| Budget Amount *help |
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2009: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Research Abstract |
We investigate the dynamics of short-term interest rate empirically based on a popular policy reaction function proposed by Clarida et al. (1998). We want to simulate long-term series of nominal short-term interest rate which includes periods of low interest rate around its lower bound. So we develop this base model to a Tobit model to express the dynamics of short-term rate at either higher or lower level. Also we prepare four alternative consistent estimators, three GMMEs and a MLE, to estimate this Tobit model. Using a realized long-term series of short-term interest rate of Japanese Yen which includes enough observations around its lower bound, we estimate our Tobit model by each estimator. And we find the opposite biases in residuals between GMMEs and MLE. Some additional analyses show that these biases might not be caused by existence of lower bound. So we suspect the base model and test a hypothesis assumed in it that a central bank would make interest rate smoothing. It has been known difficult to test it empirically. But now we have a new way to test it by exploiting the lower bound of interest rate. Indeed the interest rate smoothing hypothesis is rejected strongly by this test using Japanese data.
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