基調的なインフレ率とフィリップス曲線

Size: px

Start display at page:

Download "基調的なインフレ率とフィリップス曲線"

なおちかさかわ
4 years ago
Views:

1 trimmed mean

2 GordonOkun Bruno and Sachs trimmed mean Álvarez and Matea1999Bakhshi and Yates1999 Bryan and CecchettiGartner and WehingerMonetary Authority of Singapore1998Roger1997 Bryan and Cecchetti

3 l m n π t = α+ β i π t i + γ j GAP t j + θ k SupSHOCK t k +ε t i=1 j=1 k=0 BlanchardMankiwD.Romer C.RomerGDP GDP GDP

4 GordonOkun Bruno and Sachs CPI Bruno and Sachs

5 Ball and Mankiw BM BM CPI Barro HercowitzParksVining and Elwertowski Balke and WynneBall and MankiwBalke and Wynne Bruno and Sachs Fischer Bomberger and MakinenDebelle and Lamont Ball and MankiwJaramillo α CPI

6 α α BM BM BM A B

7 CPIA l m n CPI ttl t = α+ β i C PI ttl t i + γ j GDPGAP t j + θ k RIMP t k i=1 j=1 k=0 CPIAB l m n CPI exf t = α+ β i C PI exf t i + γ j GDPGAP t j + θ k RIMP t k i =1 j=1 k=0 CPIBM-A l m n CPI ttl t = α+ β i C PI ttl t i + γ j GDPGAP t j + θ k SKEW t k i =1 j=1 k =0 CPIBM-B l m Trim 30 t = α+ β i T rim 30 t i + γ j GDPGAP t j i=1 j=1 CPI ttlcpi CPI exfcpi Trim 30CPI GDPGAPGDP GDP GDP GDP GDPWatanabeWatanabe GDPGDP TFPGDP Watanabeγ

8 SKEW CPI CPI ttl Trim 30 RIMP ll mgdpm nn BM-ABM-B θ β n θ n β n = θ n n = ) ) CPIttl = α + t ) n ) ) CPIttl SKEW ) ) t t = α + ) βi CPIttl t i = 1 ) Trim 30 t = α + n n ) m ) β i CPIttl t i + ) γj GDPGAPt j + ) i = 1 j = 1 k = 0 n ) i = 1 ) βi Trim 30 i t i + + BM-ABM-B l h alternative Durbin s h: h-alt l GDPγ j BM GDP θ β m i ) i j = 1 SKEW t ) ) ) i + ) γ j GDPGAP t m ) j = 1 j θ SKEW j k t k γ GDPGAP t j GDPm GordonGDPC.Romer

9 1Q2Q OLS CPI

10 BM BM non-nested encompassingj J

11 l n θ 0 β n θ n β n θ n n BM-ABM-B BM GDP CPI BM-ABM-B BM BM lgdpm QQ Q θ 0 β n = θ n n F l GDP

12 Q RMSE root mean square error BMRMSE BM-B BM-B Q BM BM BM

13 BM-B BM-B F AndrewsTable Q

14 GDP BM

15 BM BM GDP Ball and Mankiw Ball and Mankiw

16 BM VAR BMBall and MankiwNishizaki and Watanabe Sargent

18 Gordon I I ADFaugumented Dickey-Fuller I I Gordon

19 1Q2QAIC SKEWTRIMWAGEordering WAGE TRIM CPI SKEW

20 n diff t = ψdiff t 1 + δ i diff t i +v t i=1 diffcpi ψ Gordon Gordon nt Dickey-Fuller

21 trimmed mean Stock and Watson

22 PP e E( p Ω 1 ) Ω 1 y GDPy n GDP P P e = γ (y y n )P e = E( p Ω 1 ) Sargent observational equivalence Barro D.Romer

23 D.Romerpp pp.

24 SKEW t = C PI ttl t Trim 30 t = w i,t π i,t w i,t π i,t / w i,t i N i M(t) i M(t) SKEW t t CPIttl t t CPI Trim30 t t CPI NCPI Mtt M C tt π i,t t i w i,t t i w i,t =1 CPI i N ) CPI ttl t = ) w i, π t i, t i ) N w i, π t i, t i ) M(t) = ) + ) w i, π t i, t i ) M c(t) ) SKEW ) t = ) w i π, t i t ) i ) N, ) = ) ) w i, π / t i, t i ) M c (t) i ) M(t) w i, π t i, t i ) N ) ) w i t, ) ) ) ) ) ) / ) i ) ) w i, π w t i, t i i ) M c, t (t) ) M(t) ) w i, ) ) ) ) ) t / ) w i t ), c i )M (t) i ) M(t) i ) N w i, t π i, t = ) w i, t ) i ) M c (t) w i, t i ) M (t) ) ) ) ) π t ) i, CPI ttl t ) ) )

