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

Kazuki Hiraga (), Masafumi Kozuka () and Tomomi Miyazaki
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Kazuki Hiraga: School of Political Science and Economics, Tokai University
Masafumi Kozuka: Faculty of Economics, University of Marketing and Distribution Sciences

No 1625, Discussion Papers from 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. @

Keywords: Public infrastructure capital in Japan, Stock price targeting, Lag-augmented VAR; Factor Augmented VAR (search for similar items in EconPapers)
JEL-codes: E44 G12 H54 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2016-09
New Economics Papers: this item is included in nep-fdg and nep-mac
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http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2016/1625.pdf

Related works:
Journal Article: Public capital and asset prices: Time-series evidence from Japan (2018)
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