2011 Fiscal Year Final Research Report
Empirical study of Monetary Policy and Simulation of Optimal Policy in Japan Using Dynamic General Equilibrium Model
| Project/Area Number |
21530264
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic policy
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| Research Institution | Tokyo Metropolitan University |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2011
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| Keywords | 経済統計学 / 金融政策 / マクロ計量経済モデル / 動学一般均衡モデル / ニューケインジアンモデル |
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| Research Abstract |
We developed a large scale DSGE model with goods and labor markets to be added financial market, and incorporated it with dynamic factor model, a kind of statistical model, which deals with large volume of panel data set. This type of DSGE model is referred to as "data rich DSGE model". And also we invented "historical decomposition" which extracts factors of contribution from business cycles arisen in past as a useful tool of policy analysis. We will start new empirical studies using these models and tools from now on.
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