Measuring the Natural Rate of Interest Rates and Its Implications for Macroeconomic Policies

衡量自然利率及其对宏观经济政策的影响

• 批准号: 19530239
• 负责人: MIYAO Ryuzo
• 金额: $ 2.75万
• 依托单位: Kobe University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2007
• 资助国家: 日本
• 起止时间: 2007 至 2009
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-19530239/
• 关键词: 自然利子率; マクロ経済政策; 時系列分析

The natural rate of interest is generally defined as the interest rate which is neutral to the economy and does not cause changes in prices. The deviation between real interest rates observed in the market and the natural rate represents a measure of stance of monetary policy. This research makes a comparative empirical analysis on measuring the natural rate of interest in Japan and its implications for macroeconomic policies. Reviewing theoretical concepts and discussing the zero interest rate bound in recent years, we estimate and compare several series based on filtering-based and production function-based approaches. The relevance is evaluated from the view point of policy reaction function. It is found that the estimated series using production-function based approach is most relevant and sensible.

自然利率通常被定义为对经济中性且不引起价格变化的利率。市场上观察到的真实的利率与自然利率之间的偏差是衡量货币政策立场的一个尺度。本研究对日本自然利率的测算及其对宏观经济政策的启示进行了比较实证分析。回顾了近年来的理论概念，讨论了零利率边界，我们估计和比较了几个系列的基础上，过滤为基础的方法和生产函数为基础的方法。从政策反应函数的角度对相关性进行了评价。结果发现，使用基于生产函数的方法估计的系列是最相关和明智的。

项目成果

世界経済危機と日本経済:今後の見通しと政策対策

全球经济危机与日本经济：未来展望与政策措施

• 发表时间: 2009
• 作者: Masaya Yasuoka;Kenji Azetsu and Taro Akiyama;Masaya Yasuoka and Atsushi Miyake;Masaya Yasuoka and Naohisa Goto;Masaya Yasuoka;Masaya Yasuoka and Atsushi Miyake;Masaya Yasuoka;Yasuoka and Atsushi Miyake;Masaya Yasuoka;Mari Kan;菅 万理;Masaya Yasuoka and Atsushi Miyake;Hidekazu Itoh,and Masayuki Doi;安岡 匡也;伊藤秀和;安岡 匡也;森隆行;Hidekazu Itoh and Masayuki Doi;伊藤秀和;菅 万理;森隆行;菅 万理;伊藤秀和;安岡 匡也;伊藤秀和;森隆行;林隆行;Hidekazu Itoh;Hidekazu Itoh;宮尾龍蔵
• 通讯作者: 宮尾龍蔵