On model selection problems in terms of prediction mean squared error and interpretaion of AIC (slides)
|
|
- とよみ おいもり
- 4 years ago
- Views:
Transcription
1 Applications in Econometrics and Finance by Long Memory Processes :30-16:10
2 Table of Contents PART1 PART2 PART3
3 PART1
4 1 {y t } ρ(h) = ( h ) = Cov[y t y t+h ]/ Var[y t ] (yt y)(y t+h y) ρ(h) = ( h S) = (yt y) Example of plot: value of rho(h) lag h
5 2 A Short Memory Time Series A Long Memory Time Series Series : SM Series : LM (in months) (in months)
6 3 A Seasonal Time Series
7 4 SLM1 SLM Series : SLM1 Series : SLM (in months) (in months)
8 MeanBr TrendBr VarBr MemoryBr
9 6
10 7 US GNP US CPI asset pricing model exchange rate interest rate
11 [1] Baillie, R.T. (1996) Long memory processes and fractional integration in econometrics. Journal of Econometrics 73, [2] Maddala, G. S. and Kim, I.M. (1998) Unit roots, cointegration, and structural change (Themes in modern econometrics). Cambridge: Cambridge University Press. [3] (2003), 8 ( ), ,
12 PART2
13 8 p t GDP yt n GDP w t r t n = 103 p t, y n t, w t p t, yt n National Account Statistics, Japanese Cabinet Office web page ( w t, r t International Financial Statistics (2004), International Monetary Fund.
14 9 (p t, y n t, w t, r t ) p t, y n t, w t 20 r t I(1) Pt Ytn D1Pt D1Ytn Wt Rt D1Wt D1Rt
15 10 p t, yt n, w t, r t S r t I(1) p t, yt n, w t Series : D1Pt Series : D1Ytn Series : D1Wt Series : D1Rt
16 11 F I(d) I(1) (1 L)X t = ε t I(2) (1 L) 2 X t = ε t F I(d) (1 L) d X t = ε t, d F I(1) = I(1), F I(2) = I(2) d < 0.5 F I(d) 0.5 < d F I(d)
17 12 S F I(d), d = 0.25, 0.45, 0.75, 1.00 Series : d0.25 Series : d Series : d0.75 Series : d
18 13 S p t, y n t, w t, F I(0.40) Series : D1Pt Series : D1Ytn Series : D1Wt Series : FId
19 14 S 2 p t, 2 y n t, 2 w t, F I(0.40) Series : D2Pt Series : D2Ytn Series : D2Wt Series : D1FId
20 15 S p t, yt n, w t I(1) F I(d) 0 d < F I(d 1) Series : D2Pt 1 ρ(1) = d/(1 d). 1.0 d < 0.5, 0.33 < ρ(1) 0.50 Series : D2Wt Series : D2Ytn Series : D1FId
21 16 20 S Series : D1Pt[ - c(1:20)] Series : D1Ytn[ - c(1:20)] Series : D1Wt[ - c(1:20)] Series : D1Rt[ - c(1:20)]
22 17 PART2 r t I(1) 1 p t, yt n, w t F I(d) F I(d) I(0) d Fractional cointegration I(1) cointegration
23 PART3
24 18 SARFIMA (1 L) d 0 (1 L s ) d s y t = ε t. s s = 4 12 (1 L s ) d s SARIMA d 0 d s SARFIMA d 0 d s
25 19 SARFIMA d 0 = d s = Monthly Data s Yearly Data s
26 20 SARFIMA SARFIMA (1 L) d 0 (1 L s ) d s (y t µ) = u t (u t SARMA) Katyama (2007, Hitotsubashi J. of Econ.) SARIMA SARFIMA.
