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1 * (i) (ii)

2 (2003) Oda and Ueda (2005) 2005 Kimura and Small(2006) Iwamura, Shiratsuka and Watanabe (2006) (2006) 3 (i) (ii) (iii) (2003) (2005) 1) (i) (ii) (i) 2

3 (ii) (i) (ii) (i) (ii) 2.2 Reifschneider and Williams (2000) 2) i t it = rt * + α ( π t π*) + βyt (1) r t * π t y t t GDP π * i t 90 (1) (1) 3) (a) (1) 3

4 0 1 2% (1) (1) (2005) (b) 1(a) 3 3 (a) (a) 2 1 4) 1(b) 1 1 4

5 1(b) (a) (b) 1(c) (a) (a) 3 (b) (b) (a) (a) (b) (a)(c) 5

6 Krugman (1998) (b) (a)(c) (b) 6) 1(b) (2006) 6

7 (2003) Oda and Ueda(2005) 7) 3.1 (2003) TIBOR Nelson-Siegel (a) (b) (a) (c) 8) ( 1 ) 10 ) ~

8 9) 1 (a) (c) 3.2 Oda and Ueda(2005) 10) IS AS Oda-Ueda(2005, Figure 8 ) Oda-Ueda GDP GDP GDP GDP 11) GDP (1) GDP Oda-Ueda(2005) Hodrick-Prescott HP HP 8

9 GDP GDP GDP GDP GDP HP GDP GDP 12) 90 HP Oda-Ueda GDP 13) 99 HP (2) Oda-Ueda i =.723i + ( )[( r * + π ) ( π π*) y ] (2) t 0 t 1 t t t t (1) (2) ( * 1.81 ) (2) (2) Oda-Ueda HP

10 Oda-Ueda HP HP ) (i)gdp (ii) (iii) Oda-Ueda(2005) GDP (2003) Fujiki, Okina and Shiratsuka(2004) ( )

11 (a) (b) (a) (c) (a) (b) (a) (c) (a) (b) 11

12 (i) (ii)

13 * 21 COE 1) ) Krugman(1998) Jung, Teranishi, Watanabe (2005), Eggertsson and Woodford(2003) Krugman ( ) 3) (1) 4) 2 5) Reifschneider-Williams(2000) (b) (2005 p.86) (a) 2 (b) (a)(c) 6) ) Oda and Ueda(2005) )

14 9) I(1) ADF ADF % 10) ( ) 11) (2003) Laubach and Williams (2003) C=Y 0.01 ) 12) GDP GDP ( ) 13) GDP HP 14) (x) pp pp No.03-J

15 Eggertsson, Gauti and Michael Woodford, The Zero Bound on Interest Rates and Optimal Monetay Policy, Brookings Papers on Economic Activity 1, , Fujiki, Hiroshi, Kunio Okina and Shigenori Shiratsuka, "Comments on 'Price Stability and Japanese Monetary Policy' (1)," Monetary Economic Studies, 22(3), Bank of Japan, 25-36, Iwamura, Mitsuru, Shigenori Shiratsuka and Tsutomu Watanabe, Massive Money Injection in an Economy with Broad Liquidity Services: The Japanese Experience , manuscript, Jung, Taehun, Yuki Teranishi and Tsutomu Watanabe, Optimal Monetary Policy at the Zero Interest-Rate Bound, Journal of Money, Credit and Banking 37(5), , Kimura, Takeshi and David Small, Quantitative Monetary Easing and Risk in Financial Asset Markets, The B. E. Journals in Macroeconomics, 6 (1), Krugman, Paul R., It s Baaack: Japan s Slump and the Return of the Liquidity Trap, Brookings Papers on Economics Activity, 2, , Laubach, Thomas and John C. Williams, Measuring the Natural Rate of Interest, Review of Economics and Statistics, 85(4), , Nelson, Charles R. and Andrew F. Siegel, Parsimonious Modeling of Yield Curves, Journal of Business, 60(4), , Oda, Nobuyuki and Kazuo Ueda, The Effects of the Bank of Japan s Zero Interest Rate Commitment and Quantitative Easing on the Yield Curve: A Macro-Finance Approach, CIRJE Discussion Paper F-336, Tokyo University, April Reifschneider, David and John C. Williams, Three Lessons for Monetary Policy in a Low-Inflation Era, Journal of Money, Credit, and Banking, 32(4), ,

17 図 2. 長短金利スプレッドと株価 SPREAD PSTOCK 注 : 実線 =10 年物国債金利 - コールレート点線 = 日経平均株価 ( 右軸 ) 1993:1-2006:1 四半期出所は日経データベース日銀ホームページ図 3.GDP ギャップ推計値 YGAP_HP YGAP_PR 注 : 実線 =HP フィルターに基づく推計値点線 = 生産関数アプローチに基づく推計値 1983:2-2006:1 四半期筆者推計 17

18 図 4. 自然利子率推計値 RSTAR_HP RSTAR_PR 注 : 実線 =HP フィルターに基づく推計値点線 = 生産関数アプローチに基づく推計値 1983:2-2006:1 四半期自然利子率潜在成長率に近似して算出 2.0 図 5. テイラールール金利 ITAYLOR_HP ITAYLOR_PR 注 : 実線 =HP フィルターに基づく推計値点線 = 生産関数アプローチに基づく推計値 1999:1-2006:1 四半期本文 (2) 式に基づき算出 18

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untitled 2 book conference 1990 2003 14 Repeated Cross-Section Data 1 M1,M2 M1 Sekine(1998) Repeated Cross-Section Data 1 1. (1989), Yoshida and Rasche(1990), Rasche(1990), 19921997, Fujiki and Mulligan(1996),