Theoretical and empirical investigations of structural changes in the dynamic factor model

2023 Fiscal Year Final Research Report

• Project/Area Number: 19K01586
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07030:Economic statistics-related
• Research Institution: Hitotsubashi University
• Principal Investigator: YAMAMOTO Yohei 一橋大学, 大学院経済学研究科, 教授 (80633916)
• Project Period (FY): 2019-04-01 – 2024-03-31
• Keywords: 動学的因子モデル / 構造変化 / 動学的因果効果 / 大いなる安定期 / バブル / 非伝統的金融政策 / 予測の崩壊 / 気候変動

Outline of Final Research Achievements

In this research project, I integrated and extended the outcomes of two past research projects, that is, structural change analysis and dynamic factor models in the field of econometrics. In particular, I developed and proposed new econometric methods to effectively analyze the causal effects of economic policies during major global economic shocks such as the Global Financial Crisis and their recovery processes. In addition, I conducted various empirical analyses using these econometric methods in the fields of macroeconomics, international finance, and environmental economics (climate change). As specific achievements, I disseminated the obtained theoretical and empirical results to academic communities through presentations at 10 international conferences/seminars and 3 domestic conferences/seminars during the research period. Furthermore, I published 12 papers in high-level peer-reviewed international academic journals.

Free Research Field

計量経済学、応用マクロ経済学、国際金融

Academic Significance and Societal Importance of the Research Achievements

本研究課題の研究成果は、計量経済学の分野で次の学術的意義がある。第１に、経済モデルの分散の構造変化について係数の変化による歪みをなくす検定手法を開発した。第２に、動学的因子モデルにおいて、共通因子間の同時点の関係を観測できない共通因子の係数に制約を置くことなく識別する手法を開発・提案した。第３に、動学的因子モデルの共通部分と個別部分に短期的な発散過程（バブル）がある場合に、その時点を識別する手法を開発・提案した。また、かかる手法を米国経済の「大いなる安定期」の要因解明、低金利下の非伝統的金融政策、地域における住宅バブルの発生といった重要な経済問題に適用して重要な知見を得た点で社会的意義がある。