27 21 HP 10,,,,, 7 3 SARIMA SARIMA SARFIMA
28 22 Japanese Total Power Consumption *10^7 2.1*10^7 2.2*10^7 2.3*10^7 2.4*10^7 Jan 1996 Jan 1998 Jan 2000 Jan 2002 Jan 2004 Time in months
29 23 S Series : A Series : B (in months) Series : C (in months) Series : D (in months) (in months)
30 24 step1. SARFIMA SARIMA step2. step3. AIC BIC step4. SARFIMA 1 ID50 (1 L) (y t ) = ( L L 24 )ε t, y t = (1 L)(1 L 12 )x t, and bσ =
31 25 ID50 Plots of Data, Forecasts, and Forecast Intervals 2*10^7 2.4*10^7 Jan 1996 Jan 1998 Jan 2000 Jan 2002 Jan 2004 Jan 2006 Time in months Enlarged Plots of above 2*10^7 2.3*10^7 2.6*10^7 Jan 4 Jan 5 Jan 6 Jan 7 Time in months
32 26 SARFIMA SARIMA SARFIMA SARIFIMA ID50 SARFIMA ID50 SARIMA 3 ID
ウェーブレット分数を用いた金融時系列の長期記憶性の分析
TOPIX E-mail: masakazu.inada@boj.or.jp wavelet TOPIX Baillie Gourieroux and Jasiak Elliott and Hoek TOPIX I (0) I (1) I (0) I (1) TOPIX ADFAugmented Dickey-Fuller testppphillips-perron test I (1) I (0)
More informationfiúŁÄ”s‘ê‡ÌŁª”U…−…X…N…v…„…~…A…•‡Ì ”s‘ê™´›ß…−…^†[…fiŠ‚ª›Âfl’«
2016/3/11 Realized Volatility RV 1 RV 1 Implied Volatility IV Volatility Risk Premium VRP 1 (Fama and French(1988) Campbell and Shiller(1988)) (Hodrick(1992)) (Lettau and Ludvigson (2001)) VRP (Bollerslev
More informationseminar0220a.dvi
1 Hi-Stat 2 16 2 20 16:30-18:00 2 2 217 1 COE 4 COE RA E-MAIL: ged0104@srv.cc.hit-u.ac.jp 2004 2 25 S-PLUS S-PLUS S-PLUS S-code 2 [8] [8] [8] 1 2 ARFIMA(p, d, q) FI(d) φ(l)(1 L) d x t = θ(l)ε t ({ε t }
More informationuntitled
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),
More information財政赤字の経済分析:中長期的視点からの考察
1998 1999 1998 1999 10 10 1999 30 (1982, 1996) (1997) (1977) (1990) (1996) (1997) (1996) Ihori, Doi, and Kondo (1999) (1982) (1984) (1987) (1993) (1997) (1998) CAPM 1980 (time inconsistency) Persson, Persson
More informationuntitled
CONTENTS P.3 P.5 P.7 P.13 P.21 P.31 P.33 P.3 P.3 P.3 1 2 3 4 4 1 5 6 2 7 8 2 2 9 10 2 2 1000 800 600 400 200 0 3 4 5 11 12 13 14 15 16 17 18 25 1 8 15 22 29 1 18 25 1 6 17 6 8 11 12 3 13 14 15 16 3 311
More information1 Nelson-Siegel Nelson and Siegel(1987) 3 Nelson-Siegel 3 Nelson-Siegel 2 3 Nelson-Siegel 2 Nelson-Siegel Litterman and Scheinkman(199
Nelson-Siegel Nelson-Siegel 1992 2007 15 1 Nelson and Siegel(1987) 2 FF VAR 1996 FF B) 1 Nelson-Siegel 15 90 1 Nelson and Siegel(1987) 3 Nelson-Siegel 3 Nelson-Siegel 2 3 Nelson-Siegel 2 Nelson-Siegel
More information(21.5%) ( %) ( %)
2018 GDP 564.3 2025 GDP 645.6 2040 GDP 790.6 39.2 (7.0%) 10.7 (1.9%) 47.8 47.4 15.3 (2.4%) (7.4%) (7.3%) 68.5 66.7 25.8 (3.3%) (8.4%) (8.7%) 49.9 62.763.1 92.594.3 (8.8%) (9.79.8%) (11.711.9%) 2018 GDP
