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Building New Macroeconometric Models with Applications to Economic Forecasting Using Big Data

Research Project

Project/Area Number 17H00985
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic policy
Research InstitutionHitotsubashi University

Principal Investigator

WATANABE Toshiaki  一橋大学, 経済研究所, 教授 (90254135)

Co-Investigator(Kenkyū-buntansha) 新谷 元嗣  東京大学, 大学院経済学研究科(経済学部), 教授 (00252718)
塩路 悦朗  一橋大学, 大学院経済学研究科, 教授 (50301180)
陣内 了  一橋大学, 経済研究所, 准教授 (50765617)
大森 裕浩  東京大学, 大学院経済学研究科(経済学部), 教授 (60251188)
山本 庸平  一橋大学, 大学院経済学研究科, 教授 (80633916)
加納 隆  一橋大学, 大学院経済学研究科, 教授 (90456179)
Project Period (FY) 2017-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2020)
Budget Amount *help
¥41,730,000 (Direct Cost: ¥32,100,000、Indirect Cost: ¥9,630,000)
Fiscal Year 2019: ¥12,610,000 (Direct Cost: ¥9,700,000、Indirect Cost: ¥2,910,000)
Fiscal Year 2018: ¥13,650,000 (Direct Cost: ¥10,500,000、Indirect Cost: ¥3,150,000)
Fiscal Year 2017: ¥15,470,000 (Direct Cost: ¥11,900,000、Indirect Cost: ¥3,570,000)
Keywordsマクロ計量分析 / 経済予測 / 金融政策 / 財政政策 / VAR / DSGE / 資産価格の高頻度データ / マクロ経済学 / 計量経済学
Outline of Final Research Achievements

A wide range of research results, including improvements to VAR and DSGE models, modeling of asset price volatility fluctuations, response of asset price to macro news, and econometric theory of structural VAR models using large-scale data and structural changes in error variance was obtained. It is also shown that the predictive ability of macro variables is improved by making all the coefficients and error variances of the VAR model time-varying, and the volatility changing models constructed in this research are useful for the volatility prediction, Value-at-Risk and portfolio selection. These research results were published in 19 peer-reviewed academic journals and reported 112 times at academic conferences and workshops. In addition, an international workshop was held every year for three years.

Academic Significance and Societal Importance of the Research Achievements

本研究では、マクロ計量分析で用いられるVARモデルや構造マクロモデル、計量ファイナンスで用いられる確率的ボラティリティ変動モデルの改良とそれらの応用を行い、新たな知見を得た。それらを国内外の学会や査読付き学術誌で発信したことは学術的に意義がある。また改良したモデルのいくつかは、マクロ変数や資産価格のボラティリティの予測、Value-at-Riskおよびポートフォリオ選択に有用であることが明らかになったので、本研究の成果は政策当局や金融機関にとっても有用である。

Report

(4 results)
  • 2020 Final Research Report ( PDF )
  • 2019 Annual Research Report
  • 2018 Annual Research Report
  • 2017 Annual Research Report
  • Research Products

    (144 results)

All 2021 2020 2019 2018 2017 Other

All Int'l Joint Research (5 results) Journal Article (19 results) (of which Int'l Joint Research: 10 results,  Peer Reviewed: 19 results,  Open Access: 5 results,  Acknowledgement Compliant: 2 results) Presentation (112 results) (of which Int'l Joint Research: 84 results,  Invited: 48 results) Book (5 results) Funded Workshop (3 results)

  • [Int'l Joint Research] アルバータ大学(カナダ)

    • Related Report
      2019 Annual Research Report
  • [Int'l Joint Research] ボストン大学/ボストンカレッジ/ペンシルバニア大学(米国)

    • Related Report
      2019 Annual Research Report
  • [Int'l Joint Research] マッセ―大学(ニュージーランド)

    • Related Report
      2019 Annual Research Report
  • [Int'l Joint Research] ロンドン大学(英国)

    • Related Report
      2019 Annual Research Report
  • [Int'l Joint Research] 台湾逢甲大学/台湾東海大学(その他の国・地域)

    • Related Report
      2019 Annual Research Report
  • [Journal Article] Exchange rates and fundamentals: A general equilibrium exploration2021

    • Author(s)
      Takashi Kano
    • Journal Title

      Journal of Money, Credit and Banking

      Volume: 53 Issue: 1 Pages: 95-117

    • DOI

      10.1111/jmcb.12698

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Current account dynamics under information rigidity and imperfect capital mobility2019

