Theoretical and applied analyses on closed and open economy short-run macroeconometric model selection
| Project/Area Number |
26285049
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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 statistics
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| Research Institution | The University of Tokyo |
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Principal Investigator |
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| Co-Investigator(Renkei-kenkyūsha) |
YABU Tomoyoshi 慶応義塾大学, 商学部, 准教授 (90463819)
TSURUGA Takayuki 京都大学, 経済学研究科, 准教授 (40511720)
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| Research Collaborator |
INOUE Atsushi Vanderbilt大学, 経済学部, 教授
CRUCINI Mario Vanderbilt大学, 経済学部, 教授
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥16,510,000 (Direct Cost: ¥12,700,000、Indirect Cost: ¥3,810,000)
Fiscal Year 2016: ¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2015: ¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2014: ¥6,890,000 (Direct Cost: ¥5,300,000、Indirect Cost: ¥1,590,000)
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| Keywords | マクロ経済モデル / 景気循環 / 確率トレンド / モデル選択 / DSGEモデル / インパルス応答関数 / 非線形トレンド / 購買力平価 / マクロ計量モデル |
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| Outline of Final Research Achievements |
Estimating an appropriate macroeconometric model using the data for the purpose of evaluating the policy effect is an important task. In this research project, we propose new econometric procedures that are useful in selecting superior macroeconometric models and develop and estimate various macroeconomic models usable for policy evaluation. In theoretical analysis, we propose new evaluation and estimation methods for dynamic factor models, dynamic panel data models and dynamic stochastic general equilibrium (DSGE) models. In empirical analysis, we conduct trend-cycle decomposition, estimation and selection of New Keynesian Phillips curves, development and estimation of new models such as a model of information frictions, an open-economy sticky wage model, and a two-sector labor search model.
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Report
(4 results)
Research Products
(28 results)
