2020 Fiscal Year Final Research Report
Quantitative evaluations of fiscal and monetary policies effects in the US and Japan based on DSGE model
| Project/Area Number |
17K03671
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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 policy
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| Research Institution | Tohoku Gakuin University (2019-2020)
Tohoku University (2017-2018) |
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Principal Investigator |
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| Project Period (FY) |
2017-04-01 – 2021-03-31
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| Keywords | DSGEモデル |
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| Outline of Final Research Achievements |
The research was carried out by extending the dynamic stochastic general Equilibrium (DSGE) model from both theoretical and empirical perspectives.
In a study that quantitatively evaluated the impact of financial market imperfections on the Japanese economy during the asset price bubble period, the prediction accuracy of investment data was improved over the entire sample period by building a DSGE model with financial friction. On the other hand, the prediction accuracy of consumption and inflation data depends on fluctuations in spreads between the policy rate and corporate borrowing rate, and especially drastic changes in monetary policy may reduce the prediction performance of the financial friction model.
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| Free Research Field |
マクロ経済学
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| Academic Significance and Societal Importance of the Research Achievements |
金融市場の不完全性を考慮することがマクロ経済指標の予測改善に資するか否かを，資産価格バブル期の日本経済を対象に検証した．この研究の学術的新規性は，データの予測精度の観点から異なるふたつのモデルを対決させた点にある．通常は金融摩擦をモデルに取り込むことでデータの予測精度が高まることが期待されるが，政策金利を急激に変更した時期では，金融摩擦を考慮したとしても予測精度が改善されないことが実証された．政策当局は政策効果を事前に予期しておくことがもとめられるけれども，本研究の成果に基づけば，政策金利を大胆に変更する際は，金融当局においてもその実体効果を事前に把握することが困難であることが明らかとなった．
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