International Workshop on Central Banking, Financial Markets, and the Macroeconomy

13:00 - 13:30

論題

Measuring Market-Perceived Monetary Policy Surprises and Their Macroeconomic Effects: The Case of Japan's Low Interest Rate Environment (with Masahiko Shibamoto)

報告者

中島　怜大（神戸大学大学院経済学研究科博士後期課程）

概要

This paper develops a framework for measuring multidimensional monetary policy surprises from multiple asset prices. Applied to Japan, the framework identifies three surprises: CSR, Path, and UAP. These surprises have distinct financial-market and macroeconomic effects. A semi-structural AS–IS–MP model interprets these effects through safe-rate, long-yield, external-finance, and news channels.

13:30 - 14:00

論題

The Distribution of SME Expectations and Business Cycles: Evidence from Firm-Level Survey Data (with Masahiko Shibamoto)

報告者

竹口　世那（神戸大学大学院経済学研究科博士後期課程）

概要

This paper studies the informational content of the distribution of small and medium sized enterprises'(SMEs') expectations for Japanese business cycle dynamics. Using firm level survey data that classify firms' current and one-year-ahead business conditions into good, normal, and bad categories, we go beyond conventional diffusion indices and decompose SME sentiment into three orthogonal components: current sentiment direction, forward-looking sentiment direction, and expectation polarization.
The current sentiment direction component mainly summarizes contemporaneous business cycle conditions. In contrast, the forward-looking sentiment direction component predicts subsequent improvements in composite business cycle indicators, while the expectation polarization component predicts weaker subsequent activity.
We show that these results reflect distinct distributional shifts. Forward-looking direction reduces the share of firms with pessimistic expectations and increases the shares with normal or optimistic expectations. Expectation polarization instead shifts firms away from neutral expectations toward both optimistic and pessimistic responses. A simple model in which lenders cannot verify SME optimism, capping the upside of expectations while leaving the downside free, rationalizes why polarization is contractionary and why its predictive content concentrates on the pessimistic side. A simple decomposition indicates that the macroeconomic information in SME expectations is driven primarily by movements into and out of the pessimistic-expectation pool.
The results suggest that SME-oriented survey data contain information about business cycle risks that is not captured by average sentiment alone, and that expectation polarization among SMEs is a useful indicator of unevenness and downside risks in future business conditions.

14:15 - 15:30

論題

Runs on Tokenized Debt

報告者

泉　隆一朗 (Department of Economics, Wesleyan University)

概要

We study how debt tradability in secondary markets affects efficiency and fragility. Motivated by tokenized deposits, we extend the Diamond-Dybvig framework by allowing a fraction of the issuer’s liabilities to be transferred to outside investors before the investment matures, while holders retain the option of redeeming with the issuer. Tradability improves efficiency by allowing the issuer to invest in less liquid, more productive investments. However, tradability has a non-monotone effect on fragility. When secondary markets are thin, tradability introduces self-fulfilling debt runs as an additional source of coordination failure, increasing fragility. Yet when secondary markets are sufficiently liquid, this additional source of coordination failure instead eliminates fragility altogether, as the issuer can meet all early redemptions from liquidation alone regardless of investor behavior. Thus, tokenizing demandable debts can decrease fragility although it in principle adds another source of coordination failure. Our results suggest that the design and regulation of tokenized deposits and tokenized MMF shares should focus on ensuring sufficient depth in secondary markets.

15:45 - 17:00

論題

Corporate Tax Declines and Innovation: A Cross-Country Local Projection Analysis

報告者

今井　雅巳 (Department of Economics, Wesleyan University)

概要

Statutory corporate income tax rates have declined dramatically around the world over the past four decades, yet relatively little is known about how these policy changes affect innovation. This paper examines the dynamic relationship between corporate tax reductions and innovation using a panel of 57 countries spanning 1980–2023. Innovation is measured using application-year U.S. Patent and Trademark Office (USPTO) patents and citation-weighted patents, allowing innovative activity to be compared across countries within a common institutional environment. To estimate the evolution of innovation following tax changes, I employ local projection methods with country and year fixed effects. The estimates indicate that corporate tax reductions are followed by gradual increases in both patent quantity and patent quality, with the strongest effects emerging nearly a decade after the tax change. These findings provide new cross-country evidence that lower corporate income tax rates encourage innovation and highlight innovation as an important channel through which corporate tax policy may affect long-run economic performance.