More informationオーストラリア研究紀要 36号(P)☆/3.橋本
36 p.9 202010 Tourism Demand and the per capita GDP : Evidence from Australia Keiji Hashimoto Otemon Gakuin University Abstract Using Australian quarterly data1981: 2 2009: 4some time-series econometrics
More information= /
[ ( 3)] 1 System of National Accounts SNA SNA 1993 93SNA 2008SNA 1.1, Gross Domestic Product (GDP) SNA GDP. 1 (Gross Value Added), (1) (2) (3) 1 1 1 1 1 5 100 75 1 20 30 1 100 500 1500 3000 1 500 +1500
More information02.„o“φiflì„㙃fic†j
X-12-ARIMA Band-PassDECOMP HP X-12-ARIMADECOMP HPBeveridge and Nelson DECOMP X-12-ARIMA Band-PassHodrick and PrescottHP DECOMPBeveridge and Nelson M CD X ARIMA DECOMP HP Band-PassDECOMP Kiyotaki and Moore
More information橡表紙参照.PDF
CIRJE-J-58 X-12-ARIMA 2000 : 2001 6 How to use X-12-ARIMA2000 when you must: A Case Study of Hojinkigyo-Tokei Naoto Kunitomo Faculty of Economics, The University of Tokyo Abstract: We illustrate how to
More information個人消費支出からみた戦間期の景気変動:LTES個人消費支出の再推計
LTES LTES LTES 1 GNE GDP GDP 1920 LTES GDP LTES 1931 GDP 76 Hi-Stat E-mail: kiyohito.utsunomiya@boj.or.jp / /2009.3 73 1. Long-Term Economic Statistics LTES 1 1971 LTES 2 LTES LTES System of National Accounts
More information1990年代以降の日本の経済変動
1990 * kenichi.sakura@boj.or.jp ** hitoshi.sasaki@boj.or.jp *** masahiro.higo@boj.or.jp No.05-J-10 2005 12 103-8660 30 * ** *** 1990 2005 12 1990 1990 1990 2005 11 2425 BIS E-mail: kenichi.sakura@boj.or.jp
More informationTomorrow Next th draft version MEW SWET
Research Center for Price Dynamics A Research Project Concerning Prices and Household Behaviors Based on Micro Transaction Data Working Paper Series No.7 Tomorrow Next を用いた金融政策の分析 青野幸平 June 14, 2012 4th
More informationスプレッド・オプション評価公式を用いた裁定取引の可能性―電力市場のケース― 藤原 浩一,新関 三希代
403 81 1 Black and Scholes 1973 Email:kfujiwar@mail.doshisha.ac.jp 82 404 58 3 1 2 Deng, Johnson and Sogomonian 1999 Margrabe 1978 2 Deng, Johnson and Sogomonian 1999 Margrabe 1978 Black and Scholes 1973
More informationLA-VAR Toda- Yamamoto(1995) VAR (Lag Augmented vector autoregressive model LA-VAR ) 2 2 Nordhaus(1975) 3 1 (D2)
LA-VAR 1 1 1973 4 2000 4 Toda- Yamamoto(1995) VAR (Lag Augmented vector autoregressive model LA-VAR ) 2 2 Nordhaus(1975) 3 1 (D2) E-mail b1215@yamaguchi-u.ac.jp 2 Toda, Hiro Y. and Yamamoto,T.(1995) 3
More information(a) (b) (c) 4. (a) (b) (c) p.2/27
338 8570 255 Tel : 048 858 3577 Fax : 048 858 3716 Email : tohru@ics.saitama-u.ac.jp URL : http://www.nls.ics.saitama-u.ac.jp/ tohru Copyright (C) 2002, Tohru Ikeguchi, Saitama University. All rights reserved.
