| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
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: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Outline of Final Research Achievements |
I conducted three research projects. First, my coauthor and I estimated the macro effect of unconventional monetary policy in Japan using a structural vector autoregression model with an effective lower bound (ELB) and forward guidance. We find that quantitative easing increases inflation and output. Our nonlinear impulse responses show that a liftoff can be expansionary depending on macroeconomic conditions.
Second, I estimated a term structure model with preferred habitat and an ELB. The estimated results indicate that bond excess returns become more sensitive to changes in arbitrageurs' bond demand in the absence of a ELB constraint unless they become willing to take on more risk.
Third, my coauthor and I estimated a sovereign default model using a simulated maximum likelihood method. Despite its focus on idiosyncratic risk, the estimated model accounts for the overall default patterns of Argentina.
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