2013 Fiscal Year Final Research Report
Nonlinearity and Steady-State Changes in DSGE models
| Project/Area Number |
23730306
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Keio University |
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Principal Investigator |
HIROSE Yasuo 慶應義塾大学, 経済学部, 准教授 (50583663)
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| Project Period (FY) |
2011 – 2013
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| Keywords | 動学的一般均衡モデル / 名目金利の非負制約 / 確率的トレンド / ベイズ推計 |
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| Research Abstract |
In the first project regarding dynamic stochastic general equilibrium (DSGE) models with the zero lower bound constraint on the nominal interest rate, I examine how and to what extent parameter estimates can be biased in a DSGE model that ignores the existence of the zero lower bound. In the second project that employs DSGE models with stochastic trends, I propose a method to identify news shocks, which are anticipated by economic agents, and quantify the importance of such shocks in explaining macroeconomic fluctuations.
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