Item Type |
Article |
ID |
|
Preview |
Image |
|
Caption |
|
|
Full text |
KAKEN_17K03663seika.pdf
Type |
:application/pdf |
Download
|
Size |
:107.3 KB
|
Last updated |
:Mar 5, 2021 |
Downloads |
: 189 |
Total downloads since Mar 5, 2021 : 189
|
|
Release Date |
|
Title |
Title |
非線形時系列手法を用いた為替レートの分析
|
Kana |
ヒセンケイ ジケイレツ シュホウ オ モチイタ カワセ レート ノ ブンセキ
|
Romanization |
Hisenkei jikeiretsu shuhō o mochiita kawase rēto no bunseki
|
|
Other Title |
Title |
Analysis of exchange rates using nonlinear time series method
|
Kana |
|
Romanization |
|
|
Creator |
Name |
藪, 友良
|
Kana |
ヤブ, トモヨシ
|
Romanization |
Yabu, Tomoyoshi
|
Affiliation |
慶應義塾大学・商学部 (三田) ・教授
|
Affiliation (Translated) |
|
Role |
Research team head
|
Link |
科研費研究者番号 : 90463819
|
Name |
新谷, 元嗣
|
Kana |
シンタニ, モトツグ
|
Romanization |
Shintani, Mototsugu
|
Affiliation |
東京大学・経済学部・教授
|
Affiliation (Translated) |
|
Role |
Collaborator
|
Link |
科研費研究者番号 : 00252718
|
Name |
|
Kana |
|
Romanization |
|
Affiliation |
|
Affiliation (Translated) |
|
Role |
|
Link |
|
|
Edition |
|
Place |
|
Publisher |
|
Date |
Issued (from:yyyy) |
2020
|
Issued (to:yyyy) |
|
Created (yyyy-mm-dd) |
|
Updated (yyyy-mm-dd) |
|
Captured (yyyy-mm-dd) |
|
|
Physical description |
|
Source Title |
Name |
科学研究費補助金研究成果報告書
|
Name (Translated) |
|
Volume |
|
Issue |
|
Year |
2019
|
Month |
|
Start page |
|
End page |
|
|
ISSN |
|
ISBN |
|
DOI |
|
URI |
|
JaLCDOI |
|
NII Article ID |
|
Ichushi ID |
|
Other ID |
|
Doctoral dissertation |
Dissertation Number |
|
Date of granted |
|
Degree name |
|
Degree grantor |
|
|
Abstract |
先行研究では、貨幣需要関数として、log-log formとsemi-log formが用いられてきている。両モデルの違いは、金利がゼロに近づくと大きくなっていくが (log-log formでは貨幣需要は発散する一方、semi-log formでは貨幣需要に飽和点が存在する) 、いまだにどちらが正しいモデルであるかについてコンセンサスは存在しない。我々は、両モデルの違いが低金利下で明らかになることに着目して、アメリカと日本が低金利を経験した期間を分析することで、貨幣需要関数を推定している。その結果、log-log formが正しい定式化であることが明らかになった。
We estimate a money demand function using US data from 1980 onward,including the period of near-zero interest rates. The substantial increase in the money-income ratio during the period of near-zero interest rates is captured well by the money demand function in log-log form, but not by that in semi-log form. Our result is the opposite of the result obtained by Ireland (2009), who, using data up until 2006, found that the semi-log specification performs better. The difference in the result from Ireland (2009) mainly stems from the difference in the observation period employed: our observation period contains 24 quarters with interest rates below 1 percent, while Ireland's (2009) observation period contains only three quarters. We also find that the welfare cost of inflation is small: the welfare cost of 2 percent inflation is only 0.04 percent of national income, which is of a similar magnitude as the estimate obtained by Ireland (2009) but smaller than the estimate by Lucas (2000).
|
|
Table of contents |
|
Keyword |
|
NDC |
|
Note |
研究種目 : 基盤研究 (C) (一般)
研究期間 : 2017~2019
課題番号 : 17K03663
研究分野 : 計量経済学、国際金融
|
|
Language |
|
Type of resource |
|
Genre |
|
Text version |
|
Related DOI |
|
Access conditions |
|
Last modified date |
|
Creation date |
|
Registerd by |
|
History |
|
Index |
|
Related to |
|