    • Author(s)
      Akihisa Shibata; Mototsugu Shintani; Takayuki Tsuruga
    • Journal Title

      Journal of International Money and Finance

      Volume: 92 Pages: 153-176

    • DOI

      10.1016/j.jimonfin.2018.12.001

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model2019

    • Author(s)
      Pierre Perron and Yohei Yamamoto
    • Journal Title

      Econometrics

      Volume: 7(2) Issue: 2 Pages: 22-22

    • DOI

      10.3390/econometrics7020022

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] The Exchange Rate Effects of Macro News after the Global Financial Crisis2019

    • Author(s)
      Yin-Wong Cheung, Rasmus Fatum, Yohei Yamamoto
    • Journal Title

      Journal of International Money and Finance

      Volume: 印刷中 Pages: 424-443

    • DOI

      10.1016/j.jimonfin.2018.03.009

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Bayesian Modeling and Forecasting of Value-at-Risk via Threshold Realized Volatility2019

    • Author(s)
      Cathy W.S.Chen and Toshiaki Watanabe
    • Journal Title

      Applied Stochastic Models in Business and Industry

      Volume: 印刷中 Issue: 3 Pages: 747-765

    • DOI

      10.1002/asmb.2395

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity2019

    • Author(s)
      Kurose Yuta、Omori Yasuhiro
    • Journal Title

      Econometrics and Statistics

      Volume: 印刷中 Pages: 46-68

    • DOI

      10.1016/j.ecosta.2018.03.003

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 多変量ボラティリティモデルのベイズ推定2019

    • Author(s)
      大森裕浩
    • Journal Title

      『日本統計学会誌』 シリーズJ

      Volume: 48(2) Pages: 177-198

    • NAID

      130007724449

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Quantitative ‘Flooding’ and Bank Lending: Evidence from 18 Years of Near-Zero Interest Rate2019

    • Author(s)
      Etsuro Shioji
    • Journal Title

      Journal of the Japanese and International Economies

      Volume: 印刷中 Pages: 107-120

    • DOI

      10.1016/j.jjie.2019.01.003

    • NAID

      210000160498

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Financial Frictions, Trends, and the Great Recession2019

    • Author(s)
      Pablo Guerron-Quintana and Ryo Jinnai
    • Journal Title

      Quantitative Economics

      Volume: 印刷中 Issue: 2 Pages: 735-773

    • DOI

      10.3982/qe702

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Bootstrap Inference for Impulse Response Functions in Factor‐Augmented Vector Autoregressions2019

    • Author(s)
      Yohei Yamamoto
    • Journal Title

      Journal of Applied Econometrics

      Volume: 印刷中 Issue: 2 Pages: 247-267

    • DOI

      10.1002/jae.2659

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes2018

    • Author(s)
      Yoon-Jin Lee, Ryo Okui and Mototsugu Shintani
    • Journal Title

      Journal of Econometrics

      Volume: 204(2) Issue: 2 Pages: 147-158

    • DOI

      10.1016/j.jeconom.2017.04.005

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Quasi-Bayesian Model Selection2018

    • Author(s)
      Atsushi Inoue and Mototsugu Shintani
    • Journal Title

      Quantitative Economics

      Volume: 9(3) Issue: 3 Pages: 1265-1297

    • DOI

      10.3982/qe587

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach2018

    • Author(s)
      Shintani Mototsugu、Guo Zi-Yi
    • Journal Title

      Econometric Reviews

      Volume: 37 Issue: 4 Pages: 360-379

    • DOI

      10.1080/07474938.2015.1092825

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component2017

    • Author(s)
      Perron, Pierre, Mototsugu Shintani and Tomoyoshi Yabu
    • Journal Title

      Oxford Bulletin of Economics and Statistics

      Volume: 印刷中 Issue: 5 Pages: 822-850

    • DOI

      10.1111/obes.12169

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Cholesky Realized Stochastic Volatility Model2017

    • Author(s)
      Shirota Shinichiro、Omori Yasuhiro、F. Lopes Hedibert.、Piao Haixiang
    • Journal Title

      Econometrics and Statistics

      Volume: 3 Pages: 34-59

    • DOI

      10.1016/j.ecosta.2016.08.003

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Bayesian modeling of dynamic extreme values: Extension of generalized extreme value distributions with latent stochastic processes2017

    • Author(s)
      Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro Omori
    • Journal Title

