要旨・本文は公開していません。 / Kyoto University (京都大学) / 0048 / 新制・課程博士 / 博士(経済学) / 甲第14890号 / 経博第380号 / 新制||経||240(附属図書館) / 27328 / UT51-2009-M804 / 京都大学大学院経済学研究科現代経済・経営分析専攻 / (主査)教授 徳賀 芳弘, 教授 藤井 秀樹, 教授 澤邉 紀生 / 学位規則第4条第1項該当

The first chapter studies the stabilizing role of fiscal policy. We particularly emphasize the role played by the assumption on the use of public expenditure. We find that if wasteful government expenditure is assumed in a two sector growth model then progressive taxation prevails as a stabilizer of belief-driven fluctuations. In an one-sector model, we observe that when a lump-sum transfer is introduced a stabilizing role for regressive income taxation emerges. In addition, we show that with a lump-sum transfer it turns out that the labour and capital income taxes serve in a different way to dampen belief-driven fluctuations. This difference between labour and capital income taxes can also be observed in a growth model with productive government spending. The second chapter demonstrates the optimality of intertemporally-regressive taxation in a Barro-type growth model with decreasing-returns-to-scale and a public consumption good. The constant tax rate that achieves the first-best steady-state decentralizes an excessive rate of growth with lower welfare than the first-best. We find that the use of regressive taxation moves the growth rate closer to that of the first-best, and the optimum tax matches the first-best growth path to a first-order approximation. In the third chapter, we introduce quasi-hyperbolic preferences into the growth model with productive public spending. First, we compare the competitive equilibrium with the first-best equilibrium in a centrally-planned economy. Second, we explore second-best taxation using the Ramsey fiscal policy approach with three different degrees of commitment: full commitment, complete absence of commitment, and one-period partial commitment.

The first chapter is introduction and Chapter 2 proposes formal frameworks for identifiability and testability of structural features allowing for set identification. The results in Chapter 2 are used in other chapters. The second section of Chapter 3, Chapter 4 and Chapter 5 contain new results. Chapter 3 has two sections. The first section introduces the quantile-based control function approach (QCFA) proposed by Chesher (2003) to compare and contrast other results in Chapter 4 and 5. The second section contains new findings on the local endogeneity bias and testability of endogeneity. Chapter 4 assumes that the structural relations are differentiable and applies the QCFA to several models for discrete outcomes. Chapter 4 reports point identification results of partial derivatives with respect to a continuously varying endogenous variable. Chapter 5 relaxes differentiability assumptions and apply the QCFA with an ordered discrete endogeneous variable. The model in Chapter 5 set identifies partial differences of a nonseparable structural function.

This thesis presents research on issues in child health and mortality in developing countries, and outlines the implications of the results for government policy. The first chapter investigates how a permanent increase in the supply of vaccinations due to a government programme in India aeffects the gender difference in immunisation levels between boys and girls, in the presence of significant son preference. We find that the male advantage in number of vaccinations received actually increases as households are initially exposed to the programme, but eventually disappears with continued exposure. The second chapter examines the impact of dams on infant mortality across 17 countries in Africa. The results show that children born immediately downstream from a dam experience a reduction in infant mortality risk, as they benefit from dam irrigation services. Children born farther downstream from the dam however face increased infant mortality risk, as the dam causes water levels downriver to decline, which is harmful to agriculture. Finally, children born in the vicinity of the dam itself also face increased infant mortality risk, as the dam reservoir increases local malaria incidence and reduces agricultural productivity of the surrounding land. The third chapter investigates whether gender discrimination exists in the duration that children are breastfed in Africa. It also examines whether any gender difference in breastfeeding found can be linked to son preference in fertility choice, given previous research that shows breastfeeding is negatively correlated with future fertility. We find a large male advantage in breastfeeding duration in North Africa, which declines significantly if the child in question has at least one older male sibling. In contrast the male advantage in breastfeeding in Sub-Saharan Africa is small, and manifests only among children born after the mother has already attained her desired maximum number of offspring.

