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1 早 稲 田 大 学 現 代 政 治 経 済 研 究 所 ゼロ 金 利 下 で 量 的 緩 和 政 策 は 有 効 か? -ニューケインジアンDGEモデルによる 信 用 創 造 の 罠 の 分 析 - 井 上 智 洋 品 川 俊 介 都 築 栄 司 上 浦 基 No.J1403 Working Paper Series Institute for Research in Contemporary Political and Economic Affairs Waseda University Tokyo,Japan
2 DGE DGE (1) ( 1
3 T O 1: Benhabib et al. (2001) DGE(Dynamic general equilibirum) 2 R = R(π) π R 1 R = r + π r Benhabib et al. (2001) R = R(π) 2 T L Benhabib et al. (2001) Ono 2001) (2) ( ) (3) 3 (2) (3) Tsuzuki and Inoue(2010) Inoue and Tsuzuki (2011) 2 Benhabib et al. (2001) 2
4 T L O 2: L DGE Rotemberg (1982) 2 2 (2011) 2 γ π2 2 γ π π 3 γ (π π ) 2
5 Res D (1) K (2) B (3) Res 3 D = K + B + Res D Res σ D M ( Res/ σ) K M ( D M Res B) K M 3 ( 1995) ( 1995) 4 4
6 R 0 R 0 (1) (K M ) (2) (R 0 ) K M1 K M2 R 0 O P Z Z 3: 3 R K 5 K M1 P K M2 R 0 Z Z 5 3 Krugman(1998) 1 2 K M Krugman(1998) M M K M 5
7 R 0 Z P Z : 6 Murota and Ono(2011) Murota and Ono(2011) 2 Murota and Ono(2011) DGE Murota and Ono(2011) 6
8 7 T L R 0 O 4: 4 R π R 0 7 (2004) Krugman(1998) Eggertsson and Woodford(2003) Benhabib et al. (2001) 7
9 R 0 R 0 T L 2 T R 0 R 0 L 8 3 i (i [0, 1]) i j (j [0, 1]) j 8 8
![(i [0, 1]) i j](/docs-images/42/22802484/images/page_9.jpg "(j [0, 1]) j 8")
10 = y y = k α h 1 α (3.1) α 0 < α < 1 k h Π f Π f = py W h Rpk (3.2) p W R Π f w = (1 α)ĥ α (3.3) r = αĥ1 α (3.4) w( W/p) r( R π) ĥ ĥ h/k 9
11 = 9 h [ 1 h = 0 φ 1 φ hi ] φ φ 1 di h i i φ(> 1) h i = ( ) φ Wi h (3.5) W W i j W [ 1 W = 0 ] 1 W 1 φ 1 φ i di (3.6) h i h i = zl i l i z z g(= ż/z) z h i D B h A A = D + B h (3.7) R b 9 Dixit and Stiglitz (1977) Blanchard and Kiyotaki (1987) 10
12 A = R b B h + W i h i cp + X g + X b (3.8) c X g X b (3.8) ȧ = ra + w i h i c R b d + x g + x b (3.9) a( A/p) d( D/p) w i ( W i /p) h i x g X g /p x b X b /p i c d l i 10 ln c + δ ln d l1+ψ i 1 + ψ γ 2 ω2 i (3.10) δ ln d δ(> 0) ψ(> 0) ω i W i Ẇ i /W i γ 2 ω2 i 11 γ γ 0 γ > 0 i [ ] max ln c + δ ln d l1+ψ i c,d,ω i ψ γ 2 ω2 i e ρt dt subject to ȧ = ra + w i h i c R b d + x g + x b Ẇ i = ω i W i ( ) φ Wi h i = h W h i = zl i 10 c c i d d i c d A B h 11 Rotemberg (1982) 11
