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2020 Fiscal Year Final Research Report

Numerical Simulation and Empirical Study of Term Structure model by nonlinear DSGE model under ZLB

Research Project

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Project/Area Number 18K01575
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 07040:Economic policy-related
Research InstitutionTokyo Metropolitan University

Principal Investigator

Iiboshi Hirokuni  東京都立大学, 経営学研究科, 教授 (90381441)

Project Period (FY) 2018-04-01 – 2021-03-31
Keywords非線形マクロ動学モデル / ベイズ推定 / 動学的一般均衡モデル / ニューケインジアンモデル / ゼロ金利制約 / 金融政策ルール
Outline of Final Research Achievements

We quantitatively measured the effects of monetary policy on the Japanese macroeconomy from 1983 to 2016, including the zero-interest-rate period since 1999, by conducting numerical simulations using parallel computing capabilities in Matlab and Bayesian estimation employing Particle Filter for a nonlinear New Keynesian model under the zero-interest-rate constraint.
We also examined the characteristics of the monetary policy rule adopted by the Japanese central bank under the zero interest rate policy, including the possibility of forward guidance. Regarding the extension of this nonlinear New Keynesian model to the term structure of interest rates, this research will be continued based on previous studies that log-linearize the nonlinear part of the premium risk of long-term interest rates.

Free Research Field

計量経済学

Academic Significance and Societal Importance of the Research Achievements

日本ではゼロ金利政策は99年以降、現在に至るまで約20年間、常態化している。しかしながら、政策金利をゼロに固定化している場合、金利の上昇や下落の反実仮想を、実際のデータを用いて行うことは容易ではない。本研究は、この反実仮想により金融政策の効果を推定している。本研究の学究的意義は、反実仮想を数値計算・推定で行っている点であり、また社会的意義は、現代日本のマクロ経済政策に指針を提示している点である。

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Published: 2022-01-27  

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