CIRJE F-Series

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CIRJE-F-1248: "Investment with New Sentiment Analysis in Japanese Stock Market: Expert Knowledge Can Still Outperform ChatGPT" Abstract This paper presents a novel approach to sentiment analysis in the context of invest- ments in the Japanese stock market. Speci cally, we begin by creating an original set of keywords derived from news headlines sourced from a Japanese nancial news plat- form. Subsequently, we develop new polarity scores for these keywords, based on market returns, to construct sentiment lexicons. These lexicons are then utilized to guide invest- ment decisions regarding the stocks of companies included in either the TOPIX 500 or the Nikkei 225, which are Japan's representative stock indices. Furthermore, empirical studies validate the effectiveness of our proposed method, which signi cantly outperforms a ChatGPT-based sentiment analysis approach. This provides strong evidence for the ad- vantage of integrating market data into textual sentiment evaluation to enhance nancial investment strategies

Zhenwei Lin, Masafumi Nakano and Akihiko Takahashi

CIRJE-F-1247: "Laboratory Experiments in Consumer Research: Estimating the Effect of a Manipulation-check Variable" Abstract In consumer research and psychological experiments, subjects' states (attitudes) are manipulated by means of stimulus treatment in order to examine the effects of the subjects' states (attitudes) on the target variable. The interest here is not the effect of the treatment (stimulus) itself, but the effect on the target variable of the difference in state produced as a result of the treatment. Therefore, a manipulation check is usually performed to establish the validity of the experimental design, i.e., whether the stimulus produced the intended difference in state. When the manipulation-check variable (state) is directly associated with the target variable, one encounters the problem of confounding that affects both variables. To eliminate this problem, randomized controlled trials (RCTs) are used, but two weaknesses exist: first, only a discrete, binary effect of the presence or absence of treatment on the target variable can be uncovered. Second, the imperfection of the experimental design, in which the state induced by the treatment (stimulus) varies from subject to subject, resulting in different effects on the target variable, cannot be taken into account. In this study, we propose an approach that can correctly estimate the effect, which relates the manipulation-check variable to the target variable, even when unobserved confounding factors are present. By accounting for imperfections in the experimental design, the effect of the state variable becomes statistically more efficient than the effect of the experimental approach. The simulation analysis confirms that, for the same sample size, our instrumental variable approach is more significant than the usual experimental approach

Makoto Abe

CIRJE-F-1246: "Life Insurance, Natural Disasters, and Human Capital Investment: A Case of Early 20 th Century Japan" Abstract This paper examines the role of life insurance buffering negative income shocks on schooling. We focus on middle school grade promotion rates under earthquake disasters in early 20 th century Japan. We constructed a dataset on grade promotions by gender, life insurance claims, and information on the deadliness of earthquakes, at the prefecture-level. The results of mediation analyses indicate that life insurance significantly buffered the negative impact of earthquakes on the promotion of boys to higher grades, while for girls the buffering effect of life insurance was mostly small and insignificant, which is consistent with the theoretical prediction

Tetsuji Okazaki, Toshihiro Okubo and Eric Strobl

CIRJE-F-1245: "Asymptotic Expansions as Control Variates for Deep Solvers to Fully-coupled Forward-backward Stochastic Differential Equations" Abstract Coupled forward-backward stochastic differential equations (FBSDEs) are closely related to financially important issues such as optimal investment. However, it is well known that obtaining solutions is challenging, even when employing numerical methods. In this paper, we propose new methods that combine an algorithm recently developed for coupled FBSDEs and an asymptotic expansion approach to those FBSDEs as control variates for learning of the neural networks. The proposed method is demonstrated to perform better than the original algorithm in numerical examples, including one with a financial implication. The results show that the proposed method exhibits not only faster convergence but also greater stability in computation