![10) δ ln d δ(> 0) ψ(> 0) ω i W i Ẇ i /W i γ 2 ω2 i 11 γ γ 0 γ > 0 i [ ] max ln c + δ ln d l1+ψ i c,d,ω i 0 1 + ψ γ 2 ω2](/docs-images/42/22802484/images/page_12.jpg "i e ρt dt subject to ȧ = ra + w i h i c R b d + x g + x b Ẇ i = ω i W i ( ) φ Wi h i = h W h i = zl i 10 c c i d d i c")
13 ρ(> 0) l i = l, ω i = ω, h i = h ( i [0, 1]) ċ c + π + ρ = R = δ c d ] ω = ω [ρ φ l1+ψ hw + (φ 1) γω γcω (3.11) (3.12) l ω (3.11) (3.12) B Res B c Res(0) = B c (0) Res= B c (1) (2) 2 (1) π R R = R(π) = R + τ(π π) (3.13) R π τ(> 1) 12
14 R π R π R = r + π r (3.4) r = α(ĥ ) 1 α (2) θ Res Y ( py) X b = ζy ζ(> 0) X b (= ζy ) = Ḃall B all B all B B c (B all = B +B c ) B c Res B all = B +Res j k j = k [ 1 k 0 η 1 η kj ] η η 1 dj η(> 1) ( ) η Rj k j = k (3.14) R 13
15 R j j R [ 1 R = 0 ] 1 R 1 η 1 η j dj (3.15) R K j D j D M σ D M Res/ σ j D j Res B K j D j = Res + B + K j 12 j Π j Π j = R b B + (R j υ)k j (3.16) 12 Res Res j B B j Res B 14
16 υ(> 0) υ R j R j K j j 13 max Π j = (R j υ)k j + R b B (3.17) R j ( ) η Rj subject to K j = K (3.18) R D j = Res + B + K j (3.19) ( D j D M Res ) (3.20) σ K( kp) R j η η 1 υ with equality when D j < D M (3.21) (D j = D, j [0, 1]) (R j = R, j [0, 1]) R b R (R b = R) η 14 R 0 υ η 1 R 0 (3.21) R R 0 with equality when D < D M (3.22) 13 B all (= B + Res) Res Res B 14 R b = R υ 2 15
17 4 D = D M R > R 0 D < D M R = R 0 2 ERD ERD Res σd ERD = Res σd = (σ σ)d σ D = D M σ = σ σ σ ERD ERD = (σ σ)d = 0 (4.1) σ(= σ) Res θ D(= Res/ σ) θ d θ θ d = θ σ σ σ σ ERD ERD = (σ σ)d 0 (4.2) 16
18 R(= R 0 ) (3.11) Ṙ R = ċ c d d = 0 (4.3) θ d ( Ḋ/D) θ d Ḋ D = d d + π = ċ c + π = R 0 ρ (4.4) θ d R 0 ρ ρ θ θ d ρ 17
19 5 y = c + I ĉ ĉ ĥ = αĥ1 α ρ ĥ1 α + ĉ (5.1) ĥ = 1 α (R αĥ1 α ω) (5.2) l ĥ = l ĥ + ĥ1 α ĉ g = 1 α (R αĥ1 α ω) + ĥ1 α ĉ g (5.3) [ ] ω = ω ρ φ l1+ψ γω + (φ 1)(1 α)ĥ1 α γωĉ (5.4) ĉ c/k R = R + τ(π π) π = α ĥ/ĥ + ω ĉ = ρ + g α g (5.5) ( ) 1 ρ + g ĥ 1 α = (5.6) α [ γπ l ρ = φ + φ 1 ] 1 (1 α)(ρ + g) 1+ψ (5.7) φ ρ + g gα ω = π = π (5.8) r = α(ĥ ) 1 α = g + ρ R = g + ρ + π R = R(π) = g + ρ + π + τ(π π) (5.9) 18
![3) [ ] ω = ω ρ φ l1+ψ γω + (φ 1)(1 α)ĥ1 α γωĉ (5.](/docs-images/42/22802484/images/page_19.jpg "4) ĉ c/k R = R + τ(π π) π = α ĥ/ĥ + ω ĉ = ρ + g α g (5.5) ( ) 1 ρ + g ĥ 1 α = (5.")
