Masahiro NAKANO Keynes benchmark Keynes 89
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1 Masahiro NAKANO Keynes benchmark Keynes 89
2 ( )IS LM Keynes Hicks IS LM Phillips stylized fact ( ) ( ) 90
3 Keynes 3 superneutrality 4 RBC 2 1 (i) (ii) (a) (b) (c) 3 Keynes 91
4 Walras Keynes Say s law 2 2 Keynes 1936 Keynes Keynes Keynes Keynes 92
5 Keynes Keynes IS LM Keynes 10 Keynes Monetary Growth Model 4 Real Business Cycle RBC
6 1 Solow dynamic inefficiency Sidrauski(1967) Sidrauski money in utility function 13 1 n 14 (1) U=U(c,m) m 15 W (2) W= 0 [U(c,m)]e t dt (3) ȧ+na=f (k)+x m c 94
7 (4) a=k+m a k x f ( ) Asako(1983) (5) U(c,m)=U(z) U'>0,U"<0 z=min[(1 )c,m] a0=a 0 H Lagrange (6) H=U(m)+ [f (k)+x m m na]+ (a k m) (7) H k= f'(k) =0 (8) H m=u'(m) ( + ) =0 (9) = H a+ =(n+ ) 16 (7) (8) (10) U'(m)=[f'(k)+ + ] 3 2 (11) ṁ m= ṗ p n ṗ p 95
8 17 ṗ p= (13) f (k)= m+k +nk 18 k =ṁ= =0 (7) (9) (14) f' (k*)=n+ (14) modified golden rule (13) (15) m*=(1 )[ f (k*) nk*] k =ṁ= =0 saddle point k (5)
9 (14) 21 Keynes Lucas RBC Kydland Prescott RBC 1 RBC RBC 97
10 Calibration Analysis Nelson and Plosser(1982) RBC RBC King and Plosser(1984) M M King and Plosser(1984) RBC King and Plosser(1984) Granger VAR Structural VAR RBC 2 (a) (b) (c) cash-in-advance 24 98
11 Keynes Keynes 17 (i) (ii) (iii) (i) (ii) (iii) Keynes 3 superneutrality 4 RBC 99
12 Sidrauski(1967) Mishkin(1995) (1998) (2000) (1995) (1) (2) (3) Azariadis(1993) Quantity of Money Keynes 21 (1999) 10 D.Romer(2000) IS LM 11 (1994) 7 (1995) (2000) 12 (a) (b) (c) Orphanides and Solow (1990) (2000) (overlapping generations model) (d) 13 Sidrauski(1967) Asako(1983) Turnovsky(2000) zt Mt pt Nt Sidrauski 100
13 zt=mt=mt ptnt 16 lim t a e t mt (11) nk 19 dk d U'+U"z U(z)=z (1 R) (1 R) 0 R 1 1 R 1 R 1 dk d 0 dk d 0 Asako(1983) 20 (1997) 21 (1994) 7 22 (1998) 3 23 Lucas island (1989) (1996) Lucas island 24 (1998) 9 25 Keynes (i) (ii) (iii) 26 (1994) Asako,K.(1983) The Utility Function and the Superneutrality of Money on the Transition Path, Econometrica,51,Sep Azariadis,C.(1993) Intertemporal Macroeconomics, Blackwell. Blanchard,O.J. and S.Fischer (1989)Lectures on Macroeconomics,MIT Press. Clower,R.W.(1967) A Reconsideration of the Microeconomic Foundations of Monetary Theory, Western Economic Journal,6,1-9. Jones,L.E.and Manuelli,R.E.(1995) Growth and the Effect of Inflation, Journal of Economic Dynamics and Control, 19,Nov Feenstra,R. (1986) Functional Equivalence between Liquidity Costs and the Utility of Money, Journal of Monetary Economics,17, Fischer, S. (1979) Capital Accumulation on the Transition Path in a Monetary Optimizing Model, Econometrica,47, Keynes,J.M.(1936)The General Theory of Employment,Interest,and Money,in The Collected Wrigtings of John Maynard Keynes,vol..Macmillan, Lucas, R.E.Jr. (1990) Liquidity and Interest Rates, Journal of Economic Theory,50(2), Marquis,M.H.and Reffett,K.L.(1995), Real Interest Rate and Endogenous Growth in a Monetary Economy, Economic Letters,37,Oct Mishkin,F.S.(1995) Symposium on the Monetary Transmission Mecanism, Journal of Economic Perspectives,9,Fall, Nelson,C.and C.Plosser(1982) Trends and Random Walks in Macroeconomic Time Series, Journal of Monetary Economics,10,Sep., Orphanides,A.and Solow,R.M.(1990) Money, Inflation and Growth, in Friedman,B.M.and F.H.Hahn(eds.),Handbook of Monetary Economics,Vol.,Amsterdam: North-Holland. Robelo,S. (1991), Long-run Policy Analysis and Long-run Growth, Journal of Political Economy, 101
14 99,June, Sidrauski,M.(1967) Rational Choice and Patterns of Growth in a Monetary Economy, American Economic Review,57, Stockman,A.C.(1981) Anticipated Inflation and the Capital Stock in a Cash-in-Advance Economy, Journal of Monetary Economics,8,Nov Turnovsky,S.J.(2000) Methods of Economic Dynamics,2nd.MIT Press. (1994) (1989) 1994 (1999) 2000 (1997) 5 (1995) 61(3) (1996)
Keynes 1936 Tobin 1 Hicks 1937 Keynes IS LM 2 IS LM 3 IS LM Keynes Keynes animal spirits
43 2000 17 28 Masahiro NAKANO 2.1 Keynes 2.2 3.1 3.2 43 2000 Keynes 1936 Tobin 1 Hicks 1937 Keynes IS LM 2 IS LM 3 IS LM Keynes Keynes animal spirits Keynes IS LM 1990 Keynes 1980 90 2 1 43 2000 Keynes
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