わが国における政策の不確実性

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1 RIETI Policy Discussion Paper Series 17-P-019

2 RIETI Policy Discussion Paper Series 17-P 年 6 月わが国における政策の不確実性 1 伊藤新経済産業研究所要旨本稿では Arbatli et al. (2017) が作ったわが国における 1987 年 1 月以降の政策不確実性指数について解説するその指数は経済, 景気, 不透明, 不確実, 不確定, 不安そして政策関係の用語を含む新聞記事をもとに算出される指数は内閣の退陣や与党が苦戦を強いられた国政選挙のときに上昇しているまたそれは 1997 年のアジア通貨危機,2008 年のリーマンブラザーズの経営破綻, 年の欧州債務危機,2011 年の米国での財政問題,2016 年の日銀によるマイナス金利政策の導入, 英国での EU からの離脱の是非を問う国民投票, 消費税率の引き上げ再延期のときに高い水準に達している政策の不確実性の上昇は国内要因だけでなく海外要因によっても生じる Arbatli et al. (2017) は全政策の指数に加えて個別政策, 具体的には財政政策, 金融政策, 通商政策, 為替政策の指数も作っている個別政策の指数は他のものとはっきり異なる特徴をそれぞれ有している個別政策のうち財政政策の指数が全政策の指数と強く相関しており, これは政策の不確実性の主因が財政関係の事柄であることを示している最後に, 政策不確実性指数とマクロ経済変数を用いたシンプルな実証分析から政策の不確実性の上昇は経済パフォーマンス悪化の予兆になることがわかったこの結果は, 政権運営を安定させたり政策の先行き見通しをはっきりさせたりして政策の不確実性を多少とも下げることが経済パフォーマンスの向上につながることを示唆しているキーワード : 政策の不確実性, 日本 JEL classification: D80, E2, E52, E62, F13 RIETI ポリシーディスカッションペーパーは RIETI の研究に関連して作成され政策をめぐる議論にタイムリーに貢献することを目的としています論文に述べられている見解は執筆者個人の責任で発表するものであり所属する組織及び ( 独 ) 経済産業研究所としての見解を示すものではありません 1 ito-arata@rieti.go.jp 本稿の作成において荒田禎之氏との議論が有益であったここに記して感謝申し上げる本稿は RIETI の研究活動の一環としておこなわれた 1

3 1 Arbatli et al. (2017) 3 Baker, Bloom and Davis (2016) Baker, Bloom and Davis (2016) USA Today, Miami Herald, Chicago Tribune, Washington Post, Los Angeles Times, Boston Globe, San Francisco Chronicle, Dallas Morning News, New York Times, Wall Street Journal Economy : economic economy Policy : deficit regulation uncertainty uncer- Uncertainty : tain ( Stock and Watson 2012; Pástor and Veronesi 2013; Fernández-Villaverde et al. 2015; Scheffel 2016; Blinder and Watson 2016) 2 1 Baker, Bloom and Davis (2016) 1 1 Baker, Bloom and Davis (2016) Arbatli et al. (2017) 1 Baker, Bloom and Davis (2016) Economy Uncertainty deficit regulation

4 Policy Baker, Bloom and Davis (2016) 3 Arbatli et al. (2017) tainty.com/old japan monthly.html EU Economy terms (E ) Uncertainty terms (U ) Policy terms (P ) 1 II 2

5 Economy Uncertainty economy economic economy economic 60% 40% 2 E Uncertainty uncertainty uncertain The Mainichi The Japan News Nikkei Major Articles uncertainty uncertain 4 4 U P Baker, Bloom and Davis (2016) economic economy uncertainty uncertain 12,000 EPU =1 EPU =0 EPU = 1 12,000 EPU =1 EPU = 1 regulation, budget, spending, policy, deficit, tax, federal reserve, war, white house, house of representatives, government, congress, senate, president, legislation 15 4 P 3

6 32,000 False positives (EPU H =0, EPU C =1) False negatives (EPU H =1, EPU C =0) EPU H =1(0) EPU =1(0) EPU C = 1(0) regulation, deficit, federal reserve, white house, congress, legislation federal reserve, white house, house of representatives, congress, senate, president 1 regulation, budget, spending, deficit, tax, legislation 13 regulation regulatory regulate deregulation deregulate structural reform, government budget, government spending government expenditure, government deficit, public debt, government debt, tax taxation, government revenue, legislation regulation regulation 1990 regulation regulation nn i,t = n i,t stdev ( n i,1987:2015 ) n i,t i t stdev (n i,1987:2015 ) n i,t X-13ARIMA-SEATS

7 nn i,t EPU t i nn i,t EPU t = mean ( ) 100 i nn i,1987: E P U

8 1987:1-2007:8 2007:9-2017: % t 2 p-value Bloom % p-value :3-1993:10, 1997:6-1999:1, 2000: :1, 2008:3-2009:3, 2012:4-2012: :1-2017: :I-2017:I 0.94 E U P 57% :1-2017: (2016) 6

