Two essays on macroeconomics and finance: Japanese land and equity values in the 1980s and United States equity values in the 1970s.

摘要

Two of the most striking asset price movements in the developed world since the 1970s are the U.S. stock market crash of 1973, and the Japanese land price "bubble" in the late 80s. This thesis contributes to the theoretical and the quantitative understanding of both of these phenomena using the applied general equilibrium discipline.;In the first essay, I study the Japanese experience in the 1980s during which land and corporate market values significantly increased, which was followed by a sharp decline of both in the 90s. This essay uses a growth model to determine how much of these asset price movements can be accounted for by the observed changes in fundamentals of the Japanese economy; in particular changes in productivity and government policy regarding land taxation. In the model, corporations can issue land-collateralized debt to reduce their tax liabilities and the government follows a land tax policy that is countercyclical to land prices. These features substantially magnify the effect of small shocks by reducing the required return on land. With the model calibrated to Japanese data, I find that the observed changes in fundamentals can largely account for the movements in land values and partially for corporate market values, but only if these changes were expected to be highly persistent.;The second essay is concerned with the large decline of market valuation of U.S. corporations following the Oil Crisis of 1973. Real energy prices more than doubled by the end of the decade, increasing energy costs and spurring innovation in energy-saving technologies. This essay uses a growth model to quantify the impact of the increase in energy prices on the market value of U.S. corporations. In the model, corporations adopt energy-saving technologies as a response to the energy price shock and the price of installed capital falls due to investment irreversibility. The model, calibrated to match the subsequent decline in energy consumption in the U.S., generates a 25% decline in market valuation; accounting for half of what is observed in the data.