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Econometric Analysis of Macroeconomic Policy under Financial Crisis

Research Project

Project/Area Number 22243026
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic policy
Research InstitutionHitotsubashi University

Principal Investigator

WATANABE Toshiaki  一橋大学, 経済研究所, 教授 (90254135)

Co-Investigator(Kenkyū-buntansha) SHIOJI Etsuro  一橋大学, 大学院・経済学研究科, 教授 (50301180)
ASAKO Kazumi  一橋大学, 経済研究所, 教授 (60134194)
WATANABE Tsutomu  東京大学, 大学院・経済学研究科, 教授 (90313444)
FUKUSHIGE Mototsugu  大阪大学, 大学院・経済学研究科, 教授 (10208936)
Co-Investigator(Renkei-kenkyūsha) KAKAMU Kazuhiko  千葉大学, 法経学部, 准教授 (00456005)
Project Period (FY) 2010 – 2012
Project Status Completed (Fiscal Year 2012)
Budget Amount *help
¥47,710,000 (Direct Cost: ¥36,700,000、Indirect Cost: ¥11,010,000)
Fiscal Year 2012: ¥17,420,000 (Direct Cost: ¥13,400,000、Indirect Cost: ¥4,020,000)
Fiscal Year 2011: ¥11,310,000 (Direct Cost: ¥8,700,000、Indirect Cost: ¥2,610,000)
Fiscal Year 2010: ¥18,980,000 (Direct Cost: ¥14,600,000、Indirect Cost: ¥4,380,000)
KeywordsDSGE / MCMC / ゼロ金利 / ベイズ推定 / マクロ経済 / リーマンショック / 可変パラメータ VAR / 金融政策 / 時変VARモデル / マルコフスイッチングモデル / 確率的ボラティリティ変動モデル / 為替レート / バブル / 地価 / 可変パラメータVAR
Research Abstract

The DSGE, DSGE-VAR, time-varying VAR and Markov switching models are refined and applied to the macroeconomic data in Japan. The results are presented in conferences and published in refereed journals. An exact method for estimating the time-varying the parameters and a method for the ordering of variables are developed for the time-varying VAR models. The causes of the long deflation during the zero interest rate periods, the relation between the foreign exchange intervention and the monetary policy during the quantitative easing periods and an early warning test for housing bubbles are also analyzed.

Report

(4 results)
  • 2012 Annual Research Report   Final Research Report ( PDF )
  • 2011 Annual Research Report
  • 2010 Annual Research Report
  • Research Products

    (116 results)

All 2013 2012 2011 2010 Other

All Journal Article (38 results) (of which Peer Reviewed: 30 results) Presentation (70 results) (of which Invited: 4 results) Book (5 results) Remarks (3 results)

  • [Journal Article] A Statistical Model of Speculative Bubbles, with Applications to the Stock Markets of the United States, Japan, and China2013

    • Author(s)
      Kazumi Asako and Zhentao Liu
    • Journal Title

      Journal of Banking and Finance

      Volume: (印刷中)(掲載決定)

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] The Bubble Burst and Stagnation of Japan2013

    • Author(s)
      Etsuro Shioji
    • Journal Title

      Randall E. Parker and Robert M. Whaples (eds), The Routledge Handbook of Major Events inEconomic History , RoutledgeInternational Handbooks, Routledge(図書所収論文)

      Pages: 316-329

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] The Great Intervention and Massive Money Injection: The Japanese Experience 2003-20042013

    • Author(s)
      Tsutomu Watanabe and Tomoyoshi Yabu
    • Journal Title

      Journal of International Money and Finance

      Volume: Vol.32 Issue: 2 Pages: 428-443

    • DOI

      10.5539/jfr.v1n2p32

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Realized Stochastic Volatilityモデル-マルコフ連鎖モンテカルロ法を用いたベイズ分析2013

    • Author(s)
      大森裕浩・渡部敏明
    • Journal Title

      日本統計学会誌

      Volume: 42 Pages: 273-303

    • NAID

      110009594892

    • Related Report
      2012 Annual Research Report
  • [Journal Article] News  impact curve for stochastic volatility models2013

    • Author(s)
      Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
    • Journal Title

      Economics Letters

      Volume: 120-1 Issue: 1 Pages: 130-134

    • DOI

      10.1016/j.econlet.2013.03.001

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Bubble Burst and Stagnation of Japan2013

    • Author(s)
      Etsuro Shioji
    • Journal Title

      Randall E. Parker and Robert M. Whaples (eds), The Routledge Handbook of Major Events in Economic History (図書所収論文)

      Volume: - Pages: 316-329

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Meta-Analytic Approach to the Impacts of Tourism and Fiscal Expenditure on the Remote Islands of Japan2013

    • Author(s)
      Noriko Ishikawa and Mototsugu Fukushige
    • Journal Title

      Studies in Applied Economics

      Volume: 6 Pages: 16-33

    • NAID

      40019598493

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Targeted Standards for Floor Space in a Government Housing Plan: An Empirical Investigation of the Kanto Area in Japan2013