Amid growing environmental concerns, the UK energy sector faces considerable challenges in order to comply with national and regional commitments to decarbonisation. In light of these challenges, the government has implemented a number of policies aimed at ensuring sustainability in the UK energy sector (both in terms of environmental impact and security of supply), while ensuring that the reforms and changes to the sector are achieved at the lowest costs to consumers. Innovation in energy technologies are expected to play a large role in reaching this sustainability objective. The focus of this thesis is to explore the economic and environmental impacts of two UK sustainable energy policies, while considering the role that technological innovation might play in delivering on these objectives. The thesis is divided in two parts; each focusing on the system-wide economic impact of a specific energy policy instrument, in presence of technological change. Part A focuses on the supply side of the electricity sector. It explores the impact of introducing targeted subsidies in a renewable energy sector in Scotland, in presence of endogenous learning-by-doing effects. The literature review highlights the growing awareness in the role of technological change in energy policy. Correspondingly, system-wide energy-economy-environment models used to analyse these policies have increasingly introduced endogenous technological change as a major design feature, whether it is induced through R&D spending or learning effects. Because the latter is the most commonly adopted, it is the focus of the modelling exercise in Part A. A number of alternative specifications of learning-by-doing are identified in the literature and are explored first through micro-simulations. Then, in a CGE model for Scotland, learning-by-doing is introduced in the presence of a production subsidy in the marine energy sector. As the subsidy stimulates the marine electricity generation sector through costs reductions in production, electricity generation from other sources is displaced and the Scottish economy experiences a small expansion. The presence of learning effects is found to accentuate the stimulus from the subsidy. Indeed the costs of marine generation are further reduced as the sector expands. The choice of assumptions to represent endogenous learning-by-doing is found to matter greatly for the speed and paths of adjustments. In particular, the use of an (3)4z(Beconomic(3)4y (Bfunctional form (inspired by endogenous growth theory and originating in the top-down modelling literature) to represent learning is favoured in the model, but only when negative returns-to-knowledge are imposed. Part B focuses on the demand side of the energy system and more specifically on households. It examines the economy-wide rebound effects from efficiency gains as a side effect of a one-off energy innovation at UK level: the roll-out of smart electricity meters. First, the household and total rebounds in electricity use in the UK are calculated using an Input-Output model, where reductions in household electricity expenditures are redistributed to other consumption goods. Results show that total rebound is generally smaller than household rebound, reflecting a negative indirect rebound from reductions in the industrial use of electricity. This is due to the relative electricity intensity of electricity compared to other sectors. A disaggregation of the electricity sector into network and generation activities reduces the indirect rebound, and thus the gap in household and total rebound and confirms the strong backwards linkages in electricity activities. The analysis is extended to a CGE model incorporating endogenous prices and incomes. The same efficiency gain is simulated and its system-wide economic and environmental impacts (CO2 emissions) are established. Using findings from the econometric literature on household energy demand, several simulations are conducted to explore rebound effects with alternative consumption structures, where households have different substitution possibilities between electricity and gas. Increased substitution between fuels increases the household electricity rebound (as households substitute more efficient electricity for gas) and turn total rebound; leading to the extreme case of backfire, but accompanied by the largest CO2 emissions reductions. CGE results persistently show a smaller total rebound than household rebound, (similarly to the IO results) suggesting that the reduction in total UK electricity use could be larger than the reduction in household consumption estimated by the policy-makers, by considering economy-wide effects. Overall, the results of the modelling exercises of this thesis confirm the crucial role of technological change in achieving the goals of sustainability in energy policies, while providing insights on the assumptions for the analysis and modelling of these policies in an economy-wide framework.

