded us of the importance of a database that enables us to review the interdependence between the real and financial markets. The objective of this paper is twofold: (i) to reconstruct a flow-of-funds based national accounting system from scratch; and (ii) to clarify the meaning of economic bubbles in the national accounting perspective. We will give the fundamental concepts of national accounting that is based on the balance sheets, which is in turn based on the Roman law concepts of jus in rem and jus in personam. Both assets and liabilities are separately measured in the amount of funds for which they are exchanged. In this system, macroeconomic saving-investment imbalance is equivalent to the sum of valuation changes in immovable as well as in financial assets, which constitutes an economic bubble.

In April 2009, in the midst of the financial crisis and global recession, the Group of Twenty (G-20) finance ministers and central bank governors called for exploration of information gaps and provide appropriate proposals for strengthening data collection. In response, International Monetary Fund (IMF) and Financial Stability Board (FSB) recommended to develop a strategy to promote the compilation and dissemination of the balance sheet approach, flow of funds, and sectoral data more generally. It is well known that it was Morris Copeland who systematically drew the ground design of the money-flows accounts (MFA), or flow of funds accounts as we now call it. Although the term “flow of funds” implies the use of a time dimension associated with movement, spending, and consummation of transactions, the present-day flow of funds accounts, as the consequence of the drastic remodeling by the Fed in the 1950s, covers only the creditor-debtor relationship rather than the more general payer-payee relationship. The objective of this paper is to reconstruct a truly flow-of-funds based national accounting system. Among five alternatives, historical cost accounting has the most relevance to the flow-of-funds based national accounting because the book value of the assets and liabilities are the amount of funds that have changed hands in the acquisition process. The system is entirely founded on the Roman law concepts of jus in rem and jus in personam and the quadruple entry system. It is expected that this system will ultimately enhance the understanding of economic bubbles and other phenomena that relate to both real and financial economy.

1929年10月28日のブラック・マンデーに端を発した世界恐慌や、1980年代後半の我が国のバブルとそれに続く失われた10年、そして2007年夏以降に顕在化した米国のサブプライム問題に至るまで、経済の節目となる事象は、金融市場の混乱が実物市場に波及する形態をとることが知られている。このような事象を経済理論の俎上に載せ、これを定量的に分析するためには、金融市場と実物市場の相互依存関係を鳥瞰する統計資料が不可欠であり、この点で両市場を包摂する経済統計としてのNational Accountingへの期待は大きい。しかしながら、現行の体系は産業連関表を土台として、Product Flow法をその推計の基礎と位置付けており、実物市場と金融市場との関係を分析するには、隔靴掻痒の感がある。実は、現行SNAの創始者として名高いRichard Stoneが、1945年に提示したその原型は、むしろ現行の企業会計に近い、資金の授受に即したFunds Flow法を基礎としていたが、今日これはUnited Nations (1947)の付録として姿をとどめるのみである。Copeland (1947, 1952)のMoneyflows Accountsは、部門別貸借対照表のみに立脚した今日の資金循環統計とは異なり、資金の授受を基礎とするNational Accountingの体系であり、その表章形式は1968SNAにも大きな影響を与えている。この種のFunds Flow法による体系の特徴は、①垂直複式記帳により部門内整合性が、②水平複式記帳により部門間整合性が、③取得原価主義会計により異時点間整合性が、それぞれ担保されることにある。とくに取得原価主義会計は、資産価額の変動要因を観察できる点で、現行SNAの買戻価格主義会計に勝っていると考えられる。また、もとより取得原価主義会計は資金の授受に注目した会計原則であり、その表章形式をPayer-Payee Matrixに変換することが可能である。Payer-Payee Matrixは、実物取引はもちろん、金融取引をも含めて、部門間相互の資金授受を記録するものであり、いわば天気図のように、経済の状況を一望できる道具として、National Accountingの新境地を切り開くものとなることが期待される。

The recent financial crisis and global recession reminded us of the importance of a database that enables us to review the interdependence between the real and financial economy. The objective of this paper is threefold; (i) to reconstruct a flow-of-funds based national accounting system; (ii) to clarify the meaning of economic bubbles in the national accounting perspective; (iii) to propose a from-whom-to-whom payer-payee matrix format of national accounting presentation. In historical cost accounting, the book value of an item in the balance sheet is the amount of funds that have changed hands in the last transaction. Thus the changes in the balance sheets of the concerning parties are directly correlated with the flow of funds from the payer to the payee. The payer-payee matrix that records the flow of funds between the all economic entities can be a useful device for national accounting.

As Copeland (1947; 1952) demonstrated with his money-flows accounts more than half a century ago, the balance sheets of economic entities are closely interrelated through a lender–borrower relationship. This paper is an attempt to describe the US subprime mortgage crisis in the framework of ‘balance sheet economics’, which was originally proposed by Stone (1966) and Klein (1977; 1983). Since it is almost impossible to collect all the balance sheets of economic entities, we use flow-of-funds accounts instead to simulate the negative consequences resulting from home mortgage delinquencies. We show that the pass-through sequence converges when the original delinquency is made up by loss of net worth in any of the economic entities. Most of the eventual loss is incurred by ‘Households and Nonprofit Organizations’ and ‘Rest of the World’. A portion of pass-through loss is eventually incurred by foreign countries with excess external assets, such as Japan, Ireland, etc.

寡占市場のモデルとして広く認知されているクールノー・モデルを応用して、国際ポートフォリオの自国偏重（home bias）と、国際間の金利差の存在の問題を同時に説明しうるような国際資金循環モデルの構築を目指している。

This paper reveals that there was a convergence in the financial structures of the member states after the introduction of the euro, but there was a similarity among them even before the introduction of the new currency. To determine the dominant factors that will cause convergence in the economic structure represented in matrices, we developed an estimation method, based on squared Euclidean distance, as an application of the panel data analysis. It is found that some demographic factors along with various economic factors play a crucial role in the conversion process of the financial structure.