Hikaru Saijo

Welcome! I am a macroeconomist working at UCSC. Pronunciation: He-Ka-Ru Sigh-Joe (Ka as in Kamala)

Curriculum Vitae

Publications

• Diagnostic Business Cycles (with Francesco Bianchi and Cosmin Ilut)
  Review of Economic Studies, 2024.

  We develop theoretical and methodological framework to apply diagnostic expectations to a large class of recursive macro models, with a focus on implications of memory recall based on distant past.

  (Technical Appendix)

• Learning, Confidence, and Business Cycles (with Cosmin Ilut)
  Journal of Monetary Economics, 2021.

  We propose a new propagation mechanism based on firm-level confidence dynamics that challenges and improves upon standard New Keynesian frictions.

  (Technical Appendix)

• Redistribution and Fiscal Uncertainty Shocks
  International Economic Review, 2020.

  The interaction of ambiguity aversion and limited capital market participation magnifies the impact of fiscal uncertainty shocks on economic activity because concerns about redistribution have first-order effects.

  (Technical Appendix)

• Technology Shocks and Hours Revisited: Evidence from Household Data
  Review of Economic Dynamics, 2019.

  Contrary to the aggregate evidence, labor supply responses to technology shocks at the household level indicate that the data is inconsistent with the sticky price view of the business cycle.

  (Working paper version with additional results)

• The Uncertainty Multiplier and Business Cycles
  Journal of Economic Dynamics and Control, 2017.

  A dynamic general equilibrium model where agents learn about macro fundamentals through investment. The endogenously countercyclical uncertainty amplifies output fluctuations by 16%.

• Estimating DSGE Models Using Seasonally Adjusted and Unadjusted Data
  Journal of Econometrics, 2013.

  The common practice of estimating dynamic stochastic general equilibrium (DSGE) models using seasonally adjusted data leads to sizeable distortions in estimated parameters.

  (Technical Appendix)

• The Japanese Depression in the Interwar Period: A General Equilibrium Analysis
  The B.E. Journal of Macroeconomics: Topics, 2008.

  The increase in markups due to cartelization can explain a substantial fraction of Japan’s weak recovery from the Great Depression.

Working Papers

• Smooth Diagnostic Expectations (with Francesco Bianchi and Cosmin Ilut), 2024.

  Introducing Smooth Diagnostic Expectations (Smooth DE), featuring an intrinsic connection between uncertainty and overreaction. We provide novel survey evidence that supports the key prediction of Smooth DE: forecasts overreact more when uncertainty is high. We show Smooth DE explains additional stylized facts on surveys, and key features of business cycles.

• Volatility Shocks in Networks (Revised version coming soon)

  I show how sector-specific changes in volatility propagate through input-output networks and affect macroeconomic variables.

Discussions

• Discussion of “(Un)Conventional Monetary and Fiscal Policy” by Wu and Xie, ASSA Meeting, January 2024

• Discussion of “What Do Sectoral Dynamics Tell Us About the Origins of Business Cycles?” by Matthes and Schwartzman, Workshop on Methods and Applications for DSGE Models, October 2019

• Discussion of “The Origins and Effects of Uncertainty Shocks” by Bianchi, Kung and Tirskikh, Workshop on Methods and Applications for DSGE Models, October 2018

• Discussion of “Are Supply Curves Convex? Implications for State-Dependent Responses to Shocks” by Boehm, Flaaen and Pandalai-Nayar, West Coast Workshop in International Finance, November 2017

• Discussion of “Sentiment and the Business Cycle” by Fabio Milani, California Macroeconomics Conference, October 2016

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