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マクロ計量分析におけるdsgeモデルの役割:「最小解釈」の導入と応用

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  • 加納, 隆

Abstract

本稿では、動学的確率的一般均衡モデルのマクロ計量経済分析における役割を、Geweke (2010)による強解釈と弱解釈および最小解釈の3分類に従って批判的に略説する。最小解釈の応用例として、Kano and Nason (2014)による消費の習慣形成の金融政策ショック伝播メカニズムとしての役割に関する実証分析を紹介する。最後に将来研究への展望を議論する。, This paper critically reviews roles of dynamics stochastic general equilibrium (DSGE) models in macroeconometrics, introducing econometric categorizations of DSGE models made by Geweke (2010): strong, weak, and minimal econometric interpretations. As an application of the minimal interpretation, this paper introduces the Bayesian Monte Carlo exercise conducted by Kano and Nason (2014) for investigating business cycle implications of consumption habits as a propagation mechanism of monetary policy shocks.

Suggested Citation

  • 加納, 隆, 2014. "マクロ計量分析におけるdsgeモデルの役割:「最小解釈」の導入と応用," Discussion Papers 2014-01, Graduate School of Economics, Hitotsubashi University.
  • Handle: RePEc:hit:econdp:2014-01
    Note: DSGE Models in Macroeconometrics: an Introduction to the Minimal Econometric Interpretation and its Application
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    File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/26041/1/070econDP14-01.pdf
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    Keywords

    動学的確率的一般均衡モデル; マクロ計量モデル; ベイズ統計学; ニューケインジアンモデル; 消費の習慣形成;

    JEL classification:

    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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