More information46−ª3�=4�“ƒ‚S“·‚Ö‡¦
463420101 1. 1989, Yoshida and Rasche1990, Rasche1990, 19921997, Fujiki and Mulligan1996, 1996, Sekine1998, 2001, Fujiki2002, 2003, 2004 Bahmani-Oskooee and Shabsigh1996, Amano and Wirjanto2000, Bahmani-Oskooee
More informationAssociation of South East Asian Nations: ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN
Association of South East Asian Nations: ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN ASEAN Free Trade Agreement: FTA FTA ASEAN ASEAN ASEAN ASEAN The European Union: EU
More informationGDPギャップと潜在成長率
2003 output gap 80 1 20 90 20 70 2 1 2 output gap potential output 1 2 (2001) 3 potential rate of growth 2000 Meyer (2000) European Central Bank: (1999b) 2002 10 4 3 (2000) 4 4 () 5 5 5 6 () () 7 Total
More informationIMES DISCUSSION PAPER SERIES Discussion Paper No. 99-J-17 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 100-8630 203 IMES Discussion Paper Series 99-J-17 1999 6 * JEL classification E52 E58
More information国土技術政策総合研究所資料
ISSN 1346-7328 国総研資料第 652 号平成 23 年 9 月 国土技術政策総合研究所資料 TECHNICAL NOTE of Naional Insiue for Land and Infrasrucure Managemen No.652 Sepember 2011 航空需要予測における計量時系列分析手法の適用性に関する基礎的研究 ~ 季節変動自己回帰移動平均モデル及びベクトル誤差修正モデルの適用性
More informationACLI-EBC-CLHIA Interim Proposal _J_ June Final.PDF
/ ACLI-EBC-CLHIA 2 5800 2004 3 3 1 2004 3 55 7 ACLI EBC / CLHIA 3 3 20047 CTE 3 ACLI-EBC-CLHIA 3 CTE CTE CTE60 CTE 1) CTE(60) CTE(80) CTE(90) 2) 100 3) 8) 3 Mercer Oliver Wyman Actuarial Consulting ACLI-EBC-CLHIA
More informationAuerbach and Kotlikoff(1987) (1987) (1988) 4 (2004) 5 Diamond(1965) Auerbach and Kotlikoff(1987) 1 ( ) ,
,, 2010 8 24 2010 9 14 A B C A (B Negishi(1960) (C) ( 22 3 27 ) E-mail:fujii@econ.kobe-u.ac.jp E-mail:082e527e@stu.kobe-u.ac.jp E-mail:iritani@econ.kobe-u.ac.jp 1 1 1 2 3 Auerbach and Kotlikoff(1987) (1987)
More informationPFI
PFI 23 3 3 PFI PFI 1 1 2 3 2.1................................. 3 2.2..................... 4 2.3.......................... 5 3 7 3.1................................ 7 3.2.................................
More information第29回日中石炭関係総合会議
1 2 3 4 5 6 闞 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 闞 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69
More informationビジネス交渉術入稿.indd
Part1 1 1 6 1 2 8 1 3 10 1 4 12 1 5 14 Part1 16 Part2 Part2 Part3 2 1 18 2 2 20 2 3 22 2 4 24 2 5 26 2 6 28 2 7 30 2 8 32 2 Contents 2 9 34 2 10 36 2 11 38 40 Part3 3 1 42 3 2 44 3 3 46 3 4 48 3 5 50 3
More information130 Oct Radial Basis Function RBF Efficient Market Hypothesis Fama ) 4) 1 Fig. 1 Utility function. 2 Fig. 2 Value function. (1) (2)
Vol. 47 No. SIG 14(TOM 15) Oct. 2006 RBF 2 Effect of Stock Investor Agent According to Framing Effect to Stock Exchange in Artificial Stock Market Zhai Fei, Shen Kan, Yusuke Namikawa and Eisuke Kita Several
More information経済原論
4 4-1 1 2,000 4-2 GNP GNP: Gross National Products GDPGross Domestic Products 1 867,922 389,741 478,182 12,832 5,837 6,996 1,303 666 636 300,836 189,909 110,927 33,547 19,862 13,685 2,812 1,710 1,103 8,719
More information物価変動の決定要因について ― 需給ギャップと物価変動の関係の国際比較を中心に―
NAIRU NAIRU NAIRU GDPGDP NAIRUNon- Accelerating Inflation Rate of Unemployment GDP GDP NAIRU Lown and RichFisher, Mahadeva and Whitley raw materials G NAIRUTurnerFai WatanabeNAIRU Watanabe nested NAIRU
