2021 Fiscal Year Final Research Report
Expansion and its application to the economic analysis of multivariate Beveridge-Nelson decomposition
| Project/Area Number |
16K03605
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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 | Konan University |
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Principal Investigator |
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| Project Period (FY) |
2016-04-01 – 2022-03-31
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| Keywords | 自然率 / ギャップ / トレンド / サイクル / 単位根 / 共和分 / ベイズ法 / インフレ期待 |
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| Outline of Final Research Achievements |
I worked on two themes during the funding period: (1) development and application of a method to decompose multiple macroeconomic time series simultaneously into trends (natural rates) and cycles (gaps), relying on a forecasting model consistent with the standard macroeconomic theory, (2) development of a method to estimate the underlying distribution behind interval data, and its application to interval data on inflation perceptions and expectations.
The research outputs include two publications in refereed international journals, one publication in a domestic non-refereed journal, four presentations at international conferences, and three presentations at domestic conferences.
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| Free Research Field |
経済統計・応用計量経済学
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| Academic Significance and Societal Importance of the Research Achievements |
マクロ経済学では長期の「成長」と短期の「循環」を区別する．したがってマクロ経済変数の「自然率」と「ギャップ」の計測は重要である．しかし統一的な計測手法は確立されていない．マクロ経済理論と整合的な統計モデルに基づく本研究の分解手法は統一的な計測手法となり得る．
量的変数に関する調査の回答方法は順序・区間・数値の3通りある．これらは一長一短がある．順序の回答は集めやすいが量的な情報を持たない．数値の回答は整数や5の倍数に回答が集中する．区間の回答は両者の中間にある．区間データから量的な情報を抽出する本研究の手法は低費用で効率的な調査の設計に役立つ．
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