| Project/Area Number |
16K03595
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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 statistics
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| Research Institution | National Graduate Institute for Policy Studies |
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Principal Investigator |
Hayashi Fumio 政策研究大学院大学, 政策研究科, 特別教授 (80159095)
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| Project Period (FY) |
2016-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥3,120,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥720,000)
Fiscal Year 2018: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2016: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Keywords | GDPの予測 / nowcasting / GDP / 状態空間モデル / Nowcasting / Mixed Frequency / Maximum Likelihood / ナウカスト / リアルタイムデータ / 最尤法 / 月次予想 / DFM / 国民経済計算 |
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| Outline of Final Research Achievements |
Many key economic variables, most notably GDP, are published with considerable delay. Inferring their current values from other indicator variables that are more frequently or more promptly observed is called nowcasting. The purpose of this research is to backtest a nowcast of Japan's GDP. A backtest of a forecast is to evaluate the accuracy of a forecast that is based on the information available at the time of the forecast. The backtesting period is 2008-2017. We find that the performance of the GDP nowcast is comparable to a consensus forecast by professional economists in the forecasting accuracy.
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| Academic Significance and Societal Importance of the Research Achievements |
GDPの迅速な推計は、社会の要請である。例えば、2014年秋の安倍政権による消費税率の引上げ延期の決定は、第3四半期のGDPの速報が公表された11月中旬まで待たなければならなかった。本研究では、nowcastingと呼ばれる手法によるGDP推定値が、後に公表されるの政府の推定値のかなり正確な予測になっていることを示した。その予測の正確性は、民間エコノミストによる予測と拮抗する水準にある。
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