More information01.Œk’ì/“²fi¡*
AIC AIC y n r n = logy n = logy n logy n ARCHEngle r n = σ n w n logσ n 2 = α + β w n 2 () r n = σ n w n logσ n 2 = α + β logσ n 2 + v n (2) w n r n logr n 2 = logσ n 2 + logw n 2 logσ n 2 = α +β logσ
More informationカルマンフィルターによるベータ推定( )
β TOPIX 1 22 β β smoothness priors (the Capital Asset Pricing Model, CAPM) CAPM 1 β β β β smoothness priors :,,. E-mail: koiti@ism.ac.jp., 104 1 TOPIX β Z i = β i Z m + α i (1) Z i Z m α i α i β i (the
More informationY-...W
259 21 1 1 2003 2 1 2 1 15 22 260 56 3 2 2. 1 2. 2 2. 3 2. 4 3 3. 1 3. 2 4 2 2. 1 1965 1999 2 Brick, Frierman, and Kim 1998 Choate 1997Fischer, Heinkel, and Zechner 1989 Gilson 1997 Mauer and Triantis
More informationSNAと家計調査における貯蓄率の乖離-日本の貯蓄率低下の要因-
RIETI Discussion Paper Series 10-J-003 RIETI Discussion Paper Series 10-J-003 2009 年 12 月 SNA と家計調査における貯蓄率の乖離 - 日本の貯蓄率低下の要因 - 宇南山卓 ( 神戸大学大学院経済学研究科 ) 要 旨 SNA と家計調査から計算される家計貯蓄率の乖離の原因を明らかにし 日本の貯蓄率の低下の原因を考察した
More information, 1), 2) (Markov-Switching Vector Autoregression, MSVAR), 3) 3, ,, , TOPIX, , explosive. 2,.,,,.,, 1
2016 1 12 4 1 2016 1 12, 1), 2) (Markov-Switching Vector Autoregression, MSVAR), 3) 3, 1980 1990.,, 225 1986 4 1990 6, TOPIX,1986 5 1990 2, explosive. 2,.,,,.,, 1986 Q2 1990 Q2,,. :, explosive, recursiveadf,
More information調査レポート
2011 8 19 2009 2011 2.4 108-8248 2-16-4 TEL03-6711-1250 12% 10% 8% 6% 4% 2% 0% -2% -4% -6% -8% -10% -12% 1/20 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% -2% -4% -6% -8% -10% -12% -14% -16% -18% 2/20 35% 30% 25%
More information2
1 2 2005 15 17 21 22 24 25 67 95 3 1 2 3 4 17 4 5 6 7 8 9 PR PR PR 10 11 12 PR 419 844 1,490 950 590 20 12 50 13 12/20 2/28 3/30 14 17 349 666 15 59 6 11 15 17 14 15 15 17 3,525,992 15 59 15 17 18 910
More information082_rev2_utf8.pdf
3 1. 2. 3. 4. 5. 1 3 3 3 2008 3 2008 2008 3 2008 2008, 1 5 Lo and MacKinlay (1990a) de Jong and Nijman (1997) Cohen et al. (1983) Lo and MacKinlay (1990a b) Cohen et al. (1983) de Jong and Nijman (1997)
More informationUFJ
UFJ UFJ () UFJ UFJ 2002 7 2 82 UFJ 2002 9 UFJ 2002 7 22 83 84 UFJ 1 2 3 4 1 2 16 15 14 90 6 5 2002 7 22 85 UFJ 1 2 DC 1 2 3 4 3 2 1 3 2 1 2 1 2002 7 22 UFJ 2002 7 22 CEO 188 2 7 2 UFJ UFJ p 86 p 18 1 2002
More informationCONTENTS 8100 GDP
The Monthly NNA 20143 12 5? CONTENTS 8100 GDP CONTENTS DATA 12 10 POS 8100 Q9 1 10 Question 5 1 3 6 30 59 ASEAN 13 12 1 2 3 39.9% 38.4% 31.1% 28.8% 4.4% 4.7% China Thailand Indonesia Vietnam India 24 2
More informationワールド・ワイド 10‐2(P)/3.中尾
28 1 35 35 1 2003 35 2 3 4 29 1965 1998 35 1000 5 647 1960 6 35 7 8 2 30 10 2 2. 1 2. 2 2. 3 3 3. 1 3. 2 4 2 2 2. 1 9 1 2003 1 647 10 t π macro 1 1964 1998 31 t- π macro 7.21 0.12 t 31.3610.65 R 2 0.77
More informationyy yy ;; ;; ;; ;; ;; ;; ;; ;; ;; ;; ;; ;; ;; ;; ;;; ;;; ;;; ;;; ;;; ;;; ;;; ;;; ;;; ;;; ;;; ;;; ; ; ; ;; ;; ;; ;;; ;;; ;;; ;; ;; ;; ;; ;; ; ; ; ; ; ; ;
More informationブック
ARMA Estimation on Process of ARMA Time Series Model Sanno University Bulletin Vol.26 No. 2 February 2006 ARMA Estimation on Process of ARMA Time Series Model Many papers and books have been published
More information:EM,,. 4 EM. EM Finch, (AIC)., ( ), ( ), Web,,.,., [1].,. 2010,,,, 5 [2]., 16,000.,..,,. (,, )..,,. (socio-dynamics) [3, 4]. Weidlich Haag.
