論文 - 村澤 康友
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村澤 康友
甲南経済学論集 = Konan economic papers 63 ( 3・4 ) 229 - 247 2023年3月
出版者・発行元:甲南大学経済学会
Interval data with an indifference limen arise when a survey asks about a change of a continuous variable and the respondents choose from a set of given intervals including 'no change'. This vignette introduces hintreg, an R package for fitting a heterogeneous normal interval regression model to such data. The model allows for heterogeneity not only in the location and scale parameters, but also in the lower and upper thresholds of the indifference limen, thus reducing the risk of model misspecification. An analysis of survey data on inflation expectations illustrates how to use the package.
DOI: 10.14990/00004532
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Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration 査読あり
Yasutomo Murasawa
Studies in Nonlinear Dynamics and Econometrics 26 ( 3 ) 387 - 415 2022年6月
出版者・発行元:WALTER DE GRUYTER GMBH
The dynamic IS equation implies that if the real interest rate is I(1), then so is the output growth rate with possible cointegration, and log output is I(2). This paper extends the Beveridge-Nelson decomposition to such a case, and develops a Bayesian method to obtain error bands. The method is valid whether log output is I(1) or I(2). The paper applies the method to US data to estimate the natural rates (or their permanent components) and gaps of output, inflation, interest, and unemployment jointly, and finds that allowing for cointegration gives much bigger estimates of the gaps for all variables.
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Measuring public inflation perceptions and expectations in the UK 査読あり
Yasutomo Murasawa
Empirical Economics 59 ( 1 ) 315 - 344 2020年7月
出版者・発行元:PHYSICA-VERLAG GMBH & CO
The Bank of England Inflation Attitudes Survey asks individuals about their inflation perceptions and expectations in eight intervals including an indifference limen. This paper studies fitting a mixture normal distribution to such interval data, allowing for multiple modes. Bayesian analysis is useful since ML estimation may fail. A hierarchical prior helps to obtain a weakly informative prior. The No-U-Turn Sampler speeds up posterior simulation. Permutation invariant parameters are free from the label switching problem. The paper estimates the distributions of public inflation perceptions and expectations in the UK during 2001Q1–2017Q4. The estimated means are useful for measuring information rigidity.
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I(1)とI(2)が混在する共和分時系列の多変量Beveridge-Nelson分解 (筒井義郎教授退職記念号)
村澤 康友
甲南経済学論集 60 ( 3 ) 111 - 124 2020年3月
出版者・発行元:甲南大学経済学会
多変量Beveridge Nelson (B N) 分解は,複数のI(1) 時系列を同時に確率的トレンドとギャップに分解する手法である。しかし実質GDP を含むマクロ経済時系列に多変量B N 分解を単純に適用すると,米国以外のデータでは,しばしば発散する不自然なGDP ギャップが得られる。他方で近年のマクロ経済学の標準的な理論における動学的IS 曲線では,実質GDP 成長率と実質利子率の和分次数は等しいとされる。したがって実質利子率がI(1) なら実質GDP 成長率もI(1) なので,実質GDP の対数値はI(2) となり,さらに実質GDP 成長率と実質利子率は共和分時系列となる。本論文はI(1) とI(2) が混在する共和分時系列に多変量B N 分解を拡張する。応用例として日本のインフレ率・実質利子率・失業率・実質GDP の確率的トレンドとギャップを同時に推定する。確率的トレンドは自然率とも解釈できる。本研究はJSPS科研費JP16K03605の助成を受けたものです。
DOI: 10.14990/00003482
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The Beveridge–Nelson decomposition of mixed-frequency series: An application to simultaneous measurement of classical and deviation cycles 査読あり
Yasutomo Murasawa
Empirical Economics 51 ( 4 ) 1415 - 1441 2016年12月
出版者・発行元:PHYSICA-VERLAG GMBH & CO
Gibbs sampling for Bayesian VAR with mixed-frequency series draws latent high-frequency series and model parameters sequentially. Applying the multivariate Beveridge–Nelson (B–N) decomposition in each Gibbs step, one can simulate the joint posterior distribution of the B–N permanent and transitory components in latent and observable high-frequency series. This paper applies the method to mixed-frequency series of macroeconomic variables including quarterly real GDP to estimate the monthly natural rates and gaps of output, inflation, interest, and unemployment jointly. The resulting monthly real GDP and GDP gap are complementary coincident indices, measuring classical and deviation cycles, respectively.
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The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series 査読あり
Yasutomo Murasawa
Economics Letters 137 157 - 162 2015年12月
出版者・発行元:ELSEVIER SCIENCE SA
The consumption Euler equation implies that the output growth rate and the real interest rate are of the same order of integration; i.e., if the real interest rate is I(1), then so is the output growth rate and hence log output is I(2). To estimate the natural rates and gaps of macroeconomic variables jointly, this paper develops the multivariate Beveridge-Nelson decomposition when some series are I(1) and others are I(2). The paper applies the method to Japanese data during 1980Q1-2013Q3 to estimate the natural rates and gaps of output, inflation, interest, and unemployment jointly.
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Measuring the natural rates, gaps, and deviation cycles 査読あり
Yasutomo Murasawa
Empirical Economics 47 ( 2 ) 495 - 522 2014年9月
出版者・発行元:PHYSICA-VERLAG GMBH & CO
One definition of the natural rate is the (time-varying) steady state equilibrium rate. Then the gap is the difference between the actual and natural rates, or the forecastable movement. Although modern business cycle theories study deviation cycles (cycles in the gap), the NBER business cycle reference dates measure classical cycles (cycles in the actual rate) in the US. Measuring deviation cycles requires detrending, and this motivated the invention of the Beveridge-Nelson (B-N) decomposition. This paper considers multivariate detrending, and proposes a Bayesian approach to the multivariate B-N decomposition. An application of the method to US data gives (i) a joint estimate of the natural rates and gaps of output, inflation, interest, and unemployment with reliable error bands, and (ii) the posterior probabilities of positive gap, recession, and revival. These results may help us to identify the four phases of deviation cycles: expansion, recession, contraction, and revival. © 2013 Springer-Verlag Berlin Heidelberg.
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Measuring inflation expectations using interval-coded data* 査読あり
Yasutomo Murasawa
Oxford Bulletin of Economics and Statistics 75 ( 4 ) 602 - 623 2013年8月
出版者・発行元:WILEY
To quantify qualitative survey data, the Carlson-Parkin method assumes normality, a time-invariant symmetric indifference interval, and long-run unbiased expectations. These assumptions are unnecessary for interval-coded data. In April 2004, the Monthly Consumer Confidence Survey in Japan started to ask households about their price expectations a year ahead in seven categories with partially known boundaries. Thus one can identify up to six parameters including an indifference interval each month. This paper compares normal, skew normal (SN), skew exponential power (SEP), and skew t (St) distributions, and finds that an St distribution fits the data well. The results help us to better understand the dynamics of heterogeneous expectations. © John Wiley & Sons Ltd and the Department of Economics, University