指数から読み解く日本の政策不確実性の特徴

Size: px

Start display at page:

Download "指数から読み解く日本の政策不確実性の特徴"

さいぞうむらかわ
4 years ago
Views:

1 RIETI BBL

2 ???

4 Brexit

5 1987

6 1987

7 THE QUARTERLY JOURNAL OF ECONOMICS Vol. 131 November 2016 Issue 4 MEASURING ECONOMIC POLICY UNCERTAINTY SCOTT R. BAKER NICHOLAS BLOOM STEVEN J. DAVIS We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency. Several types of evidence including human readings of 12,000 newspaper articles indicate that our index proxies for movements in policy-related economic uncertainty. Our U.S. index spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute, and other major battles over fiscal policy. Using firm-level data, we find that policy uncertainty is associated with greater stock price volatility and reduced investment and employment in policy-sensitive sectors like defense, health care, finance, and infrastructure construction. At the macro level, innovations in policy uncertainty foreshadow declines in investment, output, and employment in the United States and, in a panel vector autoregressive setting, for 12 major economies. Extending our U.S. index back to 1900, EPU rose dramatically in the 1930s (from late 1931) and has drifted upward since the 1960s. JEL Codes: D80, E22, E66, G18, L50.

8 ??

9 10 1 ECONOMY: {economy or economic} POLICY: {deficit or regulation or legislation or congress or white house or federal reserve } UNCERTAINTY: {uncertainty or uncertain} 12, ,000

10 15 president, senate, house of representives, white house, congress, federal reserve etc. regulation, legislation, budget, spending, deficit, tax etc =100

11 Figure 5: Human and Computer EPU Indices Economic Policy Uncertainty Index Computer Correlation=0.86 Human (+ symbol) Year Source: Baker, Bloom, and Davis (2016)

12 1 E: { or } P: { or or or or or or or or or or or or or or or or or or or or or or or or or or or or or or or } U: { or or or }

13 E U P =100

14 E P U : { or or or or or or or or or or etc.} : { or or or or or or or or or etc.} : { or or 301 or GATT or WTO or or or or or TPP or EPA or FTA etc.} Policy Uncertainty in Japan IMF Working Paper No.17/128

15 1987

16 , , = , ½¼º¼ -¼,, ¼¼º¼,,,, º¼ -¼ ¼½º¼¾-¼ ½½º¼,,,, º½½-½¾, ¼ º¼ -½¼ ½¾º¼,, Í,, ¼½º¼ º¼ ½ º¼ -¼, ½ º¼½-¼¾, ¼ º¼ ½ º½½, º½¼ ½ º¼½, ¼ º¼¾, ¼¾º½¼ Source:

17 , , = ¾¼¼¼ ½ ¾,,,, ¾¼½¼ Í ¾¼½ Source:

19 , , = この指数は次の18カ国の指数をGDP にもとづくウェイトで加重平均により算出米国, カナダ, ブラジル, チリ, 英国, ドイツ, イタリア, スペイン, フランス, オランダ, ロシア, インド, 中国, 韓国, 日本, アイルランド, スウェーデン, オーストラリア Í,, Source:

20 GFC GFC GFC

21 ½¾, %

22 1987

23 VAR TOPIX 5 6 IRF

24 IRF, %, %

25 IRF, % Î Ê¹ Î Ê¹ ÎÁ Î Ê¹ =½¾ = ÈÍ Á Î Ê¹¾

26 Brexit

27 Back-up

28 , = , ¼½º¼¾-¼, ½¼º¼ -¼ ¼½º¼, ¼¼º¼,, ½½º¼ º¼ ¼¾º½¼, º¼, ¼ º¼, ½¾º¼ º½½-½¾, ¼ º¼ -½¼, Í º¼, ½ º¼ -¼, ¼ º¼ º½¼, ¼ º¼½ ¼ º¼¾ Source:

29 , = Source:

30 , = , ¼¾º¼ -½¼ ½¼º¼ ¼¾º¼¾ Ë ÊË, ¼½º¼¾-¼,,, ½½º¼ ¼ º¼ º½¼ º¼, ¼ º½¼ ½ º¼½-¼¾ º½½, ¼ º¼ º¼, Í, ¾º¼, ½ º¼ -¼,,, º½¼ ¼ º¼ ½ º½½ Source:

31 , = ÌÈÈ, ÌÈÈ ½ º¼½ Í ÌÈÈ, ½ º¼ ½ º½¼ ÌÈÈ, ½ º¼ ½ º¼½ ÌÈÈ ½ º½¼ ÌÈÈ ½ º¼ ÌÈÈ, ½ ÌÈÈ ½¾º½½-½¾ ½ º½½ ¼½ º¼ ÌÈÈ ½½º½½ º½¾ ÌÈÈ ½½º¼½ º¼ ÌÈÈ, º¼½ ½¼º½½ ¼ º¼¾ ½ º¼ Source:

32 IV ÎÁ ¼º ¼ Source:

33 IV ÎÁ ¼º Source:

わが国における政策の不確実性

RIETI Policy Discussion Paper Series 17-P-019 RIETI Policy Discussion Paper Series 17-P-019 2017 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