    • Author(s)
      Mototsugu Fukushige and Noriko Ishikawa
    • Journal Title

      International Real Estate Review

      Volume: 未定

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 時変ベクトル自 己回帰モデル-サーベイと日本のマクロ データへの応用2012

    • Author(s)
      中島上智, 渡部敏明
    • Journal Title

      経済研究

      Volume: 63巻 Pages: 193-208

    • NAID

      120005473160

    • URL

      http://hermes-ir.lib.hit-u.ac.jp/rs/handle/10086/20318

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] 資本蓄積・資本破壊と公的投資の生産性について:経済成長モデルによる検証2012

    • Author(s)
      塩路悦朗
    • Journal Title

      大垣昌夫・小西秀樹・田渕隆俊・小川一夫編『現代経済学の潮流2012』, 東洋経済新報社(図書所収論文)

      Pages: 93-116

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] The Evolution of the Exchange Rate Pass-Through in Japan: A Re-evaluation Based on Time-Varying Parameter VARs2012

    • Author(s)
      Etsuro Shioji
    • Journal Title

      Public Policy Review

      Volume: Vol.8 Pages: 67-92

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Physical Capital Accumulation in Asia 12 : Past Trends and Future Projections2012

    • Author(s)
      Etsuro Shioji and Vu Tuan Khai
    • Journal Title

      Japan and the World Economy

      Volume: 24巻、2号 Issue: 2 Pages: 138-149

    • DOI

      10.1016/j.japwor.2012.01.011

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] A New Method for Identifying the Effects of CentralBank Interventions2012

    • Author(s)
      Chih-Nan Chen, Tsutomu Watanabe and Tomoyoshi Yabu
    • Journal Title

      Journal of Money, Credit and Banking

      Volume: Vol.44 Issue: 1 Pages: 1507-1533

    • DOI

      10.1186/2191-1991-2-10

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Tax Projections and Economic Forecasts by Government Bureaucrats: Hidden Maneuverings behind Fiscal Reconstruction in Japan2012

    • Author(s)
      Satoko Maekawa and Mototsugu Fukushige
    • Journal Title

      Japanese Economic Review

      Volume: Vol.63 Issue: 4 Pages: 528-545

    • DOI

      10.1111/j.1468-5876.2011.00558.x

    • Related Report
      2012 Annual Research Report 2012 Final Research Report 2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 時変ベクトル自己回帰モデル-サーベイと日本のマクロデータへの応用-2012

    • Author(s)
      中島上智・渡部敏明
    • Journal Title

      経済研究

      Volume: 63 Pages: 193-208

    • NAID

      120005473160

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 資本蓄積・資本破壊と公的投資の生産性について:経済成長モデルによる検証2012

    • Author(s)
      塩路悦朗
    • Journal Title

      大垣 昌夫・小西 秀樹・田渕 隆俊・ 小川 一夫編 『現代経済学の潮流2012』 (図書所収論文)

      Volume: - Pages: 93-116

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 非伝統的金融政策の評価:パネル討論II2012

    • Author(s)
      塩路悦朗・雨宮正佳・岩本康志・植田和男・本多佑三
    • Journal Title

      大垣 昌夫・小西 秀樹・田渕 隆俊・ 小川 一夫編 『現代経済学の潮流2012』 (図書所収論文)

      Volume: - Pages: 193-235

    • Related Report
      2012 Annual Research Report
  • [Journal Article] Land Prices and Landscape Preservation Restriction in a Metropolitan Area: The Case of Kyoto City2012

    • Author(s)
      Kazuhisa Matsui and Mototsugu Fukushige
    • Journal Title

      Review of Urban & Regional Development Studies

      Volume: 24 Issue: 1-2 Pages: 17-34

    • DOI

      10.1111/j.1467-940x.2012.00186.x

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] MCMCのマクロ計量モデルへの応用2012

    • Author(s)
      渡部敏明
    • Journal Title

      景気とサイクル

      Volume: 第53号 Pages: 63-72

    • Related Report
      2011 Annual Research Report
  • [Journal Article] Physical Capital Accumulation in Asia 12 : Past Trends and Future Projections2012

    • Author(s)
      Etsuro Shioji, Vu Tuan Khai
    • Journal Title

      Japan and the World Economy

      Volume: (Forthcoming)(掲載決定)

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A New Method for Identifying the Effects of Central Bank Interventions2012

    • Author(s)
      Tsutomu Watanabe, C.Chen, T.Yabu
    • Journal Title

      Journal of Money, Credit and Banking

      Volume: (Forthcoming)(掲載決定)

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Discussion of 'Food Price Pass-Through in the Euro Area : Non-Linearities and the Role of the Common Agricultural Policy2012

    • Author(s)
      Tsutomu Watanabe
    • Journal Title

      International Journal of Central Banking Monetary Policy Issues in Open Economies

      Volume: March,2012 Pages: 219-225

    • Related Report
      2011 Annual Research Report
  • [Journal Article] House Prices from Magazines, Realtors, and the Land Registry2012

    • Author(s)
      Tsutomu Watanabe
    • Journal Title

      BIS Economic Papers

      Volume: No.64 Pages: 29-38

    • Related Report
      2011 Annual Research Report
  • [Journal Article] Space-time model versus VAR model : Forecasting electricity demand in Japan2012

