| Project/Area Number |
15K03439
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic policy
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| Research Institution | Tokyo Metropolitan University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2016: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | ニューケインジアンモデル / 非線形動学モデル / ベイズ統計学 / DSGEモデル / マルコフ連鎖モンテカルロ法 / 予測分布 / モデル結合 / ニューケインジアン / ゼロ金利制約 / モンテカルロ法 / 数値計算 / 非対称の調整コスト / 自然利子率 / 金融摩擦 |
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| Outline of Final Research Achievements |
Using Bayesian statistics, I examine and develop new methods of improving forecast performance of macro time series by combining multiple prediction densities derived from individual macroeconomic models, compared with the density from a single macro model. In addition, by expanding data from only output and inflation to term structure of interest rates, I verify that not only combining of multiple models but also combining of multiple data sets are useful to improve it. And I also estimate Japanese economy under deflation and zero lower bound after 1999, using nonlinear new Keynesian model.
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