      Journal of Applied Statistics

      Volume: 印刷中 Issue: 7 Pages: 1248-1268

    • DOI

      10.1080/02664763.2016.1201796

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Is the Renminbi a Safe Haven?2017

    • Author(s)
      Rasmus Fatum, Yohei Yamamoto, Guozhong Zhu
    • Journal Title

      Journal of International Money and Finance

      Volume: 79 Pages: 189-202

    • DOI

      10.1016/j.jimonfin.2017.09.010

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析2017

    • Author(s)
      中島上智、渡部敏明
    • Journal Title

      経済研究

      Volume: 68 Pages: 237-249

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] 景気循環理論と内生的成長理論との統合;研究動向と日本経済への適用可能性2017

    • Author(s)
      陣内了
    • Journal Title

      経済研究

      Volume: 68 Pages: 289-302

    • NAID

      120006733392

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access
  • [Presentation] High-frequency stochastic volatility models2020

    • Author(s)
      Toshiaki Watanabe and Jouchi Nakajima
    • Organizer
      2019年度関西計量経済学研究会
    • Related Report
      2019 Annual Research Report
  • [Presentation] How policies are perceived in the market for the Japanese government bonds: Evidence from volatility smiles2020

    • Author(s)
      Etsuro Shioji
    • Organizer
      FFJ-BANQUE DE FRANCE WORKSHOP: Macroeconomics and Monetary Policy
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Testing for speculative bubbles in large-dimensional financial panel data sets2020

    • Author(s)
      Yohei Yamamoto and Tetsushi Horie
    • Organizer
      Nanyang Econometrics Workshop
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Recurrent bubbles and economic growth2020

    • Author(s)
      Pablo A. Guerron-Quintana, Tomohiro Hirano and Ryo Jinnai
    • Organizer
      Faculty Workshop, University of London
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Intraday range-based stochastic volatility models with application to the Japanese stock index2019

    • Author(s)
      Toshiaki Watanabe and Jouchi Nakajima
    • Organizer
      4th Eastern Asia Chapter Meeting on Bayesian Statistics (EAC-ISBA 2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] High-frequency Stochastic Volatility Models2019

    • Author(s)
      Toshiaki Watanabe and Jouchi Nakajima
    • Organizer
      HSI2019-5th Hitotsubashi Summer Institute
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Particle rolling MCMC2019

    • Author(s)
      Naoki Awaya and Yasuhiro Omori
    • Organizer
      28th South Taiwan Statistics Conference
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Particle learning for stochastic volatility with leverage2019

    • Author(s)
      Naoki Awaya and Yasuhiro Omori
    • Organizer
      4th Eastern Asia Chapter Meeting on Bayesian Statistics
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations2019

    • Author(s)
      Yuta Yamauchi and Yasuhiro Omori
    • Organizer
      HSI2019-5th Hitotsubashi Summer Institute
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Realized stochastic volatility with skewed t distribution2019

    • Author(s)
      高橋慎 ・大森裕浩・ 渡部敏明
    • Organizer
      ベイズ計量経済学研究集会
    • Related Report
      2019 Annual Research Report
  • [Presentation] Factor multivariate realized stochastic volatility model2019

    • Author(s)
      Yuta Yamauchi and Yasuhiro Omori
    • Organizer
      13th International Conference on Computational and Financial Econometrics (CFE2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Infrastructure investment news and business cycles: Evidence from the VAR with external instruments2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      Korea University Seminar
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Pass-through of oil supply shocks to domestic gasoline prices: Evidence from daily data2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      2019 Workshop on Energy Economics: Econometric Analysis of Energy Demand and Climate Change
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Pass-through of oil supply shocks to domestic gasoline prices: Evidence from daily data2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      15th International Symposium on Econometric Theory and Applications (SETA)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Fiscal confidence shocks and the market for the Japanese government bonds2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      International Conference on Public Economic Theory, 2019 (PET2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Pass-through of oil supply shocks to domestic gasoline prices: Evidence from daily data2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      Asia Pacific Economic Association
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Pass-through of oil supply shocks to domestic gasoline prices: Evidence from daily data2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      HSI2019-5th Hitotsubashi Summer Institute
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Infrastructure investment news and business cycles: Evidence from the VAR with external instruments2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      72nd European Meeting of the Econometric Society
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Response of lending to the Bank of Japan's quantitative and qualitative easing policy: Evidence from a panel data of regional banks2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      Seoul Journal of Economics International Symposium
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Pass-through of oil supply shocks to domestic gasoline prices: Evidence from daily data2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      13th International Conference on Computational and Financial Econometrics (CFE 2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2019