    • Author(s)
      Ohtsuka, Yoshihiro, Kazuhiko Kakamu
    • Journal Title

      Journal of Forecasting

      Volume: (Forthcoming)(掲載確定) Issue: 1 Pages: 75-85

    • DOI

      10.1002/for.1255

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy2011

    • Author(s)
      Jouchi Nakajima, Munehisa Kasuya, Toshiaki Watanabe
    • Journal Title

      Journal of the Japanese and International Economies

      Volume: 25 Issue: 3 Pages: 225-245

    • DOI

      10.1016/j.jjie.2011.07.004

    • NAID

      210000165319

    • Related Report
      2012 Final Research Report 2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] マクロ動学一般均衡モデル-サーベイと日本のマクロ データへの応用-2011

    • Author(s)
      藤原一平・渡部敏明
    • Journal Title

      経済研究

      Volume: 62巻 Pages: 66-93

    • URL

      http://hermes-ir.lib.hit-u.ac.jp/rs/handle/10086/222309

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Fiscal Policy in a New Keynesian Overlapping Generations Model of a Small Open Economy2011

    • Author(s)
      Etsuro Shioji, Vu Tuan Khai and Hiroko Takeuchi
    • Journal Title

      経済研究

      Volume: 62巻 Pages: 30-43

    • NAID

      120005252950

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Fiscal Policy Switching in Japan, the U. S., and the U. K2011

    • Author(s)
      A. Ito, T. Watanabe, T. Yabu
    • Journal Title

      Journal of the Japanese and International Economies

      Volume: Vol.25 Issue: 4 Pages: 380-413

    • DOI

      10.1016/j.jjie.2011.09.001

    • NAID

      210000181083

    • Related Report
      2012 Final Research Report 2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Disequilibrium Analysis of the Japanese Loan Market : Were the Post-Bubble Periods in Disequilibrium?2011

    • Author(s)
      Liu Zhentao, K.Asako
    • Journal Title

      Hitotsubashi Journal of Economics

      Volume: 52 Pages: 87-111

    • NAID

      110008581520

    • Related Report
      2011 Annual Research Report
  • [Journal Article] 共通構成指標による都道府県別CIとその応用2011

    • Author(s)
      小野寺敬・浅子和美・田中晋矢
    • Journal Title

      日経研月報

      Volume: 第381号 Pages: 18-23

    • Related Report
      2011 Annual Research Report
  • [Journal Article] R&D Adjusted q Theory for Fixed Capital Investment : Evidence from Macroeconomic Aggregated US Data2011

    • Author(s)
      前川聡子・福重元嗣
    • Journal Title

      『経済論集』(関西大学)

      Volume: 第61巻、第2号 Pages: 139-147

    • NAID

      120005717162

    • Related Report
      2011 Annual Research Report
  • [Journal Article] 地域間所得分布と所得収束仮説2011

    • Author(s)
      各務和彦・和合肇・大塚芳宏
    • Journal Title

      日本統計学会誌

      Volume: 41 Pages: 181-200

    • NAID

      110008790501

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] マクロ動学一般均衡モデル-サーベイと日本のマクロデータへの応用-2011

    • Author(s)
      藤原一平・渡部敏明
    • Journal Title

      経済研究

      Volume: 62 Pages: 66-93

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Fiscal Policy in a New Keynesian Overlapping Generations Model of a Small Open Economy2011

    • Author(s)
      Etsuro Shioji, Vu Tuan Khai ,Hiroko Takeuchi
    • Journal Title

      経済研究

      Volume: 62 Pages: 30-43

    • NAID

      120005252950

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Macroeconomic Adjustment to the Lehman Shock in Japan2010

    • Author(s)
      Kazumi Asako and Katsuaki Ochiai
    • Journal Title

      Journal of East Asian Economic Integration

      Volume: Vol.114 Issue: 1 Pages: 3-44

    • DOI

      10.11644/kiep.jeai.2010.14.1.208

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Macroeconomic Adjustment to the Lehman Shock in Japan2010

    • Author(s)
      Asako Kazumi, Katsuaki Ochiai
    • Journal Title

      Journal of East Asian Economic Integration

      Volume: 114 Pages: 3-46

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 資本ストッ7の異畳性とMultiple q2010

    • Author(s)
      浅子和美・外木好美
    • Journal Title

      経済経営研究

      Volume: 61 Pages: 325-341

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The North Korean Economy : Escape from Import-Led Growth2010

    • Author(s)
      Sato Sumie, Mototsugu Fukushige
    • Journal Title

      Journal of Asian Economics

      Volume: 22 Pages: 76-83

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Presentation] Time Varying Effects of Public Investment and a Stone-Geary Production Technology2013

    • Author(s)
      Etsuro Shioji
    • Organizer
      Western Economic Association International10th Biennial Pacific Rim Conference
    • Place of Presentation
      慶応義塾大学,東京都
    • Year and Date
      2013-03-14
    • Related Report
      2012 Final Research Report
  • [Presentation] Time Varying Pass-through: Will the Yen Depreciation Help Japan Hit the Inflation Target?2013

