1990年代以降の日本の経済変動
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1 1990 * kenichi.sakura@boj.or.jp ** hitoshi.sasaki@boj.or.jp *** masahiro.higo@boj.or.jp No.05-J * ** ***
2 BIS
3 McConnell et al. () 1980 Kahn et al. () VAR Ahmed et al. () Stock and Watson () 1 G7 Blanchard and Simon () Blanchard and Simon G7 GDP GDP Stock and Watson ()
4 VAR VAR 4 5 CPI GDP68SNA 93SNA 1980 CPI GDP A HPHodrick-Prescott GDP HP =1600 =400 =16000 HP Hodrick and Prescott () 3
5 3 93SNA 1 68SNA 3(1) 3 GDP IIP 3(2) GDP 4 3(3) HP Baxter and King () Band-Pass (4) Blanchard and Simon () G SNA 68SNA 4 68SNA 93SNA GDP Baxter and King () 12 4
6 Blanchard and Simon () Stock and Watson () VAR VAR VAR Ahmed et al. () VAR 2 2 VAR Ahmed et al. () VAR GDP 4 yt ( n 1) p1 = a1 + B1, i yt i i= 1 ( n 1) ( n n) ( n 1) + e 1, t ( n 1) 5
7 e2,t yt = a2 + i= 1 B2, i yt i + e2, t ( n 1) ( n 1) ( n n) ( n 1) ( n 1) p2 yt B1,i B 2, i a1 a 2 e1,t unidentified shocks p 1 p2 n 6 ε1,t ε 2, t i.i.d. identified shocks A1 A 2 A 1 ( n n) e 1, t ( n 1) = ε 1, t ( n 1) A 2 ( n n) e 2, t ( n 1) = ε 2, t ( n 1) 1 * A 1, A2 M * 0 1 O L L O O * 0 M 0 1 * VAR a ˆ1, aˆ ˆ ˆ 2, Bˆ ˆ 1, i, B2, i, A1, A2 SD( ˆ ε 1) = ˆ1 σ SD( ˆ ε 2 ) = ˆ σ 2 aˆ 1, aˆ ˆ ˆ 2, Bˆ ˆ 1, i, B2, i, A1, A2 ˆ σ 1, ˆ σ 2 yt 4 y aˆ y aˆ p = + 1 ˆ ˆ 1 t 1 B1, i y + t i A1 u1, t i= 1 p = + 1 ˆ ˆ 1 t 1 B1, i y + t i A1 u2, t i= 1 6 Ahmed et al. () VAR A1, A2 ordering 6
8 y aˆ y aˆ p = + 2 ˆ ˆ 1 t 2 B2, i y + t i A2 u1, t i= 1 p = + 2 ˆ ˆ 1 t 2 B2, i y + t i A2 u2, t i= u ~ N(0, ˆ σ ), ~ (0, ˆ 1 u σ 2 N 2 ). 1 i. i. d. i. i. d. Counterfactual Simulation Ahmed et al. () VAR GDP CPI PPI <Crude materials> FF 4 VAR Ahmed et al. GDP 5075% % 7
9 Stock and Watson () GDP GDP FF VAR Stock and Watson GDP 90% 4060% GDP GDP CPI 3 VAR 7 A 78 B 68SNA VAR GDP VAR GDP GDP () (2005) 8 Hosoya et al. (2005) Chow 8
10 VAR VAR p 1 = p 2 2 VAR 9 GDP GDP 2 9 VAR Chow 10(1) (3) Goldfeld-Quandt ordering GDP CPI GDP 10(2) 4 1 GDP 9 ordering GDP CPI ordering 9
11 10 VAR 3 GDP GDP GDP GDP 2(2) GDP 11 GDPGAP = log( GDP) log( GDPtrend) GDP GDP GDPGAP = log( GDP) log( GDPtrend) GDP 11 p.6 GDP CPI p.7 CPI (2) 46 11(2) GDP GDP (1) (1)GDP 10
12 (1) GDP GDP GDP (1) GDP GDP 20% (2) %40% 13 A,B C,D 12 VAR VAR 10 11
13 13 ordering VAR GDP % CPI % GDP % 1990 VAR 10(1) 13 4 VAR CPI 14 12
14 VAR π t π t i GDP x t i 1 14 γˆ βˆ π α + β x + γ π + δ i + ε t = t 1 t 1 t 1 t π : x:gdp i: GDP 4 GDP 4 4 π t = α + β i xt i + γ iπ t i + ε = t i= 1 i GDP ˆ = β i 1 i GDP VAR VAR GDP 20% VAR 13
15 GDP GDP (1) 1990 GDP 17(2)
16 2 GDP 19(1) GDP (2) 17 I i I i ; Var( I) = Var( I ) = Var( Ii) + Cov( Ii, I j) i i j i i i I = Ii, Ii = ( Iit, Iit, 4)/ It 4 i = σ σ ρ i j i i j ij 17 15
17 σ i i ρij i j (1992) Comin and Philippon (2005) GDP Comin and Philippon ()
