2010 Fiscal Year Final Research Report
Imperfect information and learning in foreign exchange rate fluctuations
| Project/Area Number |
20730205
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | The University of Tokyo |
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Principal Investigator |
KANO Takashi 東京大学, 大学院・経済学研究科, 講師 (90456179)
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| Project Period (FY) |
2008 – 2010
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| Keywords | 為替レート / 国際マクロ経済モデル / 動学的確率的一般均衡モデル / 不完全情報 / 周波数解析 / ベイズ統計 / 輸送費 |
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| Research Abstract |
I conducted three research projects. In the first one, I investigated roles of information imperfection of market participants on a central bank’s monetary policy in exchange rate fluctuations within a framework of dynamic stochastic general equilibrium models (DSGEs). Along this equilibrium, I then observed delayed overshooting of exchange rates in response of monetary policy shocks that many past studies empirically found but theoretically failed to generate.
In the second project, I applied Bayesian estimation and model validation methods to my investigation of a small open economy model with habit formation in consumption. I also developed a Bayesian calibration framework for evaluating a DSGE model within the frequency domain.
In the third project, I empirically scrutinized a role of transport costs in regional price dispersions with the unique data set of wholesale prices of agricultural products in Japan. I identified and estimated a surprisingly large role of transport costs in observed regional price differentials relative to those found in past studies.
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