Estimating nonlinear behavioral macroeconomic models with the zero lower bound of nominal interest rates

2023 Fiscal Year Final Research Report

• Project/Area Number: 19H01491
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Review Section: Basic Section 07040:Economic policy-related
• Research Institution: Waseda University
• Principal Investigator: Ueda Kozo 早稲田大学, 政治経済学術院, 教授 (30708558)
• Co-Investigator(Kenkyū-buntansha): 新谷 元嗣 東京大学, 大学院経済学研究科(経済学部), 教授 (00252718) ; 飯星 博邦 日本大学, 経済学部, 教授 (90381441)
• Project Period (FY): 2019-04-01 – 2024-03-31
• Keywords: DSGEモデル / 金融政策 / ゼロ金利制約 / 行動経済学 / ベイズ推計 / 量的緩和

Outline of Final Research Achievements

This study attempts to elucidate the Japanese economy during the secular stagnation by constructing and estimating macroeconomic models. The specific features of this study are to incorporate the zero lower bound on the nominal interest rate as well as behavioral economics elements that assume that economic agents do not fully understand future economic conditions, while also taking into account quantitative easing policy. Through estimating the model, the effects of monetary policy were simulated and the causes of the secular stagnation were analyzed.
Some of the research outcomes led to working papers and publications, including two articles (including one planned) in the Journal of Money, Credit and Banking, a prestigious journal in the field of macroeconomics.

Free Research Field

マクロ経済学、金融政策

Academic Significance and Societal Importance of the Research Achievements

DSGEモデルは、現代のマクロ経済学における標準的分析ツールであるものの、多くの限界が指摘されている。本研究では、特に、名目金利のゼロ制約や行動経済学要素を取り込んで、モデルを構築し推計することに意義がある。こうした研究は、計算負荷の高さからいまだ存在しないだけでなく、高い現実妥当性から学術的にも政策的にも重要性が大きい。