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Estimating monetary policy effectiveness in Japanese economy

Research Project

Project/Area Number 22K20157
Research Category

Grant-in-Aid for Research Activity Start-up

Allocation TypeMulti-year Fund
Review Section 0107:Economics, business administration, and related fields
Research InstitutionHitotsubashi University

Principal Investigator

NAKAJIMA Jouchi  一橋大学, 経済研究所, 教授 (20962062)

Project Period (FY) 2022-08-31 – 2024-03-31
Project Status Completed (Fiscal Year 2023)
Budget Amount *help
¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2023: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2022: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywords金融政策 / 政策効果 / 時系列モデル
Outline of Research at the Start

本研究は、金融政策の効果の計測について分析を行い、新たな知見を得ることを目的とする。また、副次的な目的として、分析で得られた推計値を、幅広い関連研究に活用され得るデータとして公に提供する。具体的には、金融政策の波及経路として重要な変数と考えられている、①インフレ予想と②自然利子率の推計を日本のデータを用いて行う。そのうえで、得られた推計値を用いて、③日本における金融政策の効果の推計を行う。①と②の推計値については、他の分析に使用する際の留意点を適切に提示したうえで一般に公開し、学界のみならず、政策当局者、市場関係者等に成果を広く還元する。

Outline of Final Research Achievements

As initially planned, I estimated Japanese firms' inflation expectations and the natural rate of interest, as well as the effects of monetary policy, using econometric methods. As a result, we obtained new knowledge about monetary policy effectiveness. In addition, to give back to society as a result of this research, estimates of inflation expectations were made available to the public as data that could be freely used by academics, policymakers, market participants, and others.

Academic Significance and Societal Importance of the Research Achievements

日本の企業のインフレ予想のデータについて、これまで長期時系列が存在しなかったが、今回の研究でそれを作成し、誰もが使えるようになったことは、当分野の研究の発展や経済動向のより綿密な把握に貢献することが期待される。また、自然利子率や金融政策の効果の推計結果は、今後の金融政策のあるべき姿について議論するうえで重要なエビデンスとなることが期待される。

Report

(3 results)
  • 2023 Annual Research Report   Final Research Report ( PDF )
  • 2022 Research-status Report
  • Research Products

    (4 results)

All 2024 2023 2022 Other

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

  • [Journal Article] Inflation-overshooting commitment: An analysis using a macroeconomic model2024

    • Author(s)
      Kawamoto Takuji、Nakajima Jouchi、Mikami Tomoaki
    • Journal Title

      Oxford Economic Papers

      Volume: -

    • Related Report
      2023 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Estimating the macroeconomic effects of Japan’s expansionary monetary policy under Quantitative and Qualitative Monetary Easing during 2013?20202023

    • Author(s)
      Kawamoto Takuji、Nakazawa Takashi、Kishaba Yui、Matsumura Kohei、Nakajima Jouchi
    • Journal Title

      Economic Analysis and Policy

      Volume: 78 Pages: 208-224

    • DOI

      10.1016/j.eap.2023.03.007

    • Related Report
      2022 Research-status Report
    • Peer Reviewed
  • [Presentation] Estimating firm's inflation expectations based on survey's diffusion index2022

    • Author(s)
      Jouchi Nakajima
    • Organizer
      The 16th International Symposium on Econometric Theory and Applications (SETA2022)
    • Related Report
      2022 Research-status Report
    • Int'l Joint Research
  • [Remarks] データ:企業のインフレ予想(日本)

    • URL

      https://sites.google.com/site/jnakajimaweb/einfj

    • Related Report
      2023 Annual Research Report

URL: 

Published: 2022-09-01   Modified: 2025-01-30  

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