    • Author(s)
      Etsuro Shioji
    • Organizer
      International Conference "Frontiersin Macroeconometrics"
    • Place of Presentation
      一橋大学,東京都
    • Year and Date
      2013-03-03
    • Related Report
      2012 Final Research Report
  • [Presentation] Regional Growth and Business Cycle in Japan2013

    • Author(s)
      Kazuhiko Kakamu
    • Organizer
      International Conference "Frontiers in Macroeconometrics"
    • Place of Presentation
      一橋大学,東京都
    • Year and Date
      2013-03-01
    • Related Report
      2012 Final Research Report
  • [Presentation] Bayesian Analysis of Business Cycles in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution2013

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      International Conference "Frontiers in Macroeconometrics"
    • Place of Presentation
      一橋大学,東京都
    • Year and Date
      2013-03-01
    • Related Report
      2012 Final Research Report
  • [Presentation] Time Varying Pass-through: Will the Yen DepreciationHelp Japan Hit the Inflation Target?2013

    • Author(s)
      Etsuro Shioji
    • Organizer
      5th GRIPS International Conference of Macroeconomics and Policy
    • Place of Presentation
      政策研究大学院大学,東京都
    • Year and Date
      2013-02-22
    • Related Report
      2012 Final Research Report
  • [Presentation] 新興国企業の台頭と為替パススルー:双方寡占モデルによる考察と 時系列データによる検証2012

    • Author(s)
      塩路悦朗
    • Organizer
      日本経済学会2012年度秋季大会
    • Place of Presentation
      九州産業大学,福岡県
    • Year and Date
      2012-10-08
    • Related Report
      2012 Final Research Report
  • [Presentation] Export Shares, ImportShares, and Exchange Rate Pass-through2012

    • Author(s)
      Etsuro Shioji
    • Organizer
      University of Colorado Boulder Seminar
    • Place of Presentation
      University of Colorado, Boulder, US
    • Year and Date
      2012-09-07
    • Related Report
      2012 Final Research Report
  • [Presentation] Export Shares, ImportShares, and Exchange Rate Pass-through2012

    • Author(s)
      Etsuro Shioji
    • Organizer
      International Trade Colloquium
    • Place of Presentation
      Columbia University, New York, US
    • Year and Date
      2012-09-05
    • Related Report
      2012 Final Research Report
  • [Presentation] Time Varying Effects of Public Investment and a Stone-Geary Production Technology2012

    • Author(s)
      Etsuro Shioji
    • Organizer
      Indiana University Seminar
    • Place of Presentation
      Indiana University, Bloomington, US
    • Year and Date
      2012-08-30
    • Related Report
      2012 Annual Research Report 2012 Final Research Report
  • [Presentation] Bayesian Analysis of Identifying Restrictions for the Time-Varying Parameter Vector Autoregressive Model2012

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      11th WorldMeeting of the International Society of Bayesian Analysis (ISBA2012)[招待講演]
    • Place of Presentation
      京都テルサ,京都府
    • Year and Date
      2012-06-28
    • Related Report
      2012 Final Research Report
  • [Presentation] Pass‐through in a Two Country Model with Bilateral Oligopoly2012

    • Author(s)
      Etsuro Shioji
    • Organizer
      Federal Reserve Bank of Atlanta Seminar
    • Place of Presentation
      Federal Reserve Bank of Atlanta, Atlanta, US
    • Year and Date
      2012-06-08
    • Related Report
      2012 Annual Research Report 2012 Final Research Report
  • [Presentation] External Shocks andJapanese Business Cycles: Impact of the "Great Trade Collapse" on the Japanese Automobile Industry2012

    • Author(s)
      Etsuro Shioji
    • Organizer
      Midwest International Trade Conference
    • Place of Presentation
      Indiana University, Bloomington, US
    • Year and Date
      2012-05-19
    • Related Report
      2012 Final Research Report
  • [Presentation] External Shocks and Japanese Business Cycles: Impact of the "Great Trade Collapse" on the Japanese Automobile Industry2012

    • Author(s)
      Etsuro Shioji
    • Organizer
      2012Midwest Macroeconomics Meetings
    • Place of Presentation
      The University of Notre Dame, Notre Dame, US
    • Year and Date
      2012-05-13
    • Related Report
      2012 Final Research Report
  • [Presentation] Pass‐through in a Two Country Model with Bilateral Oligopoly2012

    • Author(s)
      Etsuro Shioji
    • Organizer
      Monetary Economics Colloquium
    • Place of Presentation
      ColumbiaUniversity, New York, US
    • Year and Date
      2012-04-16
    • Related Report
      2012 Final Research Report
  • [Presentation] External Shocks and Japanese Business Cycles: Impact of the "Great Trade Collapse" on the Japanese Automobile Industry2012

    • Author(s)
      Etsuro Shioji
    • Organizer
      Japan Economic Seminar
    • Place of Presentation
      Columbia University, New York, US
    • Year and Date
      2012-02-24
    • Related Report
      2012 Final Research Report
  • [Presentation] External Shocks and Japanese Business Cycles : Impact of the "Great Trade Collapse" on the Japanese Automobile Industry2012