Makoto Naito, Taiga Saito, Akihiko Takahashi and Kohta Takehara

CIRJE-F-1244: "Branch Banking and Regional Financial Markets: Evidence from Prewar Japan" Abstract In Japan in the 1920s, several financial crises and government policy led to bank merg- ers and the consolidation and expansion of branch networks. Using unique historical bank branch-level lending and deposit data, we show that branch banking integrated peripheral markets with the rest of the country, with large urban banks—those headquartered in Tokyo and Osaka—using deposit supply shocks in peripheral areas to fund lending elsewhere. While these findings support contemporary concerns about branch banking draining funds from pe- ripheral markets, we argue that the export of liquidity by urban banks likely represented an efficient reallocation of credit, driven primarily by competition in funding markets. Faced with high-yielding lending opportunities in central prefectures, urban banks bid up deposit rates in peripheral areas, raising local banks’ funding costs. Local banks responded by low- ering intermediation margins and reducing lending to traditional industries, which suggests that they shifted their lending to less risky and more efficient customers. We speculate that this competitive reallocation of capital across regions and sectors allowed banks to maintain a functional specialization in different customer segments, which may explain the continued coexistence of small relationship lenders and large integrated arms-length lenders in local banking markets

Mathias Hoffmann, Ttsuji Okazaki and Toshihiro Okubo

CIRJE-F-1243: Wartime Financial Control and Allocation of Capital: The Case of Japan during World War II

Tetsuji Okazaki

CIRJE-F-1242: Short-run and Long-run Consequences of Unconventional Monetary Policy in Japan

Shin-ichi Fukuda

CIRJE-F-1241: Super-Long Discount Rates for Insurers in Incomplete Markets with Bond Supply Control

Taiga Saito and Akihiko Takahashi

CIRJE-F-1240: Short-run and Long-run Consequences of Unconventional Monetary Policy in Japan

Shin-ichi Fukuda

CIRJE-F-1239: Mental Disorder, Altruism, and Empathy: Experimental Evidence from Middle School Students in Post-Earthquake Sichuan, China

Albert Park, Yasuyuki Sawada, Menghan Shen, Sangui Wang, Heng Wang and Ze Wang

CIRJE-F-1238: The Evolution of Inflation Expectations in Japan

Shin-ichi Fukuda and Naoto Soma

CIRJE-F-1238: The Evolution of Inflation Expectations in Japan

Shin-ichi Fukuda and Naoto Soma

CIRJE-F-1237: Infrastructure and Structural Transformation: Evidence from Satellite, Administrative, and Multi-Generation Household Data in a Developing Country

Soyoung Kim, Yuki Higuchi, Kei Kajisa and Yasuyuki Sawada

CIRJE-F-1236: Social integration of Immigrants in Cities: Theory and Evidence from The European Social Survey

Hiroyuki Matsuyama, Chigusa Okamoto and Yasuhiro Sato

CIRJE-F-1235: Taxing Cross-Border Online Sales for Pareto Improvement in Tax Revenue

Hikaru Ogawa and Ryota Tsuchiya

CIRJE-F-1234: Probability-based A/B testing with Adaptive Minimax Regret (AMR) Criterion for Long-Term Customer Metrics

Makoto Abe

CIRJE-F-1233: Japan’s economic warfare in the 1930s and early 1940s

Tetsuji Okazaki and Akira Okubo

CIRJE-F-1233: Japan’s economic warfare in the 1930s and early 1940s

Tetsuji Okazaki and Akira Okubo

CIRJE-F-1232: The Macroeconomic Effect of Tax Shocks, New Narrative Evidence from Japan

Nobuki Mochida

CIRJE-F-1231: The State of Economic History in Japan

James Foreman-Peck, Yutaka Arimoto, Tomoko Hashino, Masaki Nakabayashi, Tetsuji Okazaki, Osamu Saito, Yoshihiro Sakane and Kaoru Sugihara

CIRJE-F-1231: The State of Economic History in Japan

Yutaka Arimoto, Tomoko Hashino, Masaki Nakabayashi, Tetsuji Okazaki, Osamu Saito, Yoshihiro Sakane and Kaoru Sugihara

CIRJE-F-1230: A New Equity Investment Strategy with Artificial Intelligence, Multi Factors, and Technical Indicators

Daiya Mita and Akihiko Takahashi

CIRJE-F-1229: Mean Field Equilibrium Asset Pricing Model with Habit Formation

Masaaki Fujii and Masashi Sekine

CIRJE-F-1228: Ambivalent Aspirations: Okinawans' Collaboration with the Greater East Asia Co-Prosperity Sphere

