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1、DefyingGravity:HowLongWillJapaneseGovernmentBondPricesRemain1High?23TakeoHoshiandTakatoshiItoSeptember1,2011Revised:March30,2012AbstractRecentstudieshaveshownthattheJapanesedebtsituationisnotsustainable.Thepuzzleisthatthereisnowarningsignsuchasrisinginterestrate.Thepaperidentif
2、iesthreeconditionsthathavesupportedthehighindebtednesswithoutarisinginterestrateofJapansofar.Thoseare(1)largeamountofdomesticsavingswithanextremehomebias,(2)astagnanteconomythatdepressestherateofreturnineverysector,and(3)expectationoffuturefiscalconsolidation.Anysubstantialchan
3、geinanyoftheseconditionscanleadtoadebtcrisis.Withoutanysubstantialchangesinfiscalconsolidationefforts,thedebtisexpectedtohittheceilingoftheprivatesectorfinancialassetssoon.Thereisalsodownsiderisk,whichbringstheultimatecrisisearlier.Economicrecoverymayraisetheinterestratesandmak
4、eitharderforthegovernmenttorolloverthedebt.Finally,theexpectationscanchangewithoutwarning.Failureinpassingthebilltoraisetheconsumptiontax,forexample,maychangethepublicperceptiononrealizationoftaxincreases.Whenthecrisishappens,theJapanesefinancialinstitutionsthatholdslargeamount
5、ofgovernmentbondssustainlossesandtheeconomywillsufferfromfiscalausterityandfinancialinstability.Theremaybenegativespilloversfortradingpartners.IfJapanwantstoavoidsuchcrisis,thegovernmenthastomakeacrediblecommitmentandquickimplementationoffiscalconsolidation.IMFcouldhelpbyissuin
6、gastrongearlywarning.JEL:E62,H63,H68,J11,O47,O531WethankOlivierBlanchardforhiscommentsonanearlierdraftofthispaper.2Professor,IR/PS,UniversityofCaliforniaatSanDiego,thoshi@ucsd.edu.3Professor,GraduateSchoolofEconomicsandGraduateSchoolofPublicPolicy,UniversityofTokyo,tito@e.u-tok
7、yo.ac.jp.11.IntroductionItiswell-knownthatJapanhasthehighestdebt-GDPratioamongOECDcountries.Yet,theyieldsforlong-termgovernmentbondshavebeenlowformanyyears.Manybusinessreports,especiallyoriginatingoutsideJapan,havealertedsignificantriskofholdingJGBs(JapaneseGovernmentBonds)inth
8、epastdecade.Indeed,insomeoccasions,theyieldonthe10-yea