9 4 Baker, Bloom and Davis (2016) EU (ZLB) 9 Fiscal Policy (Taxes OR Spending) com/us monthly.html % ZLB ZLB :9-2007:1 2008: :12 ZLB 1987:1-1998:8 2007:2-2008: % 2 p-value ZLB Husted, Rogers and Sun Baker, Bloom and Davis (2016) (TPP) 2011 TPP 2014 TPP

10 TPP TPP 2016 TPP 2016 TPP % Baker, Bloom and Davis (2016) E P U % 27% 8% 3% % % [1] RIETI Discussion Paper Series 16-J-016. [2] Arbatli, Elif C., Steven J. Davis, Arata Ito, Naoko Miake and Ikuo Saito Policy Uncertainty in Japan. IMF Working Paper No. 17/128. [3] Baker, Scott R., Nicholas Bloom, and Steven J. Davis Measuring Economic Policy Uncertainty. Quarterly Journal of Economics, 131(4): [4] Blinder, Alan S. and Mark W. Watson (2016). Presidents and the US Economy: An Econometric Exploration. American Economic Review, 106(4): [5] Bloom, Nicholas Fluctuations in Uncertainty. Journal of Economic Perspectives, 28(2):

11 [6] Fernández-Villaverde, Jesús, Pablo Guerrón-Quintana, Keith Kuester, and Juan Rubio-Ramírez (2015). Fiscal Volatility Shocks and Economic Activity. American Economic Review, 105(11): [7] Husted, Lucas, John Rogers, and Bo Sun Measuring Cross Country Monetary Policy Uncertainty. IFDP Notes, Board of Governors of the Federal Reserve System, November 23. [8] Pástor, L uboš and Pietro Veronesi (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3): [9] Scheffel, Eric M. (2016). Accounting for the Political Uncertainty Factor. Journal of Applied Econometrics, 31(6): [10] Stock, James H. and Mark W. Watson (2012). Disentangling the Channels of the Recession. Brookings Papers on Economic Activity, Spring 2012,

12 1 Japanese term A. Economy terms or B. Uncertainty terms or or C. Policy terms or or or or or or or or or or or English term economic or economy uncertain or uncertainty concern tax(es) taxation government spending or government expenditure government revenue(s) government budget public debt government debt government deficit(s) BOJ Bank of Japan central bank(s) The Fed Federal Reserve regulation(s) or regulatory or regulate or deregulation or deregulate structural reform legislation upper house lower house Diet Prime minister Prime minister s office 10

13 2 A. Japanese term or or or or or or or or or or or or or or English term government budget supplementary budget or government budget or discretionary fiscal policy General Account Special Account government deficit primary balance government revenue(s) tax(es) taxation government spending or government expenditure social security expenditures pension expenditures pension insurance premium health insurance premium healthcare expenditures or medical care expenditures nursing care expenditures nursing care insurance premium public medical fee schedule salaries of government employees official development aid defense spending military spending Financial Investment and Loan FIL outstanding government debt public debt Japanese government bonds (excluding purchase by the BOJ) government debt local government debt 11

14 B. Japanese term or QE or English term monetary policy Bank of Japan BOJ monetary easing further easing quantitative easing quantitative and qualitative easing monetary tightening negative interest rate policy rate official discount rate monetary operation(s) market operation(s) inflation target price target C. Japanese term English term market intervention foreign exchange intervention coordinated intervention or concerted intervention or joint intervention yen-selling and dollar-buying intervention dollar-buying and yen-selling intervention yen-selling and euro-buying intervention euro-buying and yen-selling intervention yen-buying and dollar-selling intervention dollar-selling and yen-buying intervention 12

15 ,, = ,,, 87.10, 00.06,, ,, ,, 95.03,, , 01.07,,02.10,, , ,,,, 11.08, , EU

16 ,, = , 98.07, ,, , , 08.01, , , ,, 11.08, EU,

17 , =

18 , =

19 ,, = , , 97.11, 95.03, 92.07, 87.10, SARS,, ,, , , EU,

20 , =

21 ,, = TPP, TPP TPP, TPP, TPP13.10 TPP13.03 TPP, TPP TPP TPP TPP, EU

22 ,, = ,, 93.08, 93.04, 92.09, 87.10, 87.12, 94.06, 95.03, ,, , 98.06, ,, 11.03,, 11.08, ,

23 , %

指数から読み解く日本の政策不確実性の特徴

指数から読み解く日本の政策不確実性の特徴 RIETI BBL 2017 7 14 ??? http://www.rieti.go.jp/jp/database/policyuncertainty/ 1997-98 2008 2011 2016 Brexit 1987 1987 THE QUARTERLY JOURNAL OF ECONOMICS Vol. 131 November 2016 Issue 4 MEASURING ECONOMIC