2022 Fiscal Year Final Research Report
Research on Monetary Policy Stance Evaluation Method Using Comprehensive Information on the Shape of the Yield Curve
| Project/Area Number |
18K01504
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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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| Review Section |
Basic Section 07010:Economic theory-related
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| Research Institution | Hitotsubashi University (2018, 2020-2022)
Nihon University (2019) |
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Principal Investigator |
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| Project Period (FY) |
2018-04-01 – 2023-03-31
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| Keywords | Taylor rule / 最適金融政策 / 非伝統的金融政策 / イールドカーブ / シャドー政策金利 |
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| Outline of Final Research Achievements |
This study presents a new method for evaluating the monetary policy stance that does not rely solely on short-term interest rates. We first estimate the forecast value of the Taylor rule policy interest rate (short-term policy interest rate according to the Taylor rule) in the U.S. economy and the deviation between the rate and the future price of a short-term interest rate called OIS. Then, we present a method for evaluating the monetary policy stance based on the deviation (Taylor rule deviation). We show the robustness of results that changes in the Taylor rule deviation at future points in time will cause changes in the real economy at the present time. We also show that a dynamic general equilibrium macro model supports the relationship between variables obtained from the time series analysis.
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| Free Research Field |
金融経済学
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| Academic Significance and Societal Importance of the Research Achievements |
非伝統的金融政策がイールドカーブの形状に働き掛けている事実を受け、短期金利の情報に依拠する従来の金融政策スタンス評価手法ではなく、イールドカーブ全体に係る情報を利用した金融政策スタンスの評価手法を考案した。そして、同金融政策スタンスが実体経済に与える効果を分析することで同評価手法の有効性を証明した。この評価手法は先進国を中心に発生してきた短期金利の低下余地が消滅した状況においても金融政策スタンスが緩和的か緊縮的かを評価することを可能にする。米国経済を対象とした分析であるが他国への応用も可能な一般性の高い手法であり、金融政策の実践において有用な研究成果と言える。
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