    • Author(s)
      Mototsugu Shintani, Ryo Kinoshita and Kosuke Oya
    • Organizer
      Workshop on Recent Progress in Time Series: in honour of Peter Robinson
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2019

    • Author(s)
      Mototsugu Shintani, Ryo Kinoshita and Kosuke Oya
    • Organizer
      2019 Asian Meeting of the Econometric Society
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] News implied uncertainty and aggregate economic activity:Evidence from the Japanese government bond market2019

    • Author(s)
      Mototsugu Shintani, Keiichi Goshima and Hiroshi Ishijima
    • Organizer
      3rd International Conference on Econometrics and Statistics (EcoSta 2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Forecasting Japanese inflation with a news-based leading indicator of economic activities2019

    • Author(s)
      新谷元嗣・五島圭一・石島博・山本弘樹
    • Organizer
      2019年度 Summer Workshop on Economic Theory
    • Related Report
      2019 Annual Research Report
  • [Presentation] Forecasting Japanese inflation with a news-based leading indicator of economic activities2019

    • Author(s)
      Mototsugu Shintani, Keiichi Goshima, Hiroshi Ishijima and Hiroki Yamamoto
    • Organizer
      2019 CUR Microeconometrics: Survey Methodology and Data Science
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Forecasting Japanese inflation with a news-based leading indicator of economic activities2019

    • Author(s)
      新谷元嗣・五島圭一・石島博・山本弘樹
    • Organizer
      日本経済学会2019年度秋季大会
    • Related Report
      2019 Annual Research Report
  • [Presentation] Searching for currency regime effects on real exchange rate adjustments: 1972 Okinawa reversion2019

    • Author(s)
      Takashi Kano and Kazuko Kano
    • Organizer
      Canadian Economic Association Meetings
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Searching for currency regime effects on real exchange rate adjustments: 1972 Okinawa reversion2019

    • Author(s)
      Takashi Kano and Kazuko Kano
    • Organizer
      North American Summer Meetings of Econometric Society (国際学会)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Searching for currency regime effects on real exchange rate adjustments: 1972 Okinawa reversion2019

    • Author(s)
      Takashi Kano and Kazuko Kano
    • Organizer
      European Meeting of the Econometric Society (国際学会)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] On posterior inferences of misspecified DSGE models: The minimal econometric interpretation2019

    • Author(s)
      Takashi Kano
    • Organizer
      HSI2019-5th Hitotsubashi Summer Institute
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] On posterior inferences of misspecified DSGE models: The minimal econometric interpretation2019

    • Author(s)
      Takashi Kano
    • Organizer
      13th International Conference on Computational and Financial Econometrics (CFE 2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Testing jointly for structural changes in the error variance and coefficients of a linear regression model2019

    • Author(s)
      Pierre Perron, Yohei Yamamoto and Jing Zhou
    • Organizer
      東北大学応用統計計量ワークショップ
    • Related Report
      2019 Annual Research Report
    • Invited
  • [Presentation] The great moderation: Updated evidence with joint tests for multiple structural changes in variance and persistence2019

    • Author(s)
      Pierre Perron and Yohei Yamamoto
    • Organizer
      マクロ経済学研究会
    • Related Report
      2019 Annual Research Report
    • Invited
  • [Presentation] Testing jointly for structural changes in the error variance and coefficients of a linear regression model2019

    • Author(s)
      Pierre Perron, Yohei Yamamoto and Jing Zhou
    • Organizer
      国立台北大学経済セミナー
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Identifying factor-augmented vector autoregression models via changes in shock variances2019

    • Author(s)
      Yohei Yamamoto
    • Organizer
      Helsinki Graduate School of Economics Seminar
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Testing jointly for structural changes in the error variance and coefficients of a linear regression model2019

    • Author(s)
      Pierre Perron, Yohei Yamamoto and Jing Zhou
    • Organizer
      NBER-NSF Time Series Conference
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Testing jointly for structural changes in the error variance and coefficients of a linear regression model2019

    • Author(s)
      Pierre Perron, Yohei Yamamoto and Jing Zhou
    • Organizer
      HSI2019-5th Hitotsubashi Summer Institute
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Testing for speculative bubbles in large-dimensional financial panel data sets2019

    • Author(s)
      Yohei Yamamoto and Tetsushi Horie
    • Organizer
      15th International Symposium on Econometric Theory and Applications
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Recurrent bubbles and economic growth2019

