1 2 2 2 2.1 GDP............................................. 2 2.2............................................... 2 3 3 3.1.......................................... 3 3.2 1990................................ 4 3.3.......................................... 5 4 5 4.1.......................................... 7 5 7 5.1.............................................. 7 5.2.............................................. 9 6 10 7 11 7.1............................ 11 7.2....................... 11 7.3............................. 12 7.4.................................. 14 8 14 1
1 10 2 2.1 GDP GDP 2-1-1 60 10 70 98 2.2 M2+CDs 20 1 2-2-1 90 k = M/Y (1) M M2+CD Y GDP 2-2-2 67 77 80 2
Md k P T (Y ) (2) P GDP GDP GDP T GDP 2-2-3 86 87 90 97 2001 90 3 3.1 monetary policy rule 3
= + + α ) + β (3) + + (4) = λ (5) 3.2 1990 4
[2001] 1987 88 1990 91 1992 95 1997 98 1992 1992 93 3 4 1 1992 0.7 1993 3.4 1992 2.2 1993 6.5 1992 2.3 93 7.8 0.3 1.1 0.6 0.4-3.3 4 M R I P Y Y(GDP) Y 5
M( ) M Y F Null Hypothesis: Obs F-Statistic Probability M does not Granger Cause I 75 4.37817 0.01616 I does not Granger Cause M 0.19413 0.82399 P does not Granger Cause I 56 0.63931 0.53183 I does not Granger Cause P 0.69611 0.50320 R does not Granger Cause I 75 0.16088 0.85171 I does not Granger Cause R 1.88534 0.15940 Y does not Granger Cause I 61 0.41353 0.66332 I does not Granger Cause Y 24.6692 2.1E-08 P does not Granger Cause M 56 1.06643 0.35179 M does not Granger Cause P 0.78161 0.46307 R does not Granger Cause M 79 5.59768 0.00545 M does not Granger Cause R 3.80411 0.02676 Y does not Granger Cause M 61 1.01253 0.36985 M does not Granger Cause Y 41.4603 8.9E-12 R does not Granger Cause P 56 3.22450 0.04801 P does not Granger Cause R 1.67306 0.19781 Y does not Granger Cause P 56 7.76884 0.00113 P does not Granger Cause Y 3.30148 0.04484 Y does not Granger Cause R 61 0.71519 0.49351 R does not Granger Cause Y 1.96260 0.15004 ;Pairwise Granger Causality Tests,Sample: 1985:3 2005:3,Lags: 2 I2 II2 M2 MM2 6
Null Hypothesis: Obs F-Statistic Probability II2 does not Granger Cause I2 74 1.66702 0.19632 I2 does not Granger Cause II2 1.41707 0.24939 M2 does not Granger Cause I2 74 2.72425 0.07265 I2 does not Granger Cause M2 1.81235 0.17096 MM2 does not Granger Cause I2 74 2.84799 0.06479 I2 does not Granger Cause MM2 1.73312 0.18434 M2 does not Granger Cause II2 74 3.3221 0.04193 II2 does not Granger Cause M2 1.20254 0.30665 MM2 does not Granger Cause II2 74 3.70911 0.02951 II2 does not Granger Cause MM2 1.0639 0.3507 MM2 does not Granger Cause M2 78 1.27797 0.28476 M2 does not Granger Cause MM2 1.19502 0.30855 ;Pairwise Granger Causality Tests,Sample: 1985:3 2005:3,Lags: 2 10 85 03 90 4.1 5 5.1 5.1.1 7
5.1.2 5-1- R R R i i 5.1.3 1961 2004 - R 2 0.240469 - R 2 0.065986 R 0.24 1-2 R 0.065 R 0.95 8
5.2 5.2.1 5.2.2 M M i i 5-2-1 9
6 LM LM LM LM IS ( ) + (6) (7) 10
7 7.1 / / 7.2 11
7.3 7.3.1 Svensson[1997,1999] 1 7.3.2 Consensus Economics Inc. 1998 1999 1 1999 0.7 1999 9 0.1 0.2 6 1 12
7.3.3 [2000] 7-3-1 [2000] + + =1.5 + 14 3 2 27 10 6 34 8 2 [2000] 10 13
0.9 0.9 7.4 8 90 14
[1999] [2000] [2001] / [2003] [2003] [2000] [2004] [1993] [2005.8] [2000] [2001] [2000] [1998] HP http://www.boj.or.jp/ http://www.esri.cao.go.jp/ http://www.stat.go.jp/ http://www.mof.go.jp/ 15