20 Ṙ R ĉ ĉ ĥ = R (θ + ρ) (5.10) = αĥ1 α ρ ĥ1 α + ĉ (5.11) ĥ = 1 α (R αĥ1 α ω) (5.12) l ĥ = l ĥ + ĥ1 α ĉ g = 1 α (R αĥ1 α ω) + ĥ1 α ĉ g (5.13) [ ] ω = ω ρ φ l1+ψ γω + (φ 1)(1 α)ĥ1 α γωĉ (5.14) R = θ + ρ (5.15) ĉ = ρ + g α g (5.16) ( ) 1 ρ + g ĥ 1 α = (5.17) α [ γπ l ρ = φ + φ 1 ] 1 (1 α)(ρ + g) 1+ψ (5.18) φ ρ + g gα ω = π = θ g (5.19) (5.19) π θ g l π 19
![13) [ ] ω = ω ρ φ l1+ψ γω + (φ 1)(1 α)ĥ1 α γωĉ (5.14) R = θ + ρ (5.15) ĉ = ρ + g α g (5.](/docs-images/42/22802484/images/page_20.jpg "16) ( ) 1 ρ + g ĥ 1 α = (5.17) α [ γπ l ρ = φ + φ 1 ] 1 (1 α)(ρ + g) 1+ψ (5.")
21 l n (γ 0) l n = [ φ 1 φ ] 1 (1 α)(ρ + g) 1+ψ ρ + g gα (5.20) l l n π = 0 ( π = 0) θ g (θ = g) 6 ĉ ĉ ĥ = αĥ1 α ρ ĥ1 α + ĉ (6.1) ĥ = 1 α (R 0 αĥ1 α ω) (6.2) l ĥ = l ĥ + ĥ1 α ĉ g = 1 α (R 0 αĥ1 α ω) + ĥ1 α ĉ g (6.3) [ ] ω = ω ρ φ l1+ψ γω + (φ 1)(1 α)ĥ1 α γωĉ (6.4) 20
22 ĉ = ρ + g α g (6.5) ( ) 1 ρ + g ĥ 1 α = (6.6) α [ γπ l ρ = φ + φ 1 ] 1 (1 α)(ρ + g) 1+ψ (6.7) φ ρ + g gα ω = π = θ d g = R 0 ρ g (6.8) R 0 ρ g ρ g π (= ω ) (6.7) (5.20) r r = g + ρ R = g + ρ + π r (γ 0) 21
23 Krugman(1998) Eggertsson and Woodford(2003) g r (= g + ρ) g 1% 15 R(= π + r) 7 DGE (2012) 3 22
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Trade and Trade Finance in the 200809 Financial Crisis, IMF Working Paper WP/11/16., Understanding the Great Trade Collapse of 200809 and the Subsequent Trade Recovery, Economic Perspectives, 2Q/2011.
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JSPS Grants-in-Aid for Creative Scientific Research Understanding Inflation Dynamics of the Japanese Economy Working Paper Series No.27 企業出荷価格の粘着性ーアンケートと POS データに基づく分析ー 阿部修人外木暁幸渡辺努 September 22, 2008 Research
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IMES DISCUSSION PAPER SERIES Discussion Paper No. 99-J- 9 -J-19 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 100-8630 03 IMES Discussion Paper Series 99-J- 9 -J-19 1999 6 * * [1999] *(E-mail:
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早稲田大学現代政治経済研究所 ダブルトラック オークションの実験研究 宇都伸之早稲田大学上條良夫高知工科大学船木由喜彦早稲田大学 No.J1401 Working Paper Series Institute for Research in Contemporary Political and Ec
早稲田大学現代政治経済研究所 ダブルトラック オークションの実験研究 宇都伸之早稲田大学上條良夫高知工科大学船木由喜彦早稲田大学 No.J1401 Working Paper Series Institute for Research in Contemporary Political and Economic Affairs Waseda University 169-8050 Tokyo,Japan
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