    • Author(s)
      Pablo A. Guerron-Quintana, Tomohiro Hirano and Ryo Jinnai
    • Organizer
      Expectation, Financial Markets, and the Macroeconomy
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Recurrent bubbles and economic growth2019

    • Author(s)
      Pablo A. Guerron-Quintana, Tomohiro Hirano and Ryo Jinnai
    • Organizer
      Midwest Macro Meeting (Fall 2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] High-Frequency Stochastic Volatility Models for the Japanese Stock Index2019

    • Author(s)
      Toshiaki Watanabe and Jouchi Nakajima
    • Organizer
      International Workshop on "One Belt & One Road"
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Intraday Range-Based Stochastic Volatility Models with Application to the Japanese Stock Index2019

    • Author(s)
      Toshiaki Watanabe and Jouchi Nakajima
    • Organizer
      3rd International Conference on Econometrics and Statistics (EcoSta 2019)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Multivariate Realized Stochastic Volatility with Dynamic Pairwise Correlations2019

    • Author(s)
      大森裕浩・山内雄太
    • Organizer
      科研プロジェクト「経済統計・政府統計の理論と応用からの提言」研究集会
    • Related Report
      2018 Annual Research Report
  • [Presentation] 「失われた20年で日本企業は変わってしまったのか―なぜキャッシュをため込むのか、設備投資はどこに向かうのか―」2019

    • Author(s)
      塩路悦朗
    • Organizer
      ESRI経済政策フォーラム-企業が直面する不確実性と設備投資・企業行動-
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] Pass-Through of Oil Supply Shocks to Domestic Gasoline Prices: Evidence from Daily Data2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      2019 Workshop on Energy Economics: Econometric Analysis of Energy Demand and Climate Change
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Pass-Through of Oil Supply Shocks to Domestic Gasoline Prices: Evidence from Daily Data2019

    • Author(s)
      Etsuro Shioji
    • Organizer
      15th International Symposium on Econometric Theory and Applications (SETA2019)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Frequency-wise Causality Analysis in Infinite Order Vector Autoregressive Processes2019

    • Author(s)
      Mototsugu Shintani, Ryo Kinoshita and Kosuke Oya
    • Organizer
      第26回関西計量経済学研究会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Forecasting Japanese Inflation with a News-Based Leading Indicator of Economic Activities2019

    • Author(s)
      Mototsugu Shintani, Keiichi Goshima, Hiroshi Ishijima and Hiroki Yamamoto
    • Organizer
      27th Symposium of the Society for Nonlinear Dynamics and Econometrics
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Bayesian Analysis of Time-Varying Heterogeneous Autoregressive Models2018

    • Author(s)
      Toshiaki Watanabe
    • Organizer
      2018 International Society for Bayesian Analysis (ISBA) World Meeting
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] High-Frequency Stochastic Volatility Models for the Japanese Stock Index2018

    • Author(s)
      Toshiaki Watanabe and Jouchi Nakajima
    • Organizer
      12th International Conference on Computational and Financial Econometrics (CFE 2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] High-Frequency Stochastic Volatility Models for the Japanese Stock Index2018

    • Author(s)
      Toshiaki Watanabe and Jouchi Nakajima
    • Organizer
      ベイズ計量経済分析研究集会
    • Related Report
      2018 Annual Research Report
  • [Presentation] MCMCと状態空間モデル2018

    • Author(s)
      大森裕浩
    • Organizer
      統計サマーセミナー
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] Particle Rolling MCMC with Double Block Sampling: Conditional SMC Update Approach2018

    • Author(s)
      Yasuhiro Omori and Nao Awaya
    • Organizer
      Bayesian Computation for High-Dimensional Statistical Models
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] 多変量ボラティリティモデルのベイズ推定2018

    • Author(s)
      大森裕浩
    • Organizer
      2018年度 統計関連学会連合大会
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] Particle Rolling MCMC2018

    • Author(s)
      Yasuhiro Omori and Nao Awaya
    • Organizer
      12th International Conference on Computational and Financial Econometrics (CFE 2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Quantitative ‘Flooding’ and Bank Lending: Evidence from 18 Years of Near-zero Interest Rate2018

    • Author(s)
      塩路悦朗
    • Organizer
      金融班月例会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Fiscal Confidence Shocks and the Market for the Japanese Government Bonds2018

    • Author(s)
      塩路悦朗
    • Organizer
      日本金融学会2018年度春季大会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Fiscal Confidence Shocks and the Market for the Japanese Government Bonds2018

