|Abstract: ||我這次要申請三年的NSC研究計畫經費，主要目的為完成以下兩計畫。第一個計畫是使用由QUICK公司，一家日經集團的日本股市資料顧問公司，所提供的TOPIX指數（月資料）實證股票專家如何使用這些資料預期日本股市。而在第二個計畫中，我們使用QUICK調查資料庫結合對日本股票市場的期望假說進行股價預測。希望這兩個計畫產生的結果，研究如何優化這些股價預期資訊以提供更好的日本總體經濟政策。具體來說，我們希望實證這些資料是否能成為預期未來GDP和通貨膨脹率的領先指標，並驗證這些對於股價預期和預期假說的時間序列資料，適不適合做為日本官方的總體經濟領先指標，提供日本總體經濟政策制定者更好的指標。這兩個計畫為何能提供政策制定者達到更好的日本金融政策管理目標？有兩個原因，其一，不穩定的股價走勢對於公司和金融機構的金融活動有顯著影響，而貨幣政策制定者能不能分析造成不穩定的原因而提供一個相對穩定的金融環境就相當重要。自1990年起，因為對於國際金融市場的開放，金融市場交易員人數有戲劇性的上升趨勢，因此，這些投資人的預期通常與資產價格合併。所以這些金融市場政策制定者能不能瞭解投資者的投資機制就是相當重要的議題。其二，, Mankiw, Reis, and Wolfers (2003)曾提出“disagreement may be a key to macroeconomic dynamics”，同時很多近期以代理人基為主的模型亦顯現出異質期望對觀察現實情形還是無法像傳統的資本資產定價模型在效率市場和預期假說下提供較好的解釋力，像是股票報酬的肥尾分配和零和交易量現象。先前的研究告訴我們如果能釐清如何決定異質期望，將有助於我們瞭解金融市場的現況甚至預期未來。因此，為了達到更好的政策管理，第二個計畫的研究結果將提供釐清預期異質性的方法。這個研究計劃案是我提供其他亞洲國家總體經濟政策建議的第一步，在未來，我希望獲得專家對亞洲其他國家，像是台灣，中國，南韓，新加坡等經濟預期走勢的調查資料。我會分析對這些不同的市場所產生的不同預期過程和這些調查資料如何成為有效資訊來幫助預期未來總體經濟情勢和如何制定更好的總體經濟政策。並能藉由反應這些市場參與者的行為，為這些國家提供更好的總體經濟建議。|
I am applying to NSC research funds for three years this time, in order to conduct the following two research projects. The first project provides evidence on the determinants of the professionals’ expectations in Japanese stock market by using a monthly forecast micro survey dataset on the TOPIX distributed by QUICK Corporation, a Japanese financial information vendor in the Nikkei Group. In the second research project, we document the determinants of the expectation heterogeneity of stock price forecasters on the Japanese Nikkei Stock Average by using the QUICK survey data. In the end of the research projects, based on the results from the two projects, we investigate how we can utilize the information of the stock price expectations for better macroeconomic policy managements in Japan. In particular, we empirically examine whether the survey data on stock price forecasts can be a leading indicator for predicting future GDP and inflation rates. We argue whether forecast series, such as price forecasts and the expectation heterogeneity, should be included into an official list of macroeconomic leading indicators in Japan, which is the list that Japanese policymakers often refer to when they form their macroeconomic policy. Both of the projects will help policymakers conducting better policy managements in Japanese financial market in the following two reasons. First, unstable stock price movements have a significant impact on economic activities of firms and financial institutions. It is important that monetary policymakers clarify the cause of the instability and provide stable environments for financial market participants. Since the 1990s, the number of financial asset traders has been increasing dramatically due to the liberalization of global financial markets, and thus investors’ expectations are more likely to be incorporated in the asset prices. Therefore, it has become crucial for policymakers to understand the mechanism of investors’ expectation formation for conducting better policy managements in financial markets. Second, Mankiw, Reis, and Wolfers (2003) suggest that “disagreement may be a key to macroeconomic dynamics”, while several recent agent-based models demonstrate that heterogeneity drives observed features in reality that are still not explained well enough with traditional asset pricing models under efficient market and rational expectation hypotheses, such as fat tails of stock returns and non-zero trading volume. The previous research indicates that we can further understand situations in financial markets and possibly can predict the future if we clarify the determinants of the expectation heterogeneity. Thus, in order to conduct better policy managements, it is very important to show the research results in my second research project and clarify the sources of the expectation heterogeneity. This research project is my first step for providing macroeconomic policy recommendations for other Asian countries. In the future, if available, I plan to purchase survey dataset of economic forecasts by professionals in other Asian countries such as in Taiwan, China, Korea, Singapore, or any others. I will clarify the differences in the expectation formation processes in those markets and investigate whether the survey data can be a useful dataset for predicting future macroeconomic situations and conducting better macroeconomic policy managements in those countries. I hope to provide macroeconomic policy recommendations in these countries, which reflect the characteristics of behavior of the market participants in these economies.