:EM,,. 4 EM. EM Finch, (AIC)., ( ), ( ),. 1. 1990. Web,,.,., [1].,. 2010,,,, 5 [2]., 16,000.,..,,. (,, )..,,. (socio-dynamics) [3, 4]. Weidlich Haag. [5]. 606-8501,, TEL:075-753-5515, FAX:075-753-4919,
More informationuntitled
Horioka Nakagawa and Oshima u ( c ) t+ 1 E β (1 + r ) 1 = t i+ 1 u ( c ) t 0 β c t y t uc ( t ) E () t r t c E β t ct γ ( + r ) 1 0 t+ 1 1 = t+ 1 ξ ct + β ct γ c t + 1 1+ r ) E β t + 1 t ct (1
More informationTitle 最適年金の理論 Author(s) 藤井, 隆雄 ; 林, 史明 ; 入谷, 純 ; 小黒, 一正 Citation Issue Date Type Technical Report Text Version publisher URL
Title 最適年金の理論 Author(s) 藤井, 隆雄 ; 林, 史明 ; 入谷, 純 ; 小黒, 一正 Citation Issue 2012-06 Date Type Technical Report Text Version publisher URL http://hdl.handle.net/10086/23085 Right Hitotsubashi University Repository
More information2 A A 3 A 2. A [2] A A A A 4 [3]
1 2 A A 1. ([1]3 3[ ]) 2 A A 3 A 2. A [2] A A A A 4 [3] Xi 1 1 2 1 () () 1 n () 1 n 0 i i = 1 1 S = S +! X S ( ) 02 n 1 2 Xi 1 0 2 ( ) ( 2) n ( 2) n 0 i i = 1 2 S = S +! X 0 k Xip 1 (1-p) 1 ( ) n n k Pr
More information( β K ) p β W W p β K K aβ β W W β β K K ) 1/(βW +β K ) 3 ln C =lnα + 1 β W + β K ln Q (3) 1/(β W + β K ) ( β W + β K ) 4 ( ) ( ) (1998 2 1 3 ) ( 1998
3 1 1993-1995 ( Cobb-Douglas ) (1998 2 3 ) ( ) 17 (1998 2 1 ) 1 Christensen, Jorgensonand Lau (1973) 1983 ( ) 2 W = K = β W,β K > 0 Q = aw βw K βk (1) C = αq 1/(βW +βk) (2) 10 ( (A) (A03) ) ( ) ( ) 1 2
More informationuntitled
2007 2 * (i) (ii) 2006 7 1999 2 2000 8 1 (2003) Oda and Ueda (2005) 2005 Kimura and Small(2006) Iwamura, Shiratsuka and Watanabe (2006) (2006) 3 (i) (ii) (iii) 2 2 3 4 2.1 (2003) (2005) 1) (i) (ii) (i)
More information2
2 485 1300 1 6 17 18 3 18 18 3 17 () 6 1 2 3 4 1 18 11 27 10001200 705 2 18 12 27 10001230 705 3 19 2 5 10001140 302 5 () 6 280 2 7 ACCESS WEB 8 9 10 11 12 13 14 3 A B C D E 1 Data 13 12 Data 15 9 18 2
More informationデフレ不況下の金融政策をめぐる政治過程
1991 2003 GDP....................................... http://www.stat.go.jp/ http://www.boj.or.jp/ GDP http://www.esri.cao.go.jp/ GDP - - - inflation targeting Krugman a IS-LM liquidity trap Krugman b Krugman
More informationP072-076.indd
3 STEP0 STEP1 STEP2 STEP3 STEP4 072 3STEP4 STEP3 STEP2 STEP1 STEP0 073 3 STEP0 STEP1 STEP2 STEP3 STEP4 074 3STEP4 STEP3 STEP2 STEP1 STEP0 075 3 STEP0 STEP1 STEP2 STEP3 STEP4 076 3STEP4 STEP3 STEP2 STEP1
More informationSTEP1 STEP3 STEP2 STEP4 STEP6 STEP5 STEP7 10,000,000 2,060 38 0 0 0 1978 4 1 2015 9 30 15,000,000 2,060 38 0 0 0 197941 2016930 10,000,000 2,060 38 0 0 0 197941 2016930 3 000 000 0 0 0 600 15
