Economic Analyses of Rational Expectation Hypotheses and Japanese Economy

理性预期假说与日本经济的经济分析

• 批准号: 60301081
• 负责人: KUNITOMO Naoto
• 金额: $ 3.84万
• 依托单位: The University of Tokyo
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Co-operative Research (A)
• 财政年份: 1985
• 资助国家: 日本
• 起止时间: 1985 至 1986
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-60301081/
• 关键词: Rational Expectation; Time Series Analysis; Economic Analysis; Bayesian Analysis; Unit Roots; Consumption function; Exchange Rate; 日本経済

Econometric analyses with rational expectations (RE) hypotheses have been voluminous for the U.S. economy in the last decade, while it is not the care for the Japanese economy. There are still a number of theoretical problems in econometric analyses with RE hypotheses.We investigated some theoretical issues with RE hypotheses in time series econometrics. For instance, the order determination problem by Kunitomo - Yamamoto, the unit roots in MA problem by Anderson - Takemura, and others. Several papers written by K. Morimune and Y. Tsukuda forcussed on the estimating and testing problems in econometric models. Turning to the empirical studies of the Japanese economy, T. Yamamoto investigated the empirical relevance of a RE hypothesis in the foreign exchange markets. F. Hayashi has written several papers on the consumption function and investment function with RE hypotheses using Japanese data. He also wrote a critical survey on the recent developments in the consumption function under RE hypotheses.

在过去的十年里，基于理性预期（RE）假设的计量经济学分析对美国经济进行了大量的研究，而对日本经济的研究却不多。在时间序列计量经济学中，RE假设在计量经济学分析中还存在一些理论问题，本文对RE假设在时间序列计量经济学中的一些理论问题进行了研究。例如Kunitomo - Yamamoto的定阶问题，安德森- Takemura的MA问题中的单位根问题等. K. Morimune和Y. Tsukuda讨论了经济计量模型中的估计和检验问题。转向对日本经济的实证研究，T。Yamamoto研究了RE假说在外汇市场中的实证相关性。F. Hayashi用日本的数据写了几篇关于RE假设下的消费函数和投资函数的论文。他还写了一份关于RE假设下消费函数最近发展的重要调查。

项目成果

Fumio Hayashi: Journal of Public Economics. 27. 261-280 (1985)

林文雄：公共经济学杂志。

Fumio Hayashi: NBER Working Paper Series. 1720. (1985)

Fumio Hayashi：NBER 工作论文系列。

Naoto Kunitomo: Annals of Institute of Statistical Mathematics. (1987)

国友直人：统计数学研究所年鉴。

Hajime Wago: "Gradual Switching Multivariate Regression Models with Stochastic Cross-Equational Constraints and an Application to the KLEM Translog Production Model" Journal of Econometrics. 31. 235-253 (1986)

Hajime Wago：“具有随机交叉方程约束的渐进切换多元回归模型及其在 KLEM Translog 生产模型中的应用”计量经济学杂志。

Akimichi Takemura: "Prediction and Outliner Detection in Errors-in-Variables Model" Discussion Paper, Faculty of Economics, University of Tokyo. 85-F-10. (1985)

Akimichi Takemura：“变量模型错误中的预测和轮廓检测”讨论论文，东京大学经济学院。