A Quantitative Approach on Fiscal and Monetary Policy in a DSGE Model with Heterogenous Agents

2022 Fiscal Year Final Research Report

• Project/Area Number: 17K03632
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic theory
• Research Institution: Meiji University
• Principal Investigator: Yamada Tomoaki 明治大学, 商学部, 専任教授 (00440206)
• Project Period (FY): 2017-04-01 – 2023-03-31
• Keywords: 動学的一般均衡理論 / 金融政策 / 財政政策 / 所得格差 / 資産格差 / ニューケインジアン

Outline of Final Research Achievements

The purpose of this research project is to quantitatively understand the relationship between time trends in economic inequality and monetary policy in Japan. Raising or lowering interest rates by the central bank affects our lives in various ways, including asset income and corporate profits. However, it has not been well understood what the specific impact is and to what extent. In this study, we used the Family Income and Expenditure Survey and the National Survey of Family Income and Expenditure to estimate the trends of inequality in the Japanese economy since the 1980s, and clarified the relationship between the inequality and monetary policy. The results revealed that monetary policy (lower interest rates) raises economic inequality, especially the labor income of working households. However, we also found at the same time that the impact of monetary policy on inequality has weakened in recent years.

Free Research Field

マクロ経済学

Academic Significance and Societal Importance of the Research Achievements

本研究は、近年注目を集めるHeterogeneous Agent New Keynesian(HANK)モデルに関する一連の研究の先駆け的存在であると同時に、日本において金融政策と経済格差の関係性を実証的に取り扱った最初の論文である。経済格差の拡大は我々の日常生活に直接影響を与えるものであり、学術的意義のみならず、多くの人達に生活に関わるテーマを扱った社会的意義がある研究である。加えて、本研究では経済格差の推移を 政府統計の個票データから作成しており、このデータセット自体、既に様々な研究で引用されていることから、今後の格差研究にも強い影響を与えるものと考えられる。