Theoretical and applied analyses on closed and open economy short-run macroeconometric model selection

2016 Fiscal Year Final Research Report

• Project/Area Number: 26285049
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: The University of Tokyo
• Principal Investigator: Shintani Mototsugu 東京大学, 先端科学技術研究センター, 教授 (00252718)
• Co-Investigator(Renkei-kenkyūsha): YABU Tomoyoshi 慶応義塾大学, 商学部, 准教授 (90463819) ; TSURUGA Takayuki 京都大学, 経済学研究科, 准教授 (40511720)
• Research Collaborator: INOUE Atsushi Vanderbilt大学, 経済学部, 教授 ; CRUCINI Mario Vanderbilt大学, 経済学部, 教授
• Project Period (FY): 2014-04-01 – 2017-03-31
• Keywords: マクロ経済モデル / 景気循環 / 確率トレンド

Outline of Final Research Achievements

Estimating an appropriate macroeconometric model using the data for the purpose of evaluating the policy effect is an important task. In this research project, we propose new econometric procedures that are useful in selecting superior macroeconometric models and develop and estimate various macroeconomic models usable for policy evaluation. In theoretical analysis, we propose new evaluation and estimation methods for dynamic factor models, dynamic panel data models and dynamic stochastic general equilibrium (DSGE) models. In empirical analysis, we conduct trend-cycle decomposition, estimation and selection of New Keynesian Phillips curves, development and estimation of new models such as a model of information frictions, an open-economy sticky wage model, and a two-sector labor search model.

Free Research Field

マクロ経済学