    • Author(s)
      Etsuro Shioji
    • Organizer
      Japan Economic Seminar
    • Place of Presentation
      Columbia University, New York, U.S.A.
    • Year and Date
      2012-02-24
    • Related Report
      2011 Annual Research Report
  • [Presentation] Bayesian Analysis of Time-varying Parameter Vector Autoregressive Model with theOrdering of Variables for the Japanese Economy and Monetary Policy2011

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      International Workshop on StatisticalComputing in Quantitative Finance and Biostatistics: A Satellite Meeting for the 7th IASC-ARS Conference
    • Place of Presentation
      Feng Chia University, Taichung, Taiwan
    • Year and Date
      2011-12-20
    • Related Report
      2012 Final Research Report
  • [Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      International Workshop on Statistical Computing in Quantitative Finance and Biostatistics : A Satellite Meeting for the 7th IASC-ARS Conference
    • Place of Presentation
      Feng Chia University, Taichung, Taiwan(招待講演)
    • Year and Date
      2011-12-20
    • Related Report
      2011 Annual Research Report
  • [Presentation] BayesianAnalysis of Time-varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy2011

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      Joint Meeting of the 2011 Taipei International Symposium and 7th Conference of the Asian Regional Section of the IASC
    • Place of Presentation
      Academia Sinica, Taipei, Taiwan
    • Year and Date
      2011-12-19
    • Related Report
      2012 Final Research Report
  • [Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the IASC
    • Place of Presentation
      Academia Sinica, Taipei, Taiwan
    • Year and Date
      2011-12-19
    • Related Report
      2011 Annual Research Report
  • [Presentation] MCMCのマクロ計量モデルへの応用2011

    • Author(s)
      渡部敏明
    • Organizer
      景気循環学会[招待講演]
    • Place of Presentation
      東洋経済ビル,東京都
    • Year and Date
      2011-11-19
    • Related Report
      2012 Final Research Report
  • [Presentation] MCMCのマクロ計量モデルへの応用2011

    • Author(s)
      渡部敏明
    • Organizer
      景気循環学会
    • Place of Presentation
      東洋経済ビル,東京(招待講演)
    • Year and Date
      2011-11-19
    • Related Report
      2011 Annual Research Report
  • [Presentation] 災害後における公共投資の生産性効果:成長モデルによる分析2011

    • Author(s)
      塩路悦朗
    • Organizer
      日本経済学会2011年度秋季大会[招待講演]
    • Place of Presentation
      筑波大学,茨城県
    • Year and Date
      2011-10-29
    • Related Report
      2012 Final Research Report
  • [Presentation] 災害後における公共投資の生産性効果:成長モデルによる分析2011

    • Author(s)
      塩路悦朗
    • Organizer
      日本経済学会2011年度秋季大会
    • Place of Presentation
      筑波大学(招待講演)
    • Year and Date
      2011-10-29
    • Related Report
      2011 Annual Research Report
  • [Presentation] Discussion of "Food price pass-through in the euro area" by G.Ferrucci, R.Jimenex-Rodriguez, and L.Onorante2011

    • Author(s)
      Tsutomu Watanabe
    • Organizer
      The Third Annual IJCB Fall Conference on "Monetary Policy Issues in Open Economies
    • Place of Presentation
      Bank of Canada, Ottawa, Canada(招待講演)
    • Year and Date
      2011-09-30
    • Related Report
      2011 Annual Research Report
  • [Presentation] House Prices at Different Stages of the Buying/Selling Processes2011

    • Author(s)
      Tsutomu Watanabe
    • Organizer
      Monetary Authority of Singapore-BIS joint research workshop on " Property Markets and Financial Stability"[招待 講 演 ]
    • Place of Presentation
      Monetary Authority of Singapore, Singapore
    • Year and Date
      2011-09-05
    • Related Report
      2012 Final Research Report
  • [Presentation] House Prices at Different Stages of the Buying/Selling Process2011

    • Author(s)
      Tsutomu Watanabe
    • Organizer
      Monetary Authority of Singapore-BIS joint research workshop on "Property Markets and Financial Stability
    • Place of Presentation
      Monetary Authority of Singapore, Singapore city, Republic of Singapore(招待講演)
    • Year and Date
      2011-09-05
    • Related Report
      2011 Annual Research Report
  • [Presentation] Bayesian Analysis of Time-varying Parameter Vector Autoregressive Model with theOrdering of Variables for the Japanese Economy and Monetary Policy2011

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      5th Japanese-European Bayesian Econometrics and Statistics Meeting
    • Place of Presentation
      Norges Bank, Oslo, Norway
    • Year and Date
      2011-08-23
    • Related Report
      2012 Final Research Report
  • [Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      5th Japanese-European Bayesian Econometrics and Statistics Meeting
    • Place of Presentation
      Norges Bank, Oslo, Norway
    • Year and Date
      2011-08-23
    • Related Report
      2011 Annual Research Report
  • [Presentation] Discussion of "Debt, Deleveraging, and the Liquidity Trap" by G.Eggertsson and P.Krugman2011

