Application of Data-rich DSGE models to monetary and fiscal policies

2014 Fiscal Year Final Research Report

• Project/Area Number: 24530307
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic policy
• Research Institution: Tokyo Metropolitan University
• Principal Investigator: IIBOSHI Hirokuni 首都大学東京, 社会(科)学研究科, 教授 (90381441)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: マクロ経済動学 / 政策シミュレーション / マクロ変数の寄与度分解 / マクロ変数の予測分布 / データリッチ / DSGEモデル / マルコフスイッチDSGEモデル

Outline of Final Research Achievements

In the DSGE model under data-rich environment in Japan, we used the model by Smets & Wouters (2003, 2007) and estimated with quarterly panel data consisting of 55 macroeconomic series. In the case of the U.S., we incorporated bank sectors into the model and estimated by using 40 series panel data and assuming time-varying volatilities for structural shocks. The historical decomposition derived from the estimated structural shocks showed time-varying volatilities draw different pictures from constant volatilities. In the Markov-switching DSGE model, we introduced the regime switching between aggressive and passive monetary policy rules under the zero lower bound.

Free Research Field

経済政策