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An Estimated DSGE Model with a Deflation Steady State
http://hdl.handle.net/2261/56080
http://hdl.handle.net/2261/5608094400c8c-c74d-45f9-a407-7799f9041875
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp043.pdf (505.9 kB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2015-05-11 | |||||
| タイトル | ||||||
| タイトル | An Estimated DSGE Model with a Deflation Steady State | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Deflation | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Zero interest rate | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Japanese economy | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Indeterminacy | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Bayesian estimation | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classification: E31, E32, E52 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Hirose, Yasuo
× Hirose, Yasuo |
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| 著者所属 | ||||||
| 著者所属 | Faculty of Economics, Keio University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Benhabib, Schmitt-Grohé, and Uribe (2001) argue for the existence of a deflation steady state when the zero lower bound on the nominal interest rate is considered in a Taylor-type monetary policy rule. This paper estimates 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. Although the model exhibits equilibrium indeterminacy around the deflation steady state, a set of specific equilibria is selected by Bayesian methods. According to the estimated model, shocks to households’ preferences, investment adjustment costs, and external demand do not necessarily have an inflationary effect, in contrast to a standard model with a targeted-inflation steady state. An economy in the deflation equilibrium could experience unexpected volatility because of sunspot fluctuations, but it turns out that the effect of sunspot shocks on Japan’s business cycles is marginal and that macroeconomic stability during the period was a result of good luck. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 2012～2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号：24223003) | |||||
| 書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 043, 発行日 2014-08 |
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| 出版者 | ||||||
| 出版者 | UTokyo Price Project | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ | |||||