18 CPI CGPIGDP CPI 3 VAR CPI CPI % 0.7% % CPI 1990 CPI 23 Ogawa and Suzuki () () 1980 Gibson () Nagahata and Sekine (2005) (2005) Fukunaga () DGE
19 3 VAR VAR CPI CPI CPI 23(1) CPI % 0.8% 0.1% 23(3) GDP CGPI CGPI 25(5),(6)
20 1990 CPI CPI CPI 19
21 25 28(1) (2) (1) 29(2) VAR CPI 27 ()
22 28 (2005) 1990 VAR GDP VAR () GDP GDP GDP GDP HP GDP 21
23 VAR
24 A GDP 68SNA93SNA 93SNA SNA SNA SNA X-12-ARIMA GDP GDP GDP HP 29 GDP 100 HP 1600 CPI X-12-ARIMA Level Shift 29 HP () 1950 GDP HP
25 VAR 3 GDP CPI CGPI 30 CPI 5 HP GDP
26 B68SNA VAR 68SNA 3 VAR 3 3 A 68SNA 93SNA 93SNA 68SNA 68SNA GDP 68SNA SNA 3(1) VAR 1 Chow SNA 68SNA 68SNA GDP 2(2) GDP 31 25
27 32 GDP 93SNA GDP GDP 20% 68SNA 80% GDP SNA 14 26
28 () February (2005) 3 GDP 2005-J-3 () () 2 () 2 () 2005 () 17 6 () 04-J-11 (2005) 05-J-2 (1992) 1992 Ahmed, S., A. Levin, and B. A. Wilson (), "Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?," The Review of Economics and Statistics 86(3), pp Baxter, M. and R. G. King (), "Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series," The Review of Economics and Statistics 81(4), pp Blanchard, O. and J. Simon (), "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity 32:1, pp Comin, D. and T. Philippon (2005), "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Working Paper Fukunaga, I. (), "Financial Accelerator Effects in Japan's Business Cycles," Research and Statistics Department, Bank of Japan Working Paper Series, 02-E-6. 27
29 Gibson, M. (), "Can Bank Health Affect Investment? Evidence from Japan," The Journal of Business 68(3), pp Hodrick, R. and E. Prescott (), "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit, and Banking 29, pp Hosoya, Y., F. Yao, and T. Takimoto (2005), "Testing the One-Way Effect in the Presence of Trend Breaks," The Japanese Economic Review 56, pp Kahn, J. A., M. M. McConnell, and G. Perez Quiros (), "On the Causes of the Increased Stability of the U.S. Economy," Federal Reserve Bank of New York, Economic Policy Review. McConnell, M. M., P. C. Mosser, and G. Perez Quiros (), "A Decomposition of the Increased Stability of GDP Growth," Federal Reserve Bank of New York, Current Issues in Economics and Finance. Nagahata, T. and T. Sekine (2005), "Firm Investment, Monetary Transmission and Balance-Sheet Problems in Japan: an Investigation using Micro Data," Japan and the World Economy 17, pp Ogawa, K. and K. Suzuki (), "Demand for Bank Loans and Investment under Borrowing Constraints: A Panel Study of Japanese Firm Data," Journal of the Japanese and International Economies 14, pp Stock, J. H. and M. W. Watson (), "Has the Business Cycle Changed and Why?," NBER Macroeconomics Annual (Cambridge, MA: MIT Press, ). Stock, J. H. and M. W. Watson (), "Understanding Changes in International Business Cycle Dynamics," NBER Working Paper