This thesis consists of three essays which relate to the conduct of fiscal policy and the pricing of sovereign debt. The first chapter examines the credibility of official budgetary projections produced by the fiscal authorities of EU member states, as required under the provisions of the Stability and Growth Pact. Drawing upon existing studies, evidence is presented which demonstrates that these official projections are characterised by optimism bias, i.e. announced budgetary adjustments persistently falls short of those observed in practice. This chapter contributes to the existing literature by identifying a systematic link between the magnitude of this optimism bias and the degree of fragmentation which characterises the government: whereby greater fragmentation of this type coincides with a tendency to submit more optimistic projections. Numerical fiscal rules are then considered as a mechanism for improving the credibility of these projections and it shown that budgetary stric tures of this form have been effective in reducing the optimism bias which emerges when government fragmentation increases. The second chapter investigates the relative importance of systematic risk and conventional fiscal indicators in characterising the default risks of EMU member states and as potential explanations of pricing disparities which exist between public debt securities issued by these countries. Using both a portfolio approach and Fama and Macbeth cross-sectional regressions it is demonstrated that measures of systematic default risk (approximated by an issuer's default beta) and fiscal indicators overlap in the manner of risks which they represent. It is also shown that the common variation which exists between these alternate measures is relevant in explaining difference in the excess returns on EMU public debt securities in sample periods which both include and exclude the recent sovereign debt crisis. The third and final chapter uses a panel data model to examine yield spreads on ten-year public debt securities issued by EMU sovereign nations from 2005 to 2012. Existing studies have highlighted that there are (at times) substantial discrepancies between the spreads implied this class of model and the value of spreads observed in practice, particularly since the advent of the sovereign debt crisis in late 2009. Evidence of this nature has been used to substantiate arguments that financial markets have incorrectly priced the relative risks associated with these securities given that their prices cannot be related to an assumed fundamental basis. In this chapter I present an alternative account of evolutions in EMU yield spreads during the crisis which focuses upon the scale of macroeconomic imbalances characterising certain member states and their implications for public debt sustainability. It is shown that once these factors are taken into account up to 83% of the observed variation in yield spreads can be explained over this period. These results re-establish the importance of fundamentals in understanding market based perceptions of sovereign default risk during the crisis.

From the end of 2007 onwards, Europe has seen the most prolonged recession on its history and the effect of educational attainment on certain labour market outcomes, such as employability and wage levels, which was previously seen as prominent, or even causal, becomes difficult to interpret. Likewise, there are also implications on other relevant outcomes, such as job mismatch and quality, where literature seems, rather conflicting. Empirically, this thesis investigates the relationship between educational attainment, and labour market in nineteen European countries, using both individual and country-level data. The focus is on the impact of educational attainment, on employability, job quality, wages and job mismatch. This analysis, is anticipated to contribute to the academic debate in labour economics by examining this impact across Europe, taking into account the economic climate in pre (2004) and during recession (2010) time periods, as well as the institutional and economic context of each labour market, which is represented by nine different country-level variables. Higher educational attainment is closely linked with employment and wage outcomes, but this is not that straightforward with job quality and mismatch, mainly due to various methodological limitations involved. Educational attainment is valued differently among countries. However, the labour market position of the low-educated were worse in 2010 comparing with 2004 in most countries, but this is not clear if it has a causal link with recession. Moreover, all countries examined have been classified by welfare state regimes, but it seems that this classification cannot explain the differences in the labour market outcomes between low- and high-educated. Finally, the country-level variables have been tested using the two-step approach. The Size of Government, Part time to Full time employment ratio and the GDP/Capita seem to be strong determinants of individual's labour market outcomes, in relation to their educational attainment. EPL Strictness, the gross enrolment in higher education and the debt to GDP ratios can also play some role, but their effect has been found significant only with job mismatch.

The main motivation of this thesis is to contribute to the literature and deepen our understanding of economic growth in a wide variety of countries. Explaining the course of economic growth and determine factors that might affect it, have been for a long time, and continue to be, one of the most important topics of economic literature. This thesis provides a survey and synthesis of econometric tools that have been employed to study economic growth. While these tools range across a variety of statistical methods, they are united in the common goals of first, contributing to our understanding of the empirical work on economic growth in Sub-Saharan Africa economies. Second, the study quantifies the empirical relationship between Output FDI, institutions, efficiency and productivity and a wide array of factors using data over the last 41years. The first chapter is the introduction; the second chapter is an overview of Sub-Saharan Africa. The empirical analysis of the research can be categorized into three main chapters. In the first chapter (Chapter 3), Complementarity versus Substitutability: FDI and Growth in Sub-Saharan Africa countries are investigated to examine the degree of complementarity between FDI and domestic capital and the level of absorptive capacity of the host countries. In the second chapter (Chapter 4), Output and Institutions are investigated to examine whether institutional development is a determinant of output per worker and productivity growth in Sub-Saharan Africa. The last chapter of empirical analysis (Chapter 5), The Role of Political and Economic Institutions on National efficiency: Evidence from Sub-Saharan Africa, examines the role political and economic institutions play in promoting national efficiency and thus economic development. And Chapter 6 concludes the study.