    • Author(s)
      Etsuro Shioji
    • Organizer
      4th Hitotsubashi Summer Institute (HSI2018) “Macroeconomics and Macroeconometrics”
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Infrastructure Investment News and Business Cycles: Evidence from the VAR with External Instruments2018

    • Author(s)
      Etsuro Shioji
    • Organizer
      Summer Workshop on Economic Theory (SWET) 2018
    • Related Report
      2018 Annual Research Report
  • [Presentation] Fiscal Confidence Shocks and the Market for the Japanese Government Bonds2018

    • Author(s)
      塩路悦朗
    • Organizer
      日本経済学会2018年度秋季大会
    • Related Report
      2018 Annual Research Report
  • [Presentation] 「財政赤字への不安感は本当にないのか?-国債先物オプションデータの検証」2018

    • Author(s)
      塩路悦朗
    • Organizer
      科研費・研究集会「アベノミクスは長期低迷を克服したのか?」
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] Fiscal Confidence Shocks and the Market for the Japanese Government Bonds2018

    • Author(s)
      塩路悦朗
    • Organizer
      公共選択学会第22回全国大会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Infrastructure Investment News and Business Cycles: Evidence from the VAR with External Instruments2018

    • Author(s)
      Etsuro Shioji
    • Organizer
      12th International Conference on Computational and Financial Econometrics (CFE 2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] On Trigonometric Trend Regressions of Unknown Frequencies in the Presence of Autoregressive Errors2018

    • Author(s)
      Mototsugu Shintani, Pierre Perron and Tomoyoshi Yabu
    • Organizer
      4th Hitotsubashi Summer Institute (HSI2018) “Macroeconomics and Macroeconometrics”
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Missing Wage Inflation? Estimating the Natural Rate of Unemployment in a Nonlinear DSGE Model2018

    • Author(s)
      Mototsugu Shintani, Yuto Iwasaki and Ichiro Muto
    • Organizer
      2018 Midwest Macroeconomics Meetings
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Frequency-wise Causality Analysis in Infinite Order Vector Autoregressive Processes2018

    • Author(s)
      Mototsugu Shintani, Ryo Kinoshita and Kosuke Oya
    • Organizer
      12th International Conference on Computational and Financial Econometrics (CFE2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Trend Inflation and Exchange Rate Dynamics: A New Keynesian Approach2018

    • Author(s)
      Takashi Kano
    • Organizer
      52nd Annual Conference of the Canadian Economic Association
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Trend Inflation and Exchange Rate Dynamics: A New Keynesian Approach2018

    • Author(s)
      Takashi Kano
    • Organizer
      International Conference on Economic Modeling (EcoMod2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Trend Inflation and Exchange Rate Dynamics: A New Keynesian Approach2018

    • Author(s)
      Takashi Kano
    • Organizer
      71st European Meeting of the Econometric Society
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Recurrent Bubbles and Economic Growth2018

    • Author(s)
      Pablo Guerron-Quintana, Tomohiro Hirano and Ryo Jinnai
    • Organizer
      CIGS Conference on Macroeconomic Theory and Policy 2018
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Recurrent Bubbles and Economic Growth2018

    • Author(s)
      Pablo Guerron-Quintana, Tomohiro Hirano and Ryo Jinnai
    • Organizer
      China International Conference in Macroeconomics
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Recurrent Bubbles and Economic Growth2018

    • Author(s)
      Pablo Guerron-Quintana, Tomohiro Hirano and Ryo Jinnai
    • Organizer
      Expectations in Dynamic Macroeconomic Models
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Recurrent Bubbles and Economic Growth2018

    • Author(s)
      Pablo Guerron-Quintana, Tomohiro Hirano and Ryo Jinnai
    • Organizer
      23rd Annual Latin American and Caribbean Economic Association (LACEA) Meeting 2018
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Identifying Factor-augmented Vector Autoregression Models via Changes in Shock Variances2018

    • Author(s)
      Yohei Yamamoto
    • Organizer
      5th International Association for Applied Econometrics (IAAE) Annual Conference
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018

    • Author(s)
      Yohei Yamamoto
    • Organizer
      28th Annual Meeting of the Midwest Econometrics Group
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances2018

    • Author(s)
      Yohei Yamamoto
    • Organizer
      12th International Conference on Computational and Financial Econometrics (CFE2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk2018

