Study on macroeconomic policy based on nostationary and nonlinear modelling
| Project/Area Number |
26380271
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Kyushu University |
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Principal Investigator |
Takimoto Taro 九州大学, 経済学研究院, 教授 (70403996)
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| Project Period (FY) |
2014-04-01 – 2019-03-31
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| Project Status |
Completed (Fiscal Year 2018)
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| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2018: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | 因果性測度 / VARMAモデル / 周波数領域 / 因果性 / 非線形モデル / 準ニュートン法 |
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| Outline of Final Research Achievements |
When it is possible to test the strength of causal measures in the frequency domain among economic variables, we will be able to receive more sophisticated policy implications than through Granger causal analysis in the time domain. The project developed a new practical algorithm for estimation and testing of frequency-wise partial causal measures and applied to U.S. macroeconomic and financial time series data. Furthermore, applying non-stationary and nonlinear models to Japan’s fiscal time series data, we observed significant causal relationships among expenditures and political variables.
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| Academic Significance and Societal Importance of the Research Achievements |
因果性の有無だけでなくその強さと方向に加え第三系列による歪みを考慮できる偏因果性測度について，具体的に推定可能なアルゴリズムの開発を行い，モンテカルロ・シミュレーションにより，サンプルサイズが推定結果に与える影響を分析した．また，アメリカのマクロ経済・金融データを用いて経済成長率の予測可能性についての検証を行い，1980年代半ばを境に因果関係が変化していることを確認した．また，日本の財政データについて，長期均衡関係における非対称を考慮した非定常・非線形モデルにより，内閣支持率から支出変数への，社会保障費については，内閣支持率との間に双方向のGranger因果性が存在することが確認された．
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Report
(6 results)
Research Products
(12 results)
