2007 2 * (i) (ii) 2006 7 1999 2 2000 8 1
(2003) Oda and Ueda (2005) 2005 Kimura and Small(2006) Iwamura, Shiratsuka and Watanabe (2006) (2006) 3 (i) (ii) (iii) 2 2 3 4 2.1 (2003) (2005) 1) (i) (ii) (i) 2
(ii) (i) (ii) (i) (ii) 2.2 Reifschneider and Williams (2000) 2) i t it = rt * + α ( π t π*) + βyt (1) r t * π t y t t GDP π * i t 90 (1) (1) 3) (a) (1) 3
0 1 2% 4 1 2 3 (1) (1) (2005) (b) 1(a) 3 3 (a) 1 1 3 (a) 2 1 4) 1(b) 1 1 4
1(b) 1 2 3 (a) 1 3 4 1 (b) 1(c) (a) (a) 3 (b) (b) (a) (a) (b) 2 2.3 1999 4 1 (a)(c) 5
Krugman (1998) (b) (a)(c) 5 2001 3 1 (b) 6) 1(b) 2003 6 1 (2006) 6
(2003) Oda and Ueda(2005) 7) 3.1 (2003) 1998 3 2003 2 TIBOR Nelson-Siegel 1987 1 (a) (b) (a) (c) 8) 1993 2006 ( 1 ) 10 ) 99 2001~03 2003 7
9) 1 (a) (c) 3.2 Oda and Ueda(2005) 10) IS AS 2003 3 Oda-Ueda(2005, Figure 8 ) Oda-Ueda GDP GDP GDP GDP 11) GDP (1) GDP Oda-Ueda(2005) Hodrick-Prescott HP HP 8
GDP GDP GDP GDP GDP HP GDP GDP 12) 90 HP Oda-Ueda GDP 13) 99 HP (2) Oda-Ueda i =.723i + (1 0.723)[( r * + π ) + 0.139( π π*) + 0.251y ] (2) t 0 t 1 t t t t (1) 0.723 1980 1999 1 (2) ( * 1.81 ) (2) 1999 2 (2) Oda-Ueda HP 1999 1 2006 1 9
Oda-Ueda HP HP 2003 2003 14) 1999 2003 2004 (i)gdp (ii) (iii) 3.3 5 30-35 Oda-Ueda(2005) GDP (2003) Fujiki, Okina and Shiratsuka(2004) (2001 3 2004 1 8 ) 2003 5 10
(a) (b) (a) (c) 2002 3.4 2006 1 (a) (b) (a) (c) (a) (b) 11
(i) (ii) 2006 7 3 12
* 21 COE 1) 2001 4 18 2) Krugman(1998) Jung, Teranishi, Watanabe (2005), Eggertsson and Woodford(2003) Krugman (2006 3 ) 3) (1) 4) 2 5) Reifschneider-Williams(2000) (b) (2005 p.86) 1999 7 1 2000 9 22 1(a) 2 (b) (a)(c) 6) 2003 10 7) Oda and Ueda(2005) 2005 6 8) 1995 5 7 13
9) I(1) ADF ADF -3.89 5% 10) (2005 6 ) 11) (2003) Laubach and Williams (2003) C=Y 0.01 ) 12) GDP GDP (2006 8 ) 13) GDP HP 14) (x) 2003 25 3 pp.1 45 2006 2005 22 4 pp.255 292 2003 No.03-J-5 2003 2006 2006 14
Eggertsson, Gauti and Michael Woodford, The Zero Bound on Interest Rates and Optimal Monetay Policy, Brookings Papers on Economic Activity 1, 139-211, 2003. Fujiki, Hiroshi, Kunio Okina and Shigenori Shiratsuka, "Comments on 'Price Stability and Japanese Monetary Policy' (1)," Monetary Economic Studies, 22(3), Bank of Japan, 25-36, 2004. Iwamura, Mitsuru, Shigenori Shiratsuka and Tsutomu Watanabe, Massive Money Injection in an Economy with Broad Liquidity Services: The Japanese Experience 2001-2006, manuscript, 2006. Jung, Taehun, Yuki Teranishi and Tsutomu Watanabe, Optimal Monetary Policy at the Zero Interest-Rate Bound, Journal of Money, Credit and Banking 37(5), 813-835, 2005. Kimura, Takeshi and David Small, Quantitative Monetary Easing and Risk in Financial Asset Markets, The B. E. Journals in Macroeconomics, 6 (1), 2006. Krugman, Paul R., It s Baaack: Japan s Slump and the Return of the Liquidity Trap, Brookings Papers on Economics Activity, 2, 137-205, 1998. Laubach, Thomas and John C. Williams, Measuring the Natural Rate of Interest, Review of Economics and Statistics, 85(4), 1063-1070, 2003. Nelson, Charles R. and Andrew F. Siegel, Parsimonious Modeling of Yield Curves, Journal of Business, 60(4), 473-489, 1987. Oda, Nobuyuki and Kazuo Ueda, The Effects of the Bank of Japan s Zero Interest Rate Commitment and Quantitative Easing on the Yield Curve: A Macro-Finance Approach, CIRJE Discussion Paper F-336, Tokyo University, April 2005. Reifschneider, David and John C. Williams, Three Lessons for Monetary Policy in a Low-Inflation Era, Journal of Money, Credit, and Banking, 32(4), 936-966, 2000. 15
図 2. 長短金利スプレッドと株価 3.0 22500 2.5 20000 17500 2.0 15000 1.5 12500 1.0 10000 0.5 93 95 97 99 101 103 105 7500 SPREAD PSTOCK 注 : 実線 =10 年物国債金利 - コールレート 点線 = 日経平均株価 ( 右軸 ) 1993:1-2006:1 四半期 出所は日経データベース 日銀ホームページ 図 3.GDP ギャップ推計値 3 0 2-1 -2 1-3 0-4 -5-1 -6-2 -7-8 -3 83 85 87 89 91 93 95 97 99 101 103 105-9 YGAP_HP YGAP_PR 注 : 実線 =HP フィルターに基づく推計値 点線 = 生産関数アプローチに基づく推計値 1983:2-2006:1 四半期 筆者推計 17
図 4. 自然利子率推計値 5.6 4.8 4.0 3.2 2.4 1.6 0.8 0.0 83 85 87 89 91 93 95 97 99 101 103 105 RSTAR_HP RSTAR_PR 注 : 実線 =HP フィルターに基づく推計値 点線 = 生産関数アプローチに基づく推計値 1983:2-2006:1 四半期 自然利子率 潜在成長率に近似して算出 2.0 図 5. テイラー ルール金利 1.5 1.0 0.5 0.0-0.5-1.0 99 100 101 102 103 104 105 ITAYLOR_HP ITAYLOR_PR 注 : 実線 =HP フィルターに基づく推計値 点線 = 生産関数アプローチに基づく推計値 1999:1-2006:1 四半期 本文 (2) 式に基づき算出 18