This thesis consists of three essays on topics in financial time series with particular emphases on specification testing, structural breaks and long memory. The first essay develops an asymptotically valid specification testing framework for the Realised GARCH model of Hansen et al. (2012). The misspecification tests account for the joint dependence between return and the realised measure of volatility and thus extend the existing literature for testing the adequacy of GARCH models. The testing procedure is constructed based on the conditional moment principle and the first-order asymptotic theory. Our Monte Carlo results reveal good finite sample size and power properties. In the second essay, a Monte Carlo experiment is conducted to investigate the relative out-of-sample predictive ability of a class of conditional variance models when either a structural break or long memory is allowed. Our Monte Carlo results reveal that if the true volatility process is stationary short memory and its persistence level is not too high, but is contaminated by a structural break, the presence of the structural break is of importance in choosing a proper size of estimation window in the short-run forecast. If the persistence level is very high, spurious long memory may often dominate the true structural break in the longer-run forecast. For data generation processes without any structural break, the forecasting models, which can characterise the properties of the true conditional variance process, are favourable. In the last essay, we analyse the properties of the S&P 500 stock index return volatility process using historical and realised measures of volatility. We investigate a true property of the stochastic volatility processes by means of econometric tests, which may disentangle true or spurious long memory. The realised variance and realised kernel of the US stock market return exhibit true long memory. However, the historical volatility process shows some evidence of spurious long memory. We examine relative out-of-sample performance of one-day-ahead forecasts, with emphasis on the predictive content of structural changes and long memory. A class of ARFIMA models consistently produces the best-performing forecasts compared to a class of GARCH models. Among the GARCH models, it is shown that a rolling window GARCH forecast and GARCH forecasts which account for breaks outperform the long memory-based GARCH models even with the long memory proxy process.

I investigate how culture affects decision making under risk and uncertainty through three main strands - social networks, cultural norms and identity, and peer effects. Firstly, I investigate whether students from collectivist cultures form larger networks at university than students from individualist cultures and to what extent these networks are relied on for risk-sharing. Using an online survey, I find that students from collectivist cultures such as China form larger financial risk-sharing networks at university than students from individualist cultures such as Britain. In the financial context, having a larger network increases the willingness to take risks for collectivists but not individualists. On the other hand, students from collectivist cultures are less willing to take risks with their interpersonal relationships than those from individualist cultures. One likely reason for this is that as networks are relied on more for risk-sharing in collectivist cultures, the value of maintaining relationships is increased. Secondly, I run experiments with a stag hunt and bargaining coordination game to see whether cultural norms or identity play a part in coordination decisions. Using a between-subjects design, I vary the identity of the opponent between someone of the same culture or a different culture. I compare the responses of British and Asian students and show the cultural identity of the opponent by physical appearance. The players appear to use cultural stereotypes to predict behaviour, especially in the bargaining game which may require more strategic thought than the stag hunt game. Finally, I investigate cultural differences in conformity in the context of risk attitudes. I expect that people from cultures that value conformity, such as collectivist East Asian cultures, will be more likely to conform to others than people from cultures that value individuality, such as the United Kingdom. My experiment consists of lottery choice tasks, where some students are given information on the choices from a previous session. Again, comparing Asian and British students, I find no difference in the distribution of Asian choices between treatments. However, the British students are inclined to choose against the majority of their peers. This behaviour is consistent with an individualist culture that places value on uniqueness.