• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

Solution and estimation of nonlinear DSGE models

Research Project

Project/Area Number 18K12743
Research Category

Grant-in-Aid for Early-Career Scientists

Allocation TypeMulti-year Fund
Review Section Basic Section 07010:Economic theory-related
Research InstitutionHitotsubashi University (2020-2022)
Kobe University (2018-2019)

Principal Investigator

SUNAKAWA Takeki  一橋大学, 大学院経済学研究科, 准教授 (10747223)

Project Period (FY) 2018-04-01 – 2023-03-31
Project Status Completed (Fiscal Year 2022)
Budget Amount *help
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2019: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2018: ¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
KeywordsDSGEモデル / 非線形性 / 金融政策 / ゼロ金利制約 / ベイズ推定 / ニューケインジアンモデル / 数値計算 / 数値解法 / パラメータ推定
Outline of Final Research Achievements

During the research period, two papers were accepted and a working paper was compiled. A survey on solution methods and estimation techniques for nonlinear DSGE models was summarized and published in the Japanese Economic Review. Additionally, an estimation of the natural interest rate in the U.S. economy was conducted using a nonlinear DSGE model that considers the non-negativity constraint on nominal interest rates, and it was published in the International Journal of Central Banking. Furthermore, the issues regarding the Inversion filter used in the estimation of nonlinear models were compiled into a working paper.

Academic Significance and Societal Importance of the Research Achievements

名目金利の非負制約のような非線形性は、金融政策を行うにあたって非常に影響が大きい。実際に、各国の中央銀行は、2008年の世界金融危機や、2020年のコロナショックにおいて、そのような制約に直面してきた。本研究は、たとえば、自然利子率の計測が、名目金利の非負制約を考慮することで異なり得ることを示した。実質金利と自然利子率の差は金利ギャップと呼ばれ、金利ギャップが正のときは金融政策は引き締め的に、負のときは緩和的になる。本研究は、現実に多くの中央銀行が近年直面してきた、名目金利の非負制約が存在する際に、金融政策をどのように行えばよいのかについても示唆を与えるものである。

Report

(6 results)
  • 2022 Annual Research Report   Final Research Report ( PDF )
  • 2021 Research-status Report
  • 2020 Research-status Report
  • 2019 Research-status Report
  • 2018 Research-status Report
  • Research Products

    (9 results)

All 2023 2022 2021 2019 2018 Other

All Int'l Joint Research (1 results) Journal Article (1 results) (of which Peer Reviewed: 1 results) Presentation (5 results) (of which Int'l Joint Research: 4 results,  Invited: 1 results) Remarks (2 results)

  • [Int'l Joint Research] オーストラリア国立大学経済学部(オーストラリア)

    • Related Report
      2019 Research-status Report
  • [Journal Article] The Natural Rate of Interest in a Nonlinear DSGE Model2023

    • Author(s)
      Hirose, Yasuo and Takeki Sunakawa
    • Journal Title

      International Journal of Central Banking

      Volume: 77 Pages: 301-339

    • Related Report
      2022 Annual Research Report
    • Peer Reviewed
  • [Presentation] Forward Guidance as a Monetary Policy Rule2022

    • Author(s)
      Takeki Sunakawa
    • Organizer
      International Conference on Econometrics and Statistics
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Forward Guidance as a Monetary Policy Rule2021

    • Author(s)
      Takeki Sunakawa
    • Organizer
      The 15th International Conference on Computational and Financial Econometrics
    • Related Report
      2021 Research-status Report
    • Int'l Joint Research
  • [Presentation] Credible Forward Guidance2019

    • Author(s)
      Takeki Sunakawa
    • Organizer
      Workshop of the Australian Marcoeconomics Society
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] 非線形DSGEモデルの解法と推定方法2018

    • Author(s)
      砂川武貴・廣瀬康生
    • Organizer
      日本経済学会2018年度春季大会
    • Related Report
      2018 Research-status Report
    • Invited
  • [Presentation] The Natural Rate of Interest in a Nonlinear DSGE Model2018

    • Author(s)
      Takeki Sunakawa
    • Organizer
      University of Mannheim
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Remarks] Takeki Sunakawa's economics website

    • URL

      https://sites.google.com/view/takekisunakawa/home

    • Related Report
      2018 Research-status Report
  • [Remarks] Yasuo Hirose

    • URL

      https://sites.google.com/site/yasuohirose/

    • Related Report
      2018 Research-status Report

URL: 

Published: 2018-04-23   Modified: 2024-01-30  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi