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

Empirical Investigation of Macroeconomic Effects of Economic Policy under Zero Lower Bound

Research Project

Project/Area Number 19K13652
Research Category

Grant-in-Aid for Early-Career Scientists

Allocation TypeMulti-year Fund
Review Section Basic Section 07010:Economic theory-related
Research InstitutionHosei University

Principal Investigator

Morita Hiroshi  法政大学, 経済学部, 准教授 (70732759)

Project Period (FY) 2019-04-01 – 2023-03-31
Project Status Completed (Fiscal Year 2022)
Budget Amount *help
¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2022: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2021: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2020: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2019: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Keywords財政政策 / 時系列分析 / 情報効果 / ベイズ推定 / 高齢化 / ゼロ金利政策 / VAR / 経済予測 / MIDAS / 非線形性 / マクロ経済学
Outline of Research at the Start

本研究ではベクトル自己回帰モデルをはじめとする時系列分析の手法を利用、及び、拡張することで金融財政政策といった政府・中央銀行の経済政策の効果と波及メカニズムを解明することを目的としている。さらに、経済状況に応じて政策の効果が変化する、政策効果の状態依存性や非線形性に着目して、より効果的な経済政策の在り方や発動のタイミングを明らかにしたいと考えている。また、分析を通じて新たな推計手法を確立することも本研究の目的のひとつである。

Outline of Final Research Achievements

For investigating the macroeconomic effects of fiscal policy, I’ve mainly addressed (i) the development of a time-varying parameters vector autoregressive model that explicitly allows the nonlinear situation occurred in the zero lower bound of nominal interest rates and (ii) the construction of a dynamic stochastic general equilibrium model consisting of multiple types of agents such as rule-of-thumb households and retirees. As a result, I found that the fiscal multiplier increases under a zero lower bound and that the fiscal multiplier may decrease with an aging population. These research outcomes have been published in one book, one peer-reviewed academic journal, and 27 presentations at academic conferences (18 of which were international conferences).

Academic Significance and Societal Importance of the Research Achievements

本研究課題で得られたいずれの結果も、長く経済停滞が続き、また、少子高齢化が進んでいる我が国の実際の経済政策の運営に関連するものであり、一定の示唆を与えるものであると考えられる。また、このような研究成果を広く海外を含めた学術会議の場で発信したことは学術的に意義が深いことである。さらに、本研究で開発した計量モデルやマクロ経済モデルは今回分析対象とした経済事情以外にも幅広く応用可能な手法となっている。

Report

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

    (36 results)

All 2023 2022 2021 2020 2019 Other

All Int'l Joint Research (5 results) Journal Article (3 results) (of which Peer Reviewed: 1 results,  Open Access: 2 results) Presentation (27 results) (of which Int'l Joint Research: 18 results) Book (1 results)

  • [Int'l Joint Research] University of Oxford(英国)

    • Related Report
      2022 Annual Research Report
  • [Int'l Joint Research] Federal Reserve Bank of Chicago(米国)

    • Related Report
      2022 Annual Research Report
  • [Int'l Joint Research] Sveriges Riksbank(スウェーデン)

    • Related Report
      2022 Annual Research Report
  • [Int'l Joint Research] オックスフォード大学(英国)

    • Related Report
      2021 Research-status Report
  • [Int'l Joint Research] シカゴ連銀(米国)

    • Related Report
      2021 Research-status Report
  • [Journal Article] On the relationship between fiscal multipliers and population aging in Japan: Theory and empirics2022

    • Author(s)
      Morita Hiroshi
    • Journal Title

      Economic Modelling

      Volume: 108 Pages: 105772-105772

    • DOI

      10.1016/j.econmod.2022.105772

    • Related Report
      2021 Research-status Report
    • Peer Reviewed
  • [Journal Article] An Effect of Population Aging on the Effectiveness of Fiscal Policy: Analysis using a panel VAR model2021

    • Author(s)
      Hiroshi Morita, Hidekazu Niwa
    • Journal Title

      Public Policy Review

      Volume: 17 Pages: 1-20

    • Related Report
      2021 Research-status Report
    • Open Access
  • [Journal Article] 人口高齢化が財政政策の有効性に与える影響-パネルVARモデルによる分析-2021

    • Author(s)
      森田裕史・二羽秀和
    • Journal Title

      フィナンシャル・レビュー

      Volume: 第2号 Pages: 32-48

    • Related Report
      2020 Research-status Report
    • Open Access
  • [Presentation] Central Bank Information Effects in Japan : The Role of Uncertainty Channel2023

    • Author(s)
      Ryo Matsumoto, Hiroshi Morita, Taiki Ono
    • Organizer
      The HSI2022-8th Hitotsubashi Summer Institute
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The signaling effects of fiscal announcements2023

    • Author(s)
      Leonardo Melosi, Hiroshi Morita, Anna Rogantini-Picco, Francesco Zanetti
    • Organizer
      「動学的パネルデータモデルによる多国間経済及びファイナンス波及分析」研究集会
    • Related Report
      2022 Annual Research Report
  • [Presentation] COVID-19 Uncertainty Index in Japan: Newspaper-Based Measures and Economic Activities2022

    • Author(s)
      小野泰輝、森田裕史
    • Organizer
      日本経済学会2022年度春季大会
    • Related Report
      2022 Annual Research Report
  • [Presentation] The signaling effects of fiscal announcements2022

    • Author(s)
      Leonardo Melosi, Hiroshi Morita, Francesco Zanetti
    • Organizer
      5th international conference on Econometrics and Statistics
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Forecasting GDP growth using stock returns in Japan: A factor-augmented MIDAS approach2022

    • Author(s)
      Hiroshi Morita
    • Organizer
      The 16th International Symposium on Econometric Theory and Applications: SETA2022
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The signaling effects of fiscal announcements2022

    • Author(s)
      Leonardo Melosi, Hiroshi Morita, Francesco Zanetti
    • Organizer
      The 3rd TWID International Finance Conference
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The signaling effects of fiscal announcements2022

    • Author(s)
      Leonardo Melosi, Hiroshi Morita, Francesco Zanetti
    • Organizer
      Singapore Economic Review Conference 2022
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The signaling effects of fiscal announcements2022

    • Author(s)
      Leonardo Melosi, Hiroshi Morita, Francesco Zanetti
    • Organizer
      2022 Asian Meeting of the Econometric Society in East and South-East Asia
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The signaling effects of fiscal announcements2022

    • Author(s)
      Leonardo Melosi, Hiroshi Morita, Francesco Zanetti
    • Organizer
      EEA-ESEM2022
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The signaling effects of fiscal announcements2022

    • Author(s)
      Leonardo Melosi, Hiroshi Morita, Anna Rogantini-Picco, Francesco Zanetti
    • Organizer
      Workshop on Methods and Applications for Dynamic Stochastic General Equilibrium Models, Fall 2022
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Forecasting GDP growth using stock returns in Japan: A factor-augmented MIDAS approach2022

    • Author(s)
      Hiroshi Morita
    • Organizer
      16th International Conference on Computational and Financial Econometrics
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The Signalling Effects of Fiscal Announcements: Results from Supplementary Fiscal Stimuli2021

    • Author(s)
      Morita, Hiroshi, Zanetti, Francesco and Melosi, Leonardo
    • Organizer
      CFE2021-15th International Conference on Computational and Financial Econometrics
    • Related Report
      2021 Research-status Report
    • Int'l Joint Research
  • [Presentation] Fiscal Multipliers under the Effective Lower Bound: An Empirical Study in Japan2021

    • Author(s)
      Morita, Hiroshi
    • Organizer
      Webinar of Bayesian Econometrics
    • Related Report
      2021 Research-status Report
    • Int'l Joint Research
  • [Presentation] The Signalling Effects of Fiscal Announcements: Results from Event Studies2021

