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KAKEN_26780124seika.pdf
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Download
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:174.0 KB
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:Nov 12, 2018 |
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Total downloads since Nov 12, 2018 : 450
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名目金利の非負制約を考慮した動学的一般均衡モデルのマクロ実証分析への応用
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メイモク キンリ ノ ヒフ セイヤク オ コウリョシタ ドウガクテキ イッパン キンコウ モデル ノ マクロ ジッショウ ブンセキ エノ オウヨウ
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Meimoku kinri no hifu seiyaku o kōryoshita dōgakuteki ippan kinkō moderu no makuro jisshō bunseki eno ōyō
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Empirical analysis using dynamic stochastic general equilibrium models with the zero lower bound constraint on the nominal interest rate
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廣瀬, 康生
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ヒロセ, ヤスオ
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Hirose, Yasuo
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慶應義塾大学・経済学部・教授
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Research team head
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科研費研究者番号 : 50583663
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2018
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科学研究費補助金研究成果報告書
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2017
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本研究には大きく分けて二つの学術的貢献があった。(1)名目金利の非負制約の存在によって定常状態におけるインフレ率が負となる「デフレ均衡」が生じるモデルを構築し, 日本のマクロ経済データを用いて推定を行うことによって, 近年の日本経済の特徴を明らかにした。(2)名目金利の非負制約を考慮せずにモデルを推定すると, モデルのパラメータおよび自然利子率といった潜在変数の推定値に大きな歪みが生じることが分かった。
This research project made two major academic contributions. First, I estimated a medium-scale DSGE model with a deflation steady state for the Japanese economy during the period from 1999 to 2013, when the Bank of Japan conducted a zero interest rate policy and the inflation rate was almost always negative, and revealed the characteristics of the economy during the period. Second, I found that the estimates of parameters and the natural interest rate in a DSGE model could be substantially biased if the zero lower bound constraint on the nominal interest rate was not taken into account in estimation.
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研究種目 : 若手研究(B)
研究期間 : 2014～2017
課題番号 : 26780124
研究分野 : マクロ経済学, 金融政策
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