Empirical Analysis Using Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound Constraint on the Nominal Interest Rate

2017 Fiscal Year Final Research Report

• Project/Area Number: 26780124
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Economic theory
• Research Institution: Keio University
• Principal Investigator: HIROSE Yasuo 慶應義塾大学, 経済学部(三田), 教授 (50583663)
• Project Period (FY): 2014-04-01 – 2018-03-31
• Keywords: 動学的一般均衡（DSGE）モデル / 名目金利の非負制約 / 自然利子率 / 非線形モデル / ベイズ推定 / particle filter / マクロ経済学 / 金融政策

Outline of Final Research Achievements

This research project made two major academic contributions. First, I estimated a medium-scale DSGE model with a deflation steady state for the Japanese economy during the period from 1999 to 2013, when the Bank of Japan conducted a zero interest rate policy and the inflation rate was almost always negative, and revealed the characteristics of the economy during the period. Second, I found that the estimates of parameters and the natural interest rate in a DSGE model could be substantially biased if the zero lower bound constraint on the nominal interest rate was not taken into account in estimation.

Free Research Field

マクロ経済学、金融政策