| Project/Area Number |
17K03663
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Multi-year Fund |
|---|
| Section | 一般 |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | Keio University |
|---|
Principal Investigator |
Yabu Tomoyoshi 慶應義塾大学, 商学部(三田), 教授 (90463819)
|
|---|
| Project Period (FY) |
2017-04-01 – 2020-03-31
|
| Project Status |
Completed (Fiscal Year 2019)
|
| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2019: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2018: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2017: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
|
|---|
| Keywords | 共和分検定 / 定常 / 貨幣需要 / ゼロ金利 / インフレの厚生コスト / 貨幣需要関数 / log-log / semi-log / 共和分 / 構造変化 / インフレのコスト / 単位根 / 低金利 / 共和分関係 / 介入 / 為替レート |
|---|
| Outline of Final Research Achievements |
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).
|
| Academic Significance and Societal Importance of the Research Achievements |
貨幣需要関数の定式化を特定することは、以下の3点から重要となる。第1に、定式化を特定することで、経済モデルの前提に関する情報が得られる。第2に、定式化の違いはインフレの厚生コストの計算に影響を与える。第3に、定式化の違いは、ゼロ金利において貨幣需要の動きに大きな違いを生じさせる。我々は、低金利のデータを分析することで、貨幣需要関数はlog-log formであると明らかにしている。本研究の結果は、経済モデルの前提に関する情報を提供するだけでなく、インフレの厚生コストを正確に把握し、また、低金利での貨幣需要の動きを予測するうえで大きな示唆を与えてくれる。
|