More information1
1 2 3 4 5 6 7 8 9 0 1 2 6 3 1 2 3 4 5 6 7 8 9 0 5 4 STEP 02 STEP 01 STEP 03 STEP 04 1F 1F 2F 2F 2F 1F 1 2 3 4 5 http://smarthouse-center.org/sdk/ http://smarthouse-center.org/inquiries/ http://sh-center.org/
More information2 RAD-AR News Vol.14, No.5 (Jan. 2004)
Series No. 60Jan. 2004 CONTENTS 2 RAD-AR News Vol.14, No.5 (Jan. 2004) 3 4 RAD-AR News Vol.14, No.5 (Jan. 2004) 5 RAD-AR News Vol.14, No.5 (Jan. 2004) 6 7 RAD-AR News Vol.14, No.5 (Jan. 2004) 8 9 1100
More informationTheRecordx.indd
Monthly News Digest Contents 7/27 28 THE RECORD 2016-09 2 focus 67.1% 32.9% 14.1 23.9 22.5 19.7 35.2 32.4 31.0 0 20 40 (%) 70.3 35.9 21.4 9.7 2.8 0 20 40 60 80 (%) 3 THE RECORD 2016 09 57.9% 42.1% 1 19pt
More information03.Œk’ì
HRS KG NG-HRS NG-KG AIC Fama 1965 Mandelbrot Blattberg Gonedes t t Kariya, et. al. Nagahara ARCH EngleGARCH Bollerslev EGARCH Nelson GARCH Heynen, et. al. r n r n =σ n w n logσ n =α +βlogσ n 1 + v n w
More information- October. FRB ECB GIIPS Greece, Ireland, Italy, Portugal, Spain QE ECB QE QE FRB S T-bill QE
VAR VAR - - October. FRB ECB GIIPS Greece, Ireland, Italy, Portugal, Spain QE ECB QE QE FRB S T-bill QE QE FRB VAR VAR - - October Okina and Shiratsuka Baba et al. Kimura and Small, a CPI VAR VAR - FRB
More information,.,,.,. NIRA,.,.,,, GDP.,., 1%, 2.0% 3).,,.,,., 1, 4).,,.,, GDP,.,,.,,,.,,., 2002.,,., 3), Q&A Q16 (http://www.stat.go.jp/data/kakei/qa-1.ht
1, 1, 2011 4 3-28,,.,,.,.,,.,,.,,.,.,. 1., 1), 1946.,, GDP,.,,,.,,., (2008) ( NIRA ), 23,.,,, 2).,,,.,,.,,., 657-8501 2-1, E-mail: unayama@person.kobe-u.ac.jp 1) 1. 2), 1990 2 21, 1993 6 12. 3 1 1 2011
More information1 CAPM: I-,,, I- ( ) 1 I- I- I- ( CAPM) I- CAPM I- 1 I- Jensen Fama-French 3 I- Fama-French 3 I- Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 1 Fama-Fr
1 CAPM: I-,,, I- ( ) 1 I- I- I- ( CAPM) I- CAPM I- 1 I- Jensen Fama-French 3 I- Fama-French 3 I- Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 1 Fama-French (FF) 3 [5] (Capital Asset Pricing Model; CAPM
More informationCompuSec SW Ver.5.2 アプリケーションガイド(一部抜粋)
64 PART 9 65 66 PART10 67 1 2 3 68 PART 10 4 5 69 1 2 3 4 5 70 PART 10 6 7 8 6 9 71 PART11 72 PART 11 1 2 3 73 4 5 6 74 PART 11 7 8 9 75 PART12 76 PART 12 1 2 3 4 1 2 3 4 77 1 2 3 4 5 6 7 8 78 PART13 79
More information65歳雇用時代の賃金制度のつくり方
1 65 2005 2 65 18 65 2 PART 165 6 7 8 11 14 16 60 17 25 PART 2 28 35 () 10 35 () 35 () 36 () 39 () 39 () 41 () 42 () 42 () 44 (10) 44 (11) 47 1 15 2007 2 35 3 10 10 2.5 2.5 1.5 0.5 2.5 2.5 1.5 0.5 10
More informationスリランカ経済の現状と今後の展望