30 GDP GDP GDP 68SNA 93SNA
31 HP λ1600 GDP
32 GDP68SNA HP IIP HP
33 GDP93SNA HP GDP93SNA Band-Pass HP λ1600 Baxter&King() Band-Pass SNA
34 HP λ1600 GDP Bureau of Economic Analysis, "National Economic Accounts"
35 CPI GDP
36 CPI GDP Bureau of Labor Statistics, "Consumer Price Indexes" Bureau of Economic Analysis, "National Economic Accounts"
37 (%) GDP GAP1600 (%) CPI DCPI_EXSEISEN (%) DNAIJUDEF (%) DIPI (%) RATEGAPC (%) 3 7 REALRATEC VAR
38 CPI GDP GDP CPI GDP GDP
39 VAR GDP GDP GDP GDP GDP GDP
40 GDP GDP GDP GDP GDP GDP GDP ordering GDP
41 Chow F-statistic p-value GDP CPI VAR Goldfeld-Quandt F-Stat. p-value GDP CPI VAR Chow Goldfeld-Quandt 2 s1 F = s , 2 ss ( n1 K, n2 K) F n, n K 1 2 GDP
42 GDP CPI GDP
43 GDP GDP : GDP : : : CPI ordering GDP CPI GDP
44 : : : : C A D B A,B... C,D... GDP ~ vs ~ ~ vs ~.2 A B C D A B C D GDP CPI GDP CPI GDP GDP GDP CPI GDP CPI GDP GDP ~ vs ~ ~ vs ~.2 A B C D A B C D GDP CPI GDP CPI GDP GDP GDP CPI GDP CPI GDP GDP
45 ordering GDP ~ vs ~ ~ vs ~.2 A B C D A B C D GDP CPI GDP CPI CPI GDP CPI GDP GDP CPI CPI GDP GDP CPI GDP CPI ~ vs ~ ~ vs ~.2 A B C D A B C D GDP CPI GDP CPI CPI GDP CPI GDP GDP CPI CPI GDP GDP CPI GDP CPI lag length GDP ~ vs ~ ~ vs ~.2 A B C D A B C D GDP CPI GDP CPI ~ vs ~ ~ vs ~.2 A B C D A B C D ordering 4 VAR CPI 2 GDP
46 π = α + βx + γπ + δi + ε t t 1 t 1 t 1 t π x GDP i βˆ γˆ
47 i = 1 4 ˆ β π t = α + β i i x t i + γ i iπ t i + ε = 1 = 1 t : x : GDP i CPI ˆ i = 1 i γ CPI
48 GDP
49 GDP
50 GDP Y = C+ I + G Y, C I, G Y Var( Y ) = Var( C + I + G) = Var( C) + Cov( C, I) + Var( I) + Cov( I, C) + Var( G) + Cov( G, C) + Cov( C, G) + Cov( I, G) + Cov( G, I) L C L I L G
51 SNA.1Q SNA SNA SNA SNA
52 I 10 1, L = i I i = i i j ij j i ρ σ σ = = i i j j i i i i i I I Cov I Var I Var I Var ), ( ) ( ) ( ) ( I i, j I I i, j I
53
54 CPI % 0.7%
55 CPI % 20% 40% 60% 80% 100% % 0.8%
56 GDP
57 CGPI
58
59 CPI
60 , * * * /3561 * 1980
61 /
62
63 VAR 68SNA GDP GDP GDP GDP GDP GDP
64 GDP GDP GDP GDP GDP GDP GDP ordering GDP
65 VAR 68SNA Chow F-statistic p-value GDP CPI Goldfeld-Quandt F-Stat. p-value GDP CPI VAR Chow Goldfeld-Quandt 2 s1 F = s , 2 ss ( n1 K, n2 K) F n, n K 1 2 GDP
66 68SNA GDP CPI GDP
67 68SNA : : : : C A D B A,B... C,D... GDP ~ vs ~.1 A B C D GDP CPI GDP CPI GDP GDP GDP CPI GDP CPI GDP GDP ~ vs ~.1 A B C D GDP CPI GDP CPI GDP GDP GDP CPI GDP CPI GDP GDP
68 ordering GDP ~ vs ~.1 A B C D GDP CPI GDP CPI CPI GDP CPI GDP GDP CPI CPI GDP GDP CPI GDP CPI ~ vs ~.1 A B C D GDP CPI GDP CPI CPI GDP CPI GDP GDP CPI CPI GDP GDP CPI GDP CPI lag length GDP GDP CPI ~ vs ~.1 A B C D GDP CPI ~ vs ~.1 A B C D ordering 4 VAR CPI 2 GDP
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