| Project/Area Number |
15KK0141
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| Research Category |
Fund for the Promotion of Joint International Research (Fostering Joint International Research)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic policy
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| Research Institution | Fukuoka University |
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Principal Investigator |
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| Research Collaborator |
Nielsen Bent University of Oxford, Nuffield College and the Department of Economics, Professor of Econometrics
Jennifer L. Castle University of Oxford, Magdalen College and the Institute for New Economic Thinking at the Oxford Martin School, Senior Research Fellow
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| Project Period (FY) |
2016 – 2018
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| Project Status |
Completed (Fiscal Year 2018)
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| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
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| Keywords | 経済政策 / 為替レート・物価 / 時系列データ / 時系列分析 / ルーカス批判 / 超外生性 / 弱外生性 |
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| Outline of Final Research Achievements |
I pursued advanced econometric research on cointegrated vector autoregressive (CVAR) models allowing for structural breaks so as to address various issues related to the Lucas critique, a well-known critique against the use of econometric models in evaluating economic policies. The research project consisted of the following three stages: (1) developing required mathematical econometric theories, (2) conducting a series of Monte Carlo simulation analyses and (3) modeling and analyzing real-life time series data. I clarified the importance of a class of exogenous variables in drawing inference for quantitative policy evaluations using CVAR models. I presented the outcome of the research at various conferences and seminars. I also wrote a series of research papers and submitted them to academic peer-reviewed journals.
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| Academic Significance and Societal Importance of the Research Achievements |
構造変化に配慮した多変量時系列分析手法の開発とそれを用いた様々な実証研究により、金融政策をはじめとしたマクロ経済政策に関してデータに基づく知見を得ることができ、開放経済における今後のマクロ経済政策の決定等において有益な定量的研究を行うことができた。
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