    • Author(s)
      渡部敏明
    • Organizer
      一橋大学経済研究所共同利用・共同研究拠点プロジェクト研究集会「高頻度データを用いた資産価格の計量分析」
    • Related Report
      2017 Annual Research Report
  • [Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk2018

    • Author(s)
      渡部敏明
    • Organizer
      Workshop “Financial/Economic Analytics”
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] The Exchange Rate Effects of Macro News after the Global Financial Crisis2018

    • Author(s)
      山本庸平
    • Organizer
      一橋大学経済研究所共同利用・共同研究拠点プロジェクト研究集会「高頻度データを用いた資産価格の計量分析」
    • Related Report
      2017 Annual Research Report
  • [Presentation] Realized stochastic volatility with skewed t distribution2018

    • Author(s)
      大森裕浩
    • Organizer
      Workshop “Financial/Economic Analytics”
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Recurrent Bubbles, Economic Fluctuations, and Growth2018

    • Author(s)
      陣内了
    • Organizer
      若手経済学者のためのマクロ経済学コンファレンス
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Recurrent Bubbles, Economic Fluctuations, and Growth2018

    • Author(s)
      陣内了
    • Organizer
      Pan Pacific Conference in Economic Research
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Recurrent Bubbles, Economic Fluctuations, and Growth2018

    • Author(s)
      陣内了
    • Organizer
      RIETI international workshop; long-term growth and secular stagnation
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk2017

    • Author(s)
      渡部敏明
    • Organizer
      The 11th International Conference on Computational and Financial Econometrics (CFE 2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Extracting fiscal policy expectations from a cross section of daily stock returns2017

    • Author(s)
      塩路悦朗
    • Organizer
      日本経済学会春季大会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Extracting fiscal policy expectations from a cross section of daily stock returns2017

    • Author(s)
      塩路悦朗
    • Organizer
      4th Conference of International Association for Applied Econometrics
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Extracting fiscal policy expectations from a cross section of daily stock returns2017

    • Author(s)
      塩路悦朗
    • Organizer
      APEA (Asia-Pacific Economic Association) 2017
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 量的・質的金融緩和期における日本の信用創造2017

    • Author(s)
      塩路悦朗
    • Organizer
      SWET (Summer Workshop on Economic Theory) 2017 マクロ金融
    • Related Report
      2017 Annual Research Report
  • [Presentation] Money Creation under the Quantitative and Qualitative Easing Policy: Evidence from a Panel Data of Japanese Banks2017

    • Author(s)
      塩路悦朗
    • Organizer
      日本経済学会秋季大会
    • Related Report
      2017 Annual Research Report
  • [Presentation] 量的・質的金融緩和期における日本の信用創造2017

    • Author(s)
      塩路悦朗
    • Organizer
      日本金融学会秋季大会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Fiscal Confidence Shocks and the Market for the Japanese Government Bonds2017

    • Author(s)
      塩路悦朗
    • Organizer
      HIAS, IER and AJRC Joint Workshop “Frontiers in Macroeconomics and Macroeconometrics”
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Fiscal Confidence Shocks and the Market for the Japanese Government Bonds2017

    • Author(s)
      塩路悦朗
    • Organizer
      The 11th International Conference on Computational and Financial Econometrics (CFE 2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Exchange rates and fundamentals: a general equilibrium exploration2017

    • Author(s)
      加納隆
    • Organizer
      HIAS, IER and AJRC Joint Workshop “Frontiers in Macroeconomics and Macroeconometrics”
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 実質為替レートと通貨体制:1972年沖縄返還からの示唆2017

    • Author(s)
      加納隆
    • Organizer
      日本経済学会秋季大会特別報告
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Trend inflation and exchange rate dynamics: a new Keynesian approach2017

    • Author(s)
      加納隆
    • Organizer
      2017 Workshop of the Australasian Macroeconomics Society
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Trend inflation and exchange rate dynamics: a new Keynesian approach2017

    • Author(s)
      加納隆
    • Organizer
      23rd International Conference of the Society for Computational Economics (CEF 2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Trend inflation and exchange rate dynamics: a new Keynesian approach2017

    • Author(s)
      加納隆
    • Organizer
      3rd International Workshop on Financial Markets and Nonlinear Dynamics
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets2017

    • Author(s)
      山本庸平
    • Organizer
      Workshop on Macroeconomic and Financial Time Series Analysis
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2017

    • Author(s)
      山本庸平
    • Organizer
      4th Conference of International Association for Applied Econometrics
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions2017