Yuri Okubo

CIRJE-F-1227: Urban Redevelopment Program and Demand Externality

Daiji Kawaguchi, Keisuke Kawata and Chigusa Okamoto

CIRJE-F-1226: The Role of Advance Notice in Shaping Industrial Response to Time-Varying Electricity Prices

Daiya Isogawa, Hiroshi Ohashi and Tokunari Anai

CIRJE-F-1225: Factory Automation, Labor Demand, and Local Labor Market

Daiji Kawaguchi, Tetsuji Okazaki and Xuanli Zhu

CIRJE-F-1224: Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

CIRJE-F-1223: Building Business Resilience to Disasters

Yutaro Izumi, Hiroyuki Nakata, Yasuyuki Sawada and Kunio Sekiguchi

CIRJE-F-1222: Business Forms and Business Performance in UK Manufacturing 1871-81

James Foreman-Peck and Leslie Hannah

CIRJE-F-1221: The Marriage of Politics and Economy: Elite Fusion in the Age of Modernization

Tomoko Matsumoto and Tetsuji Okazaki

CIRJE-F-1220: Large Fires and the Rise of Fire Insurance in Pre-war Japan

Tetsuji Okazaki, Toshihiro Okubo and Eric Strobl

CIRJE-F-1218: The Effect of Bank Recapitalization Policy on Credit Allocation, Investment, and Productivity: Evidence from a Banking Crisis in Japan

Hiroyuki Kasahara, Yasuyuki Sawada and Michio Suzuki

CIRJE-F-1217: A Dynamic Analysis of the Bank of Japan’s ETF/REIT Purchase Program

Daiya Mita, Kiyohiko G. Nishimura, Taiga Saito and Akihiko Takahashi

CIRJE-F-1216: Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations

Takamitsu Kurita and Mototsugu Shintani

CIRJE-F-1215: New Asymptotic Expansion Formula via Malliavin Calculus and Its Application to Rough Differential Equation Driven by Fractional

Akihiko Takahashi and Toshihiro Yamada

CIRJE-F-1214: Optimal Loan Portfolio under Regulatory and Internal Constraints

Makoto Okawara and Akihiko Takahashi

CIRJE-F-1213: Planning Mass Production of Merchant Ships in Japan during the Pacific War

Tetsuji Okazaki

CIRJE-F-1212: Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus

Akihiko Takahashi and Toshihiro Yamada

CIRJE-F-1211: How Does Flood Affect Children Differently? The Impact of Flood on Children’s Education, Labor, Food Consumption, and Cognitive Development

Chinh T. Mai and Akira Hibiki

CIRJE-F-1210: Mean-field Equilibrium Price Formation with Exponential Utility

Masaaki Fujii and Masashi Sekine

CIRJE-F-1209: Satellite-Based Vehicle Flow Data to Assess Local Economic Activities

Eugenia Go, Kentaro Nakajima, Yasuyuki Sawada and Kiyoshi Taniguchi

CIRJE-F-1208: The Decline of Labor Share and New Technology Diffusion: Implications forMarkups andMonopsony Power

Shoki Kusaka, Tetsuji Okazaki, Ken Onishi and Naoki Wakamori

CIRJE-F-1207: Multi-Agent Model Based Proactive Risk Management For Equity Investment

Daiya Mita and Akihiko Takahashi

CIRJE-F-1206: A Multi-agent Incomplete Equilibrium Model and Its Applications to Reinsurance Pricing and Life-Cycle Investment

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

CIRJE-F-1205: Big Data Applications with Theoretical Models and Social Media in Financial Management

Taiga Saito and Shivam Gupta

CIRJE-F-1204: Cross-Border Shopping, E-Commerce, and Consumption Tax Revenues in Japan

Yoshimi Adachi and Hikaru Ogawa

CIRJE-F-1203: A New Folk Theorem in OLG Games

Chihiro Morooka

CIRJE-F-1202: AI, Skill, and Productivity: The Case of Taxi Drivers

Kyogo Kanazawa, Daiji Kawaguchi, Hitoshi Shigeoka and Yasutora Watanabe

CIRJE-F-1201: Equilibrium Pricing of Securities in the Co-Presence of Cooperative and Non-Cooperative Populations

Masaaki Fujii