Expansion and its application to the economic analysis of multivariate Beveridge-Nelson decomposition

• Project/Area Number: 16K03605
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Konan University
• Principal Investigator: Murasawa Yasutomo 甲南大学, 経済学部, 教授 (00314287)
• Project Period (FY): 2016-04-01 – 2022-03-31
• Project Status: Completed (Fiscal Year 2021)
• Budget Amount: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000); Fiscal Year 2020: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2019: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2018: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2016: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
• Keywords: 自然率 / ギャップ / トレンド / サイクル / 単位根 / 共和分 / ベイズ法 / インフレ期待 / ベクトル誤差修正モデル / 景気指数 / GDPギャップ / 経済統計学

Outline of Final Research Achievements

I worked on two themes during the funding period: (1) development and application of a method to decompose multiple macroeconomic time series simultaneously into trends (natural rates) and cycles (gaps), relying on a forecasting model consistent with the standard macroeconomic theory, (2) development of a method to estimate the underlying distribution behind interval data, and its application to interval data on inflation perceptions and expectations.
The research outputs include two publications in refereed international journals, one publication in a domestic non-refereed journal, four presentations at international conferences, and three presentations at domestic conferences.

Academic Significance and Societal Importance of the Research Achievements

マクロ経済学では長期の「成長」と短期の「循環」を区別する．したがってマクロ経済変数の「自然率」と「ギャップ」の計測は重要である．しかし統一的な計測手法は確立されていない．マクロ経済理論と整合的な統計モデルに基づく本研究の分解手法は統一的な計測手法となり得る．
量的変数に関する調査の回答方法は順序・区間・数値の3通りある．これらは一長一短がある．順序の回答は集めやすいが量的な情報を持たない．数値の回答は整数や5の倍数に回答が集中する．区間の回答は両者の中間にある．区間データから量的な情報を抽出する本研究の手法は低費用で効率的な調査の設計に役立つ．

Research Products

• [Journal Article] Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration (2022)
  • Author(s): Murasawa Yasutomo
  • Journal Title: Studies in Nonlinear Dynamics & Econometrics Volume: - Issue: 3 Pages: 387-415
  • DOI: 10.1515/snde-2020-0049
  • Peer Reviewed / Open Access
• [Journal Article] Multivariate Beveridge-Nelson Decomposition of I(1) and I(2) Series with Cointegration (2020)
  • Author(s): 村澤 康友
  • Journal Title: 甲南経済学論集 = Konan economic papers Volume: 60 Issue: 3･4 Pages: 1-14
  • DOI: 10.14990/00003482
  • NAID: 120006812486
  • URL: http://id.nii.ac.jp/1260/00003482/
  • Year and Date: 2020-03-20
  • Open Access
• [Journal Article] Measuring public inflation perceptions and expectations in the UK (2020)
  • Author(s): Murasawa Yasutomo
  • Journal Title: Empirical Economics Volume: 59 Issue: 1 Pages: 315-344
  • DOI: 10.1007/s00181-019-01675-8
  • Peer Reviewed
• [Journal Article] The Beveridge-Nelson Decomposition of Mixed-Frequency Series (2016)
  • Author(s): Yasutomo Murasawa
  • Journal Title: Empirical Economics Volume: 印刷中 Issue: 4 Pages: 1415-1441
  • DOI: 10.1007/s00181-015-1061-5
  • Peer Reviewed / Acknowledgement Compliant
• [Presentation] Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration (2019)
  • Author(s): 村澤 康友
  • Organizer: 日本経済学会2019年度春季大会
• [Presentation] Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration (2019)
  • Author(s): Yasutomo Murasawa
  • Organizer: CIRET/KOF/OECD/INSEE Workshop
  • Int'l Joint Research
• [Presentation] Bayesian Multivariate Beveridge-Nelson Decomposition of I(1) and I(2) Series with Cointegration (2019)
  • Author(s): Yasutomo Murasawa
  • Organizer: 27th Annual Symposium of the SNDE
  • Int'l Joint Research
• [Presentation] Measuring the Distributions of Public Inflation Perceptions and Expectations in the UK (2018)
  • Author(s): 村澤康友
  • Organizer: 日本経済学会2017年度春季大会
• [Presentation] Measuring the Distributions of Public Inflation Perceptions and Expectations in the UK (2018)
  • Author(s): Yasutomo Murasawa
  • Organizer: 4th Annual Conference of the IAAE
  • Int'l Joint Research
• [Presentation] Measuring Inflation Perceptions and Expectations in the UK: Bayesian Analysis of a Normal Mixture Model for Interval Data with an Indifference Limen (2017)
  • Author(s): Yasutomo Murasawa
  • Organizer: 25th Annual Symposium of the SNDE
  • Place of Presentation: Chamber of Commerce of Paris（パリ，フランス）
  • Year and Date: 2017-03-30
  • Int'l Joint Research
• [Presentation] Bayesian Analysis of a Normal Mixture Model for Interval Data with an Indifference Limen: Measuring Inflation Perceptions and Expectations in the UK (2016)
  • Author(s): 村澤 康友
  • Organizer: 2016年度統計関連学会連合大会
  • Place of Presentation: 金沢大学（石川県金沢市）
  • Year and Date: 2016-09-05
• [Remarks] 甲南大学経済学部村澤研究室ホームページ
  • URL: http://ymurasawa.web.fc2.com/research.html