Development and analysis of non-Gaussian panel and time series models for domestic and international monetary policy spillover effects

2023 Fiscal Year Final Research Report

• Project/Area Number: 22K20151
• Research Category: Grant-in-Aid for Research Activity Start-up
• Allocation Type: Multi-year Fund
• Review Section: 0107:Economics, business administration, and related fields
• Research Institution: Hokkaido University (2023); The Institute of Statistical Mathematics (2022)
• Principal Investigator: Nakanishi Tadashi 北海道大学, 経済学研究院, 助教 (30967203)
• Project Period (FY): 2022-08-31 – 2024-03-31
• Keywords: データ駆動型 / 金融政策分析 / 時系列モデル / 非ガウス性

Outline of Final Research Achievements

The pseudo-maximum likelihood method proposed with research collaborator Prof. Maekawa was found to be consistent estimators and asymptotically normal. futhemore, We analyzed the effects of monetary policy using the NG-SVAR model, and found that the impact of monetary policy on the real economy was quite small. In order to take into account the impact of the consumption tax hike, a reanalysis was conducted using the consumption tax-adjusted CPI, but it is difficult to say that monetary policy had any effect. These research results were reported at conferences and seminars and received a certain amount of recognition. In addition, two papers were published in English.

Free Research Field

計量経済学

Academic Significance and Societal Importance of the Research Achievements

構造VARモデルの誤差項は伝統的に正規分布を仮定することが多いが、実際には正規分布ではないことがある。本研究では、その問題に対処するため、非ガウス型構造VARモデルを応用して、日本の金融緩和政策の効果を測定した。分析に用いた全てのモデルの誤差項を調査した結果、正規分布ではなく非正規分布に従うことを確認した。この結果から、本手法を開発した学術的意義があったと言える。また、消費税増税やマクロ経済の不確実性といった様々な要因が絡むが、非伝統的金融緩和が当初の想定より効果を発揮していないという分析結果を得たことは政策当局にとって重要な成果と言える。