    • Author(s)
      Tsutomu Watanabe
    • Organizer
      NBER Japan Project Meeting, Asian Development Bank Institute
    • Place of Presentation
      Asian Development Bank Institute, Tokyo(招待講演)
    • Year and Date
      2011-06-24
    • Related Report
      2011 Annual Research Report
  • [Presentation] Discussion of "Foreclosures, House Prices, and the Real Economy" by A.Mian, A.Sufi, and F.Trebbi2011

    • Author(s)
      Tsutomu Watanabe
    • Organizer
      Bank of Japan Conference on "Real and Financial Linkage and Monetary Policy
    • Place of Presentation
      Bank of Japan, Tokyo(招待講演)
    • Year and Date
      2011-06-02
    • Related Report
      2011 Annual Research Report
  • [Presentation] Bayesian Analysis of Time-varying Parameter VectorAutoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary policy2011

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      Recent Developments in Dynamic Analysis in Economics-30 Years after Macroeconomics and Reality
    • Place of Presentation
      Seoul National University, Seoul, Korea
    • Year and Date
      2011-05-26
    • Related Report
      2012 Final Research Report
  • [Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      Recent Developments in Dynamic Analysis in Economics-30 Years after Macroeconomics and Reality
    • Place of Presentation
      Seoul National University, Seoul, Korea
    • Year and Date
      2011-05-26
    • Related Report
      2011 Annual Research Report
  • [Presentation] Estimating national business cycle turning points from regional data with hierarchical Bayes model2011

    • Author(s)
      Ohtsuka, Yoshihiro, Kazuhiko Kakamu
    • Organizer
      日本経済学会春季大会
    • Place of Presentation
      熊本学園大学
    • Year and Date
      2011-05-21
    • Related Report
      2011 Annual Research Report
  • [Presentation] Some Issues on House Price Indexes (Panel Discussion)2011

    • Author(s)
      Tsutomu Watanabe
    • Organizer
      Symposium on Information, Institution and Governance in Real Estate Markets Organized by Institute of Real Estate Studies
    • Place of Presentation
      National University of Singapore, Singapore city, Republic of Singapore(招待講演)
    • Year and Date
      2011-05-20
    • Related Report
      2011 Annual Research Report
  • [Presentation] House Prices at Different Stages of the Buying/Selling Processes2011

    • Author(s)
      Tsutomu Watanabe
    • Organizer
      The 12th Ottawa Group Meeting[招待講演]
    • Place of Presentation
      Statistics New Zealand Wellington, New Zealand
    • Year and Date
      2011-05-05
    • Related Report
      2012 Final Research Report
  • [Presentation] House Prices at Different Stages of the Buying/Selling Process2011

    • Author(s)
      Tsutomu Watanabe
    • Organizer
      The 12th Ottawa Group Meeting, Statistics New Zealand, Wellington
    • Place of Presentation
      Statistics New Zealand, Wellington, New Zealand(招待講演)
    • Year and Date
      2011-05-05
    • Related Report
      2011 Annual Research Report
  • [Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2011

    • Author(s)
      渡部敏明
    • Organizer
      マクロ計量分析研究会
    • Place of Presentation
      一橋大学,東京都
    • Year and Date
      2011-02-19
    • Related Report
      2012 Final Research Report
  • [Presentation] Spatio-temporalDynamics in Economic Growth2011

    • Author(s)
      各務和彦・福重元嗣
    • Organizer
      マクロ計量分析研究会
    • Place of Presentation
      一橋大学,東京都
    • Year and Date
      2011-02-19
    • Related Report
      2012 Final Research Report
  • [Presentation] Effects of External and Fiscal Policy Shocks in Japan: Evidence from an Open Economy DSGEModel with Partial Exchange RatePass-through2011

    • Author(s)
      塩路悦朗
    • Organizer
      マクロ計量分析研究会
    • Place of Presentation
      一橋大学,東京都
    • Year and Date
      2011-02-19
    • Related Report
      2012 Final Research Report
  • [Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2011

    • Author(s)
      渡部敏明
    • Organizer
      マクロ計量分析研究会
    • Place of Presentation
      一橋大学
    • Year and Date
      2011-02-19
    • Related Report
      2010 Annual Research Report
  • [Presentation] Effects of External and Fiscal Policy Shocks in Japan : Evidence from an Open Economy DSGE Model with Partial Exchange Rate Pass-through2011

    • Author(s)
      塩路悦朗
    • Organizer
      マクロ計量分析研究会
    • Place of Presentation
      一橋大学
    • Year and Date
      2011-02-19
    • Related Report
      2010 Annual Research Report
  • [Presentation] Spatio-temporal Dynamics in Economic Growth2011

    • Author(s)
      各務和彦・福重元嗣
    • Organizer
      マクロ計量分析研究会
    • Place of Presentation
      一橋大学
    • Year and Date
      2011-02-19
    • Related Report
      2010 Annual Research Report
  • [Presentation] Fiscal Policy Switching in Japan, the U.S. and the U.K.2010