25 LSW Vector Error Correction Model Working Paper Álvarez, Luis J., and M. a de los Llanos Matea, Underlying Inflation Measures in Spain, Banco de España Working Paper No. 9911, Andrews, Donald W. K., Tests for Parameter Instability and Structural Change with Unknown Change Point, Econometrica, 61 4, 1993, pp Bakhshi, Hasan, and Tony Yates, To Trim or Not to Trim? An Application of a Trimmed Mean Inflation Estimator to the United Kingdom, Bank of England Working Paper Series No.97, Balke, Nathan S., and Mark A. Wynne, An Equilibrium Analysis of Relative Price Changes and Aggregate Inflation, Journal of Monetary Economics, 45 2, 2000, pp Ball, Laurence, and N. Gregory Mankiw, Relative-Price Changes as Aggregate Supply Shocks, Quarterly Journal of Economics, 110 1, 1995, pp and, Interpreting the Correlation between Inflation and the Skewness of Relative Prices: A Comment on Bryan and Cecchetti, Review of Economics and Statistics, 81 2, 1999, pp Barro, Robert J., Rational Expectations and the Role of Monetary Policy, Journal of Monetary Economics, 2 1, 1976, pp , Unanticipated Money, Output, and the Price Level in the United States, Journal of Political Economy, 86 4, 1978, pp Blanchard, Oliver, Macroeconomics, Prentice-Hall, Bomberger, William A., and Gail E. Makinen, Inflation and Relative Price Variability, Journal of Money, Credit, and Banking, 25 4, 1993, pp

26 Bruno, Michael, and Jeffrey D. Sachs, Economics of Worldwide Stagflation, Harvard University Press, Bryan, Michael F., and Stephen G. Cecchetti, Measuring Core Inflation, in N. G. Mankiw eds. Monetary Policy, University of Chicago Press, 1994, pp , and, The Monthly Measurement of Core Inflation in Japan, Monetary and Economic Studies, 17 1, Institute for Monetary and Economic Studies, Bank of Japan, 1999, pp Debelle, Guy, and Owen Lamont, Relative Price Variability and Inflation: Evidence from U.S. Cities, Journal of Political Economy, 105 1, 1997, pp Fair, Ray C., Testing the NAIRU Model for the United States, The Review of Economics and Statistics, 82 1, 2000, pp Fischer, Stanley, Relative Shocks, Relative Price Variability, and Inflation, Brookings papers of Economic Activity, 2, 1981, pp Fuhrer Jeffrey C., The Phillips Curve is Alive and Well, New England Economic Review, Federal Reserve Bank of Boston, March/April, 1995, pp Gartner, Christine, and Gert D. Wehinger, Core Inflation in Selected European Union Countries, Oestrreichische Nationalbank Working Paper Series No. 33, Gordon, Robert J., Alternative Responses of Policy to External Supply Shocks, Brookings Papers on Economic Activity, 1, 1975, pp , What Is New-Keynesian Economics?, Journal of Economic Literature, Vol. XXVIII, 1990, pp , The Time-Varing NAIRU and its Implications for Economic Policy, Journal of Economic Perspectives, 11 1, 1997, pp Hercowitz, Zvi, Money and the Dispersion of Relative Price, Journal of Political Economy, 89 2, 1981, pp Jaramillo, Carlos Felipe, Inflation and Relative Price Variability: Reinstating Parks' Result, Journal of Money, Credit, and Banking, 31 3, 1999, pp Mankiw, N. Gregory, Macroeconomics, Third Edition, Worth, Monetary Authority of Singapore Economics Departmrnt Domestic Economy Division, Measures of Core Inflation for Singapore, MAS Occasional Paper, No.10, Nishizaki, Kenji, and Watanabe Tsutomu, Output-Inflation at Near-zero Inflation Rates, Discussion Paper Series, A No.375, Institute of Economic Research, Hitotsubashi University, Okun, Arthur M., Prices and Quantities: A Macroeconomic Analysis, Basil Blackwell Oxford, Parks, Richard W., Inflation and the Relative Price Variability, Journal of Political Economy, 86 1, 1978, pp Roger, Scott, A Robust Measure of Core Inflation in New Zealand, , Reserve Bank of New Zealand Discussion Paper G97/7, 1997.

27 Romer, Christina D., Inflation and The Growth Rate of Output, NBER Working Paper, No.5575, Romer, David, Advanced Macroeconomics, McGraw-Hill, Sargent, Thomas J., The Observational Equivalence of Natural and Unnatural Rate Theories of Macroeconomics, Journal of Political Economy, 84 3, 1976, pp Staiger, Douglas, James H. Stock and Mark W. Watson, How Precise Are Estimates of the Natural Rate of Unemployment?, in Christina D.Romer and David H. Romer eds. Reducing Inflation, University of Chicago Press, 1997, pp Stock, James H., and Mark W. Watson, Forcasting Inflation, Journal of Monetary Economics, 44 2, 1999, pp Vining, Daniel R. Jr., and Thomas C. Elwertowski, The Relationship between Relative Prices and the General Price Level, American Economic Review, 66 4, 1976, pp Watanabe, Tsutomu, Output Gap and Inflation: The Case of Japan, in Monetary Policy and the Inflation Process, Bank for International Settlements Working Papers, Vol.4, 1997, pp

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―

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