    • Author(s)
      山本庸平
    • Organizer
      Workshop on Advances in Econometrics 2017
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] On Trigonometric Trend Regressions of Unknown Frequencies in the Presence of Autoregressive Errors2017

    • Author(s)
      新谷元嗣
    • Organizer
      2017 Asian Meeting of the Econometric Society
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Instrumental Variables Estimators for Infinite Order Panel Autoregressive Processes2017

    • Author(s)
      新谷元嗣
    • Organizer
      2017 China Meeting of the Econometric Society
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve2017

    • Author(s)
      新谷元嗣
    • Organizer
      4th Conference of International Association for Applied Econometrics
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Evaluating the Role of Part-time Workers in an Estimated New Keynesian Model with Search Frictions2017

    • Author(s)
      新谷元嗣
    • Organizer
      HIAS, IER and AJRC Joint Workshop “Frontiers in Macroeconomics and Macroeconometrics”
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Evaluating the Role of Part-time Workers in an Estimated New Keynesian Model with Search Frictions2017

    • Author(s)
      新谷元嗣
    • Organizer
      The 11th International Conference on Computational and Financial Econometrics (CFE 2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017

    • Author(s)
      大森裕浩
    • Organizer
      1st International Conference on Econometrics and Statistics (EcoSta2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations2017

    • Author(s)
      大森裕浩
    • Organizer
      統計関連学会連合大会
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Recurrent Bubbles, Economic Fluctuations, and Growth2017

    • Author(s)
      陣内了
    • Organizer
      Macro-Finance Workshop
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Recurrent Bubbles, Economic Fluctuations, and Growth2017

    • Author(s)
      陣内了
    • Organizer
      2017 China Meeting of the Econometric Society
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Recurrent Bubbles, Economic Fluctuations, and Growth2017

    • Author(s)
      陣内了
    • Organizer
      HIAS, IER and AJRC Joint Workshop “Frontiers in Macroeconomics and Macroeconometrics”
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Recurrent Bubbles, Economic Fluctuations, and Growth2017

    • Author(s)
      陣内了
    • Organizer
      東京大学金融教育研究センター・日本銀行調査統計局 第7回共催 コンファレンス
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] Recurrent Bubbles, Economic Fluctuations, and Growth2017

    • Author(s)
      陣内了
    • Organizer
      Hitotsubashi-RIETI International Workshop on Real Estate and the Macro Economy
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Book] 現代経済学の潮流20202021

    • Author(s)
      宇井貴志・加納隆・土居潤子・西山慶彦
    • Total Pages
      164
    • Publisher
      東洋経済新報社
    • ISBN
      9784492315316
    • Related Report
      2019 Annual Research Report
  • [Book] 計量経済学2019

    • Author(s)
      新谷元嗣・西山慶彦・川口大司・奥井亮
    • Total Pages
      744
    • Publisher
      有斐閣
    • ISBN
      9784641053854
    • Related Report
      2019 Annual Research Report
  • [Book] 現代経済学の潮流20192019

    • Author(s)
      宇井貴志・加納隆・原千秋・渡部敏明
    • Total Pages
      248
    • Publisher
      東洋経済新報社
    • ISBN
      9784492315170
    • Related Report
      2019 Annual Research Report
  • [Book] 人手不足なのになぜ賃金が上がらないのか2017

    • Author(s)
      玄田 有史(塩路悦朗 第10章「国際競争がサービス業の賃金を抑えたのか」担当)
    • Total Pages
      336
    • Publisher
      慶應義塾大学出版会
    • ISBN
      4766424077
    • Related Report
      2017 Annual Research Report
  • [Book] 金融システムの制度設計2017

    • Author(s)
      福田 慎一(塩路悦朗 第7章「銀行行動と貨幣乗数の低下-量的緩和政策は貸出を拡大したか-」担当)
    • Total Pages
      266
    • Publisher
      有斐閣
    • ISBN
      9784641165090
    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] HSI2019-5th Hitotsubashi Summer Institute2019

    • Related Report
      2019 Annual Research Report
  • [Funded Workshop] 4th Hitotsubashi Summer Institute (HSI2018) “Macroeconomics and Macroeconometrics”2018

    • Related Report
      2018 Annual Research Report
  • [Funded Workshop] HIAS, IER and AJRC Joint Workshop “Frontiers in Macroeconomics and Macroeconometrics”2017

    • Related Report
      2017 Annual Research Report

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Published: 2017-04-28   Modified: 2022-01-27  

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