| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2016: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Outline of Final Research Achievements |
We investigate the dynamics of short-term interest rate empirically in Japan and US. For this investigation, we formulate a policy reaction function based on Taylor rule, which describes the decision of central bank even in a period when nominal interest rate is close to zero or some lower bound. We apply this reaction function or its modified version to long-running time series over a half century in each country to test two hypotheses; (1) central bank smoothes interest rate, and (2) central bank slashes interest rate more drastically near lower bound to avoid the deflation. We can get some results which reject the former and support the latter. Also we find evidence in each country which tells the value of constant term in the reaction function shifts discontinuously at times.
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