TEL 3-6733-17 E-mail chosa-report@murc.jp 1 / 21 216 9 6 29 TEL 3-6733-17 E-mail chosa-report@murc.jp 2 / 21 1, 2, 3, 4, 5, 6, IMF, World Economic Outlook Database, April 216 % 2% 4% 6% 8% 1% World Bank,
More information固定費用経済
1 2 dyt Lt dlt Yt Yt Lt 3 4 5 6 7 L L var var var var var var var var d log d val var = 0 var var d log d val var = 0 var var 8 var var d log F A K d val d log F A K d var val = 0 var F A K F A K F A K
More information8’¼‹ä127-141
- H.B. Lary Ilse Mintz - - - - - - - Aaa. %. % Baa. %. % Baa - Chase National Bank H. C. Taylor. % Annual Report of Board of Governors of the Federal Reserve System.(1933) 231 q Moody s - Aaa Aa A Baa.....
More information日本の世帯属性別貯蓄率の動向について:アップデートと考察
RIETI Discussion Paper Series 18-J-024 RIETI Discussion Paper Series 18-J-024 2018 年 8 日本の世帯属性別貯蓄率の動向について : アップデートと考察 1 宇南 卓 ( 経済産業研究所 ) 野太郎 ( 信州 学 ) 要 旨 全国消費実態調査 家計調査 家計消費状況調査を補完的に利用することでマクロ統計と整合的な貯蓄率のデータを構築した宇南山
More information, Exchange & Finamce
10 35 50 10 20 1210 18 15 15, 7.5 10 13 50 10 10 10 10 10 10 1225 7.5 10 1.3 10 6.8 5.5 142 25 Exchange & Finamce 1210 10 2.75 2.5 2.5 1210 10 12 1.5 10 10 1.7 1.5 1.5 1.2 1.5 1.5 10 1.4 1.3 1.3 10 12,900
More informationDATA BOOK 01
DATA BOOK 01 DATA BOOK 2015 NAGOYA UNIVERSITY OF ARTS CONTENTS 02 03 chapter 1 P 04 chapter 2 P 20 chapter 3 P 50 chapter 4 P 64 Chapter 1 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 chapter 1 P 04
More information1 1968 2000 34 11 34 11 1 km 3 7 1 4 1 km 7 2 1 2 5 6 34 11 106
8 2011. 4 2000 1, 2 105 1 1968 2000 34 11 34 11 1 km 3 7 1 4 1 km 7 2 1 2 5 6 34 11 106 7 89 2 34 11 2006 34 11 2007 10 1991 9 2000 3 31 20 11 107 1 NO 1 1287 515 510 262 772 2 325 90 189 46 235 3 433
More informationわが国企業による資金調達方法の選択問題
* takeshi.shimatani@boj.or.jp ** kawai@ml.me.titech.ac.jp *** naohiko.baba@boj.or.jp No.05-J-3 2005 3 103-8660 30 No.05-J-3 2005 3 1990 * E-mailtakeshi.shimatani@boj.or.jp ** E-mailkawai@ml.me.titech.ac.jp
More informationミクロ・データによる家計行動分析: 将来不安と予備的貯蓄
subjective measures E-mailkeiko.murata@mfs.cao.go.jp subjective subjective measures Dardanoni Leland waiting option Browning and LusardiEngen and Gruber Carroll and Samwick PSIDPanel Study of Income Dynamics
More informationTABLE of CONTENTS 11 51 65 187 1 2 3 4 5 6 é é 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59
More informationKANSAI UNIVERSITY contents 01 07 27 37 1 2 KANSAI UNIVERSITY 3 KANSAI UNIVERSITY 4 5 KANSAI UNIVERSITY 6 7 KANSAI UNIVERSITY 8 9 KANSAI UNIVERSITY 10 11 KANSAI UNIVERSITY 12 13 KANSAI UNIVERSITY 14 15
More information