Public capital and asset prices: Time-series evidence from Japan

Kazuki Hiraga, Masafumi Kozuka and Tomomi Miyazaki

Finance Research Letters, 2018, vol. 25, issue C, 172-176

Abstract: This research examines the effects of public infrastructure capital on asset prices in Japan over the period 1983:Q1–2008:Q4. The empirical results show that public infrastructure capital does not forecast stock returns and total factor productivity by the Granger causality test, and the contribution of public investment to stock returns is small based on variance decomposition using the Factor-Augmented vector autoregressive model. Our empirical evidence on the post high-growth era in Japan suggests that public infrastructure investment cannot be expected to play a key role in revitalizing capital markets.

Keywords: Public infrastructure capital in Japan; Stock price targeting; Lag-Augmented vector autoregressive model; Factor-Augmented vector autoregressive model (search for similar items in EconPapers)
JEL-codes: E44 G12 H54 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Public Capital and Asset Prices: Time-series Evidence from Japan (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:25:y:2018:i:c:p:172-176

DOI: 10.1016/j.frl.2017.10.017

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