Statistical Inference and Model Validation Methods of Dynamic Stochastic General Equilibrium Models in Macroeconomics
| Project/Area Number |
24330060
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Partial Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic theory
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
Kano Takashi 一橋大学, 大学院経済学研究科, 教授 (90456179)
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| Co-Investigator(Renkei-kenkyūsha) |
KANO Kazuko 武蔵野大学, 経済学部, 准教授 (20613730)
TAKECHI Kazutaka 法政大学, 経済学部, 教授 (80386341)
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| Research Collaborator |
Nason James M. 森田
MORITA Hiroshi
WADA Kenji
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| Project Period (FY) |
2012-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥16,380,000 (Direct Cost: ¥12,600,000、Indirect Cost: ¥3,780,000)
Fiscal Year 2016: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
Fiscal Year 2015: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
Fiscal Year 2014: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2013: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
Fiscal Year 2012: ¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
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| Keywords | 動学的確率的一般均衡モデル / ベイズ統計 / 景気循環 / 消費の習慣形成 / 為替レート / ランダムウォーク / 地域間価格差 / 輸送費 / 名目・実質為替レート / アベノミクス / long-run risk / 時変的不確実性 / トレンドインフレ / ニューケインジアンモデル / 沖縄返還 / マクロ経済学 / 国際金融 / 計量経済学 / 応用時系列分析 / 円ドルレート / 名目為替レート / ベイズ推定 / ソロス・チャート / 最小解釈 / ランダムウオーク / ソロスチャート / ニューケインジアン型景気循環モデル / DSGEモデル / 開放経済 / DSGE-VAR / Unobserved Component model |
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| Outline of Final Research Achievements |
The project revisits empirically dynamic stochastic general equilibrium (DSGE) models based on Bayesian statistics. In particular, this project reveals that consumption habits improve the fit of a conventional new Keynesian DSGE model only to high frequencies of macroeconomic data but not to business cycle frequencies. Moreover, the project identifies a serious difficulty of a canonical open-economy DSGE model in explaining near random walk nominal exchange rates with other economic fundamentals jointly. Finally, the project provides a better estimate of an important role of transportation costs in regional price dispersion using a unique micro data set of wholesale prices of agricultural products distributed around wholesale markets in Japan.
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Report
(6 results)
Research Products
(23 results)
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[Presentation] The first arrow hitting the currency target2016
Author(s)
Kano, Takashi
Organizer
AJRC-HIAS Conference on Recent Issues in Macroeconomics and Finance
Place of Presentation
Crawford School of Public Policy, Australian National University, Canberra, Australia
Year and Date
2016-03-22
Related Report
Int'l Joint Research
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