    • Author(s)
      Morita, Hiroshi, Zanetti, Francesco and Melosi, Leonardo
    • Organizer
      HSI2021-The 7th Hitotsubashi Summer Institute
    • Related Report
      2021 Research-status Report
    • Int'l Joint Research
  • [Presentation] Forecasting public investment using daily stock returns2021

    • Author(s)
      Morita, Hiroshi
    • Organizer
      4th International Conference on Econometrics and Statistics (EcosSta 2021)
    • Related Report
      2021 Research-status Report
    • Int'l Joint Research
  • [Presentation] The Signalling Effects of Fiscal Announcements2021

    • Author(s)
      森田裕史・Zanetti, Francesco・Melosi, Leonardo
    • Organizer
      第23回マクロ・コンファレンス
    • Related Report
      2021 Research-status Report
  • [Presentation] Fiscal multipliers in the most aged country: Empirical evidence and theoretical interpretation2021

    • Author(s)
      森田裕史
    • Organizer
      日本経済学会2021年度秋季大会
    • Related Report
      2021 Research-status Report
  • [Presentation] Forecasting Public Investment Using Daily Stock Returns2020

    • Author(s)
      森田裕史
    • Organizer
      2020年度日本経済学会春季大会
    • Related Report
      2020 Research-status Report
  • [Presentation] Fiscal multipliers in the most aged country: Empirical evidence and theoretical interpretation2020

    • Author(s)
      Hiroshi Morita
    • Organizer
      HSI2020-The 6th Hitotsubashi Summer Institute
    • Related Report
      2020 Research-status Report
    • Int'l Joint Research
  • [Presentation] Fiscal multipliers in the most aged country: Empirical evidence and theoretical interpretation2020

    • Author(s)
      Hiroshi Morita
    • Organizer
      Webinar of Bayesian Econometrics 2020
    • Related Report
      2020 Research-status Report
    • Int'l Joint Research
  • [Presentation] Fiscal multipliers in the most aged country: Empirical evidence and theoretical interpretation2020

    • Author(s)
      Hiroshi Moita
    • Organizer
      CFE2020-14th International Conference on Computational and Financial Econometrics-
    • Related Report
      2020 Research-status Report
    • Int'l Joint Research
  • [Presentation] Empirical Analysis on the Effects of Japanese Fiscal Policy under the Effective Lower Bound2019

    • Author(s)
      森田裕史
    • Organizer
      2019年度日本経済学会春季大会
    • Related Report
      2019 Research-status Report
  • [Presentation] Forecasting Public Investment Using Daily Stock Returns2019

    • Author(s)
      Hiroshi Morita
    • Organizer
      HSI2019-The 5th Hitotsubashi Summer Institute
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] Empirical Analysis on the Effects of Japanese Fiscal Policy under the Effective Lower Bound2019

    • Author(s)
      森田裕史
    • Organizer
      SWET2019財政セッション
    • Related Report
      2019 Research-status Report
  • [Presentation] Forecasting Public Investment Using Daily Stock Returns2019

    • Author(s)
      森田裕史
    • Organizer
      東北大学現代経済学研究会
    • Related Report
      2019 Research-status Report
  • [Presentation] Forecasting Public Investment Using Daily Stock Returns2019

    • Author(s)
      森田裕史
    • Organizer
      ベイズ計量経済学研究集会
    • Related Report
      2019 Research-status Report
  • [Presentation] Forecasting Public Investment Using Daily Stock Returns2019

    • Author(s)
      Hiroshi Morita
    • Organizer
      13th International Conference on Computational and Financial Econometrics
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Book] マクロ経済構造の分析2023

    • Author(s)
      森田 裕史
    • Total Pages
      208
    • Publisher
      日本評論社
    • ISBN
      9784535540606
    • Related Report
      2022 Annual Research Report

URL: 

Published: 2019-04-18   Modified: 2024-01-30  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi