Numerical Simulation and Empirical Study of Term Structure model by nonlinear DSGE model under ZLB

• Project/Area Number: 18K01575
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07040:Economic policy-related
• Research Institution: Tokyo Metropolitan University
• Principal Investigator: Iiboshi Hirokuni 東京都立大学, 経営学研究科, 教授 (90381441)
• Project Period (FY): 2018-04-01 – 2021-03-31
• Project Status: Completed (Fiscal Year 2020)
• Budget Amount: ¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000); Fiscal Year 2020: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2019: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2018: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
• Keywords: 非線形マクロ動学モデル / ベイズ推定 / 動学的一般均衡モデル / ニューケインジアンモデル / ゼロ金利制約 / 金融政策ルール / 非線形モデル / マクロ動学モデル / 金利の期間構造 / マクロ・ファイナンス / ゼロ金利政策 / 日本のマクロ経済の実証 / 米国のマクロ経済の実証 / 非線形ニューケインジアンモデル / 数値的解析 / 政策関数

Outline of Final Research Achievements

We quantitatively measured the effects of monetary policy on the Japanese macroeconomy from 1983 to 2016, including the zero-interest-rate period since 1999, by conducting numerical simulations using parallel computing capabilities in Matlab and Bayesian estimation employing Particle Filter for a nonlinear New Keynesian model under the zero-interest-rate constraint.
We also examined the characteristics of the monetary policy rule adopted by the Japanese central bank under the zero interest rate policy, including the possibility of forward guidance. Regarding the extension of this nonlinear New Keynesian model to the term structure of interest rates, this research will be continued based on previous studies that log-linearize the nonlinear part of the premium risk of long-term interest rates.

Academic Significance and Societal Importance of the Research Achievements

日本ではゼロ金利政策は９９年以降、現在に至るまで約２０年間、常態化している。しかしながら、政策金利をゼロに固定化している場合、金利の上昇や下落の反実仮想を、実際のデータを用いて行うことは容易ではない。本研究は、この反実仮想により金融政策の効果を推定している。本研究の学究的意義は、反実仮想を数値計算・推定で行っている点であり、また社会的意義は、現代日本のマクロ経済政策に指針を提示している点である。

Research Products

• [Journal Article] “Estimating the Nonlinear New Keynesian Model with the Zero Lower Bound for Japan,” (2021)
  • Author(s): Hirokuni Iiboshi, Mototsugu Shintani, & Kozo Ueda
  • Journal Title: Journal of Money, Credit and Banking (forthcoming) Volume: NA
  • Peer Reviewed
• [Journal Article] Source of the Great Recession (2020)
  • Author(s): Ryo Hasumi, Hirokuni Iiboshi, Tatsuyoshi Matsumae and Shin-Ichi Nishiyama
  • Journal Title: In: Stelios Markoulis (Eds.) Financial Crises, INTECHOPEN LIMITED, London, UK, ISBN 978-1-78923-857-0 Volume: 1 Pages: 1-21
  • DOI: 10.5772/intechopen.90729
  • ISBN: 9781789238570, 9781789238587
  • Peer Reviewed / Open Access
• [Journal Article] Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods (2019)
  • Author(s): Hasumi Ryo、Iiboshi Hirokuni、Matsumae Tatsuyoshi、Nakamura Daisuke
  • Journal Title: Journal of Asian Economics Volume: 60 Pages: 45-68
  • DOI: 10.1016/j.asieco.2018.10.005
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Presentation] Estimating Fiscal Multiplier in Japan using a Markov Switching DSGE model with Fiscal and Monetary Policy Regimes” (2020)
  • Author(s): 江口允崇 ・ 飯星博邦
  • Organizer: 日本経済学会秋季大会 (立正大学)
• [Presentation] "The Interaction of Forward Guidance in a Two-Country New Keynesian Model” (2020)
  • Author(s): 井田大輔・ 飯星博邦
  • Organizer: 日本経済学会秋季大会 (立正大学)
• [Presentation] Estimating monetary policy rules and trend inflation by Markov switching DSGE models (2020)
  • Author(s): 蓮見亮・飯星博邦・新谷元嗣
  • Organizer: 日本経済学会春季大会 (九州大学)
• [Presentation] A Bayesian Estimation of HANK models with Continuous Time Approach: Comparison between US and Japan (2019)
  • Author(s): R. Hasumi, H.Iiboshi
  • Organizer: Computing in Economics and Finance 2019, at Carlton Univ. in Ottawa, Canada
  • Int'l Joint Research
• [Presentation] Time-varying Fiscal Multipliers Identified by Systematic Component: Bayesian Approach to TVP-SVAR model (2019)
  • Author(s): H.Iiboshi, Y.Iwata, Y.Kajita, N.Soma
  • Organizer: 15th International Conference Western Economic Association International
  • Int'l Joint Research
• [Presentation] Time-varying Fiscal Multipliers Identified by Systematic Component: Bayesian Approach to TVP-SVAR model (2018)
  • Author(s): H.Iiboshi, Y.Iwata, Y.Kajita, N.Soma
  • Organizer: 日本経済学会秋季大会 (学習院大学 )
• [Presentation] Estimating a Nonlinear New Keynesian Model with a Zero Lower Bound for Japan (2018)
  • Author(s): H.Iiboshi, M. Shintani, K.Ueda
  • Organizer: Vietnam Symposium in Banking and Finance (VSBF2018)
  • Int'l Joint Research