    • Author(s)
      Arata Ito, Tsutomu Watanabe and Tomoyoshi Yabu
    • Organizer
      The 23rd NBER-TCER -CEPR Conference on "Fiscal Policy and Crisis"
    • Place of Presentation
      東京大学,東京都
    • Year and Date
      2010-12-16
    • Related Report
      2012 Final Research Report
  • [Presentation] Fiscal Policy Switching in Japan, the U.S.and the U.K.2010

    • Author(s)
      Arata Ito, Tsutomu Watanabe, Tomoyoshi Yabu
    • Organizer
      The 23rd NBER-TCER-CEPR Conference on"Fiscal Policy and Crisis"
    • Place of Presentation
      東京大学
    • Year and Date
      2010-12-16
    • Related Report
      2010 Annual Research Report
  • [Presentation] A New Method for the Evaluation of Dynamic StochasticGeneral Equilibrium Models2010

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      4th CSDAInternational Conference on Computational and Financial Econometrics (CFE'10)[招待講演]
    • Place of Presentation
      University of London, UK
    • Year and Date
      2010-12-11
    • Related Report
      2012 Final Research Report
  • [Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2010

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      4th CSDA International Conference on Computational and Financial Econometrics(CFE'10)
    • Place of Presentation
      University of London
    • Year and Date
      2010-12-11
    • Related Report
      2010 Annual Research Report
  • [Presentation] 国際金融理論の新潮流-開放型ニューケインジアンモデルの可能性2010

    • Author(s)
      塩路悦朗
    • Organizer
      日本金融学会秋期大会
    • Place of Presentation
      神戸大学,兵庫県
    • Year and Date
      2010-09-26
    • Related Report
      2012 Final Research Report
  • [Presentation] 国際金融理論の新潮流-開放型ニューケインジアンモデルの可能性2010

    • Author(s)
      塩路悦朗
    • Organizer
      日本金融学会2010年度秋季大会
    • Place of Presentation
      神戸大学
    • Year and Date
      2010-09-26
    • Related Report
      2010 Annual Research Report
  • [Presentation] Projection of Investment and Capital Stock for Asia2010

    • Author(s)
      Etsuro Shioji and Vu Tuan Khai
    • Organizer
      Finalization Workshop: Long-term projections of Asian GDP and Trade
    • Place of Presentation
      Chinese University of Hong Kong, Hong Kong, China
    • Year and Date
      2010-07-08
    • Related Report
      2012 Final Research Report
  • [Presentation] Projection of Investment and Capital Stock for Asia2010

    • Author(s)
      Etsuro Shioji, Vu Than Khai
    • Organizer
      Finalization Workshop : Long-term projections of Asian GDP and Trade
    • Place of Presentation
      Chinese University of Hong Kong
    • Year and Date
      2010-07-08
    • Related Report
      2010 Annual Research Report
  • [Presentation] Pass-through of Oil Prices to Japanese Domestic Prices2010

    • Author(s)
      塩路悦朗,内野泰助
    • Organizer
      日本経済学会春季大会
    • Place of Presentation
      千葉大学,千葉県
    • Year and Date
      2010-06-06
    • Related Report
      2012 Final Research Report
  • [Presentation] Pass-Through of Oil Prices to Japanese Domestic Prices2010

    • Author(s)
      塩路悦朗・内野泰助
    • Organizer
      日本経済学会2010年度春季大会
    • Place of Presentation
      千葉大学
    • Year and Date
      2010-06-06
    • Related Report
      2010 Annual Research Report
  • [Presentation] 動学的マクロモデルの計量分析2010

    • Author(s)
      藤原一平,渡部敏明
    • Organizer
      日本経済学会春季大会[招待講演]
    • Place of Presentation
      千葉大学,千葉県
    • Year and Date
      2010-06-05
    • Related Report
      2012 Final Research Report
  • [Presentation] 動学的マクロモデルの計量分析2010

    • Author(s)
      藤原一平・渡部敏明
    • Organizer
      日本経済学会2010年度春季大会
    • Place of Presentation
      千葉大学(招待講演)
    • Year and Date
      2010-06-05
    • Related Report
      2010 Annual Research Report
  • [Presentation] Bayesian Analysis of Identifying Restrictions for the Time-Varying Parameter Vector Autoregressive Model

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      11th World Meeting of the International Society of Bayesian Analysis (ISBA2012)
    • Place of Presentation
      京都テルサ, 京都府
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Realized Stochastic Volatility モデル-日次リターンとRealized Volatilityの同時モデル化

    • Author(s)
      大森裕浩・渡部敏明
    • Organizer
      2012年度統計関連学会連合大会
    • Place of Presentation
      北海道大学, 北海道
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      The Third International Conference“High-Frequency Data Analysis in Financial Markets
    • Place of Presentation
      広島経済大学立町キャンパス, 広島県
    • Related Report
      2012 Annual Research Report
  • [Presentation] Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      6th CSDA International Conference on Computational and Financial Econometrics (CFE12)
    • Place of Presentation
      Conference Center, Oviedo, Spain
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      ISBA Regional Meeting & International Workshop/Conference on Bayesian Theory and Applications (IWCBTA)
    • Place of Presentation
      Banaras Hindu University, Varanasi, India
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] Bayesian Analysis of Business Cycles in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      International Conference “Frontiers in Macroeconometrics”
    • Place of Presentation
      一橋大学, 東京都
    • Related Report
      2012 Annual Research Report
  • [Presentation] Pass‐through in a two country model with bilateral oligopoly

