Statistical Inference and Model Validation Methods of Dynamic Stochastic General Equilibrium Models in Macroeconomics

2016 Fiscal Year Final Research Report

• Project/Area Number: 24330060
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Economic theory
• Research Institution: Hitotsubashi University
• Principal Investigator: Kano Takashi 一橋大学, 大学院経済学研究科, 教授 (90456179)
• Co-Investigator(Renkei-kenkyūsha): KANO Kazuko 武蔵野大学, 経済学部, 准教授 (20613730) ; TAKECHI Kazutaka 法政大学, 経済学部, 教授 (80386341)
• Research Collaborator: Nason James M. 森田 ; MORITA Hiroshi ; WADA Kenji
• Project Period (FY): 2012-04-01 – 2017-03-31
• Keywords: 動学的確率的一般均衡モデル / ベイズ統計 / 景気循環 / 消費の習慣形成 / 為替レート / ランダムウォーク / 地域間価格差 / 輸送費

Outline of Final Research Achievements

The project revisits empirically dynamic stochastic general equilibrium (DSGE) models based on Bayesian statistics. In particular, this project reveals that consumption habits improve the fit of a conventional new Keynesian DSGE model only to high frequencies of macroeconomic data but not to business cycle frequencies. Moreover, the project identifies a serious difficulty of a canonical open-economy DSGE model in explaining near random walk nominal exchange rates with other economic fundamentals jointly. Finally, the project provides a better estimate of an important role of transportation costs in regional price dispersion using a unique micro data set of wholesale prices of agricultural products distributed around wholesale markets in Japan.

Free Research Field

マクロ経済学, 国際金融論