Econometric Analysis of Macroeconomic Policy under Financial Crisis
| Project/Area Number |
22243026
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic policy
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
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| 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)
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| Co-Investigator(Renkei-kenkyūsha) |
KAKAMU Kazuhiko 千葉大学, 法経学部, 准教授 (00456005)
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| 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)
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| Keywords | DSGE / 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 |
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| 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.
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Report
(4 results)
Research Products
(116 results)