    • Author(s)
      Etsuro Shioji
    • Organizer
      Monetary Economics Colloquium
    • Place of Presentation
      Columbia University, New York, US
    • Related Report
      2012 Annual Research Report
  • [Presentation] External Shocks and Japanese Business Cycles: Impact of the “Great Trade Collapse” on the Japanese Automobile Industry

    • Author(s)
      Etsuro Shioji
    • Organizer
      2012 Midwest Macroeconomics Meetings
    • Place of Presentation
      The University of Notre Dame, Notre Dame, US
    • Related Report
      2012 Annual Research Report
  • [Presentation] External Shocks and Japanese Business Cycles: Impact of the “Great Trade Collapse” on the Japanese Automobile Industry

    • Author(s)
      Etsuro Shioji
    • Organizer
      Midwest International Trade Conference, Spring 2012
    • Place of Presentation
      Indiana University, Bloomington, US
    • Related Report
      2012 Annual Research Report
  • [Presentation] Export Shares, Import Shares, and Exchange Rate Pass-through

    • Author(s)
      Etsuro Shioji
    • Organizer
      International Trade Colloquium
    • Place of Presentation
      Columbia University, New York, US
    • Related Report
      2012 Annual Research Report
  • [Presentation] Export Shares, Import Shares, and Exchange Rate Pass-through

    • Author(s)
      Etsuro Shioji
    • Organizer
      University of Colorado, Boulder, Seminar
    • Place of Presentation
      University of Colorado, Boulder, US
    • Related Report
      2012 Annual Research Report
  • [Presentation] 新興国企業の台頭と為替パススルー: 双方寡占モデルによる考察と時系列データによる検証

    • Author(s)
      塩路悦朗
    • Organizer
      日本経済学会2012年度秋季大会
    • Place of Presentation
      九州産業大学, 福岡県
    • Related Report
      2012 Annual Research Report
  • [Presentation] Time Varying Pass-through: Will the Yen Depreciation Help Japan Hit the Inflation Target?

    • Author(s)
      Etsuro Shioji
    • Organizer
      5th GRIPS International Conference of Macroeconomics and Policy
    • Place of Presentation
      政策研究大学院大学, 東京都
    • Related Report
      2012 Annual Research Report
  • [Presentation] Time Varying Pass-through: Will the Yen Depreciation Help Japan Hit the Inflation Target?

    • Author(s)
      Etsuro Shioji
    • Organizer
      International Conference “Frontiers in Macroeconometrics”
    • Place of Presentation
      一橋大学, 東京都
    • Related Report
      2012 Annual Research Report
  • [Presentation] Time Varying Effects of Public Investment and a Stone-Geary Production Technology

    • Author(s)
      Etsuro Shioji
    • Organizer
      Western Economic Association International 10th Biennial Pacific Rim Conference
    • Place of Presentation
      慶應義塾大学, 東京都
    • Related Report
      2012 Annual Research Report
  • [Book] 効率と公正の経済分析--企業・開発・環境2012

    • Author(s)
      青木玲子・浅子和美(編著)
    • Total Pages
      334
    • Publisher
      ミネルヴァ書房
    • Related Report
      2011 Annual Research Report
  • [Book] Studies on the Japanese Business Cycle2012

    • Author(s)
      Kazumi Asako
    • Total Pages
      411
    • Publisher
      Maruzen Publishing Co., Ltd.
    • Related Report
      2011 Annual Research Report
  • [Book] ファイナンス・景気循環の計量分析2011

    • Author(s)
      浅子和美・渡部敏明編著
    • Total Pages
      352
    • Publisher
      ミネルヴァ書房
    • Related Report
      2012 Final Research Report
  • [Book] 世界同時不況と景気循環分析2011

    • Author(s)
      浅子和美・飯塚信夫・宮川努編
    • Total Pages
      376
    • Publisher
      東京大学出版会
    • Related Report
      2012 Final Research Report 2010 Annual Research Report
  • [Book] ファイナンス・景気循環の計量分析2011

    • Author(s)
      浅子和美・渡部敏明(編著)
    • Total Pages
      352
    • Publisher
      ミネルヴァ書房
    • Related Report
      2011 Annual Research Report
  • [Remarks]

    • URL

      http://www.ier.hit-u.ac.jp/extra/macro20110219.html

    • Related Report
      2012 Final Research Report
  • [Remarks]

    • URL

      http://gcoe.ier.hit-u.ac.jp/2013Hitotsubashi/program.html

    • Related Report
      2012 Final Research Report
  • [Remarks] International Conference

    • URL

      http://gcoe.ier.hit-u.ac.jp/2013Hitotsubashi/program.html

    • Related Report
      2012 Annual Research Report

URL: 

Published: 2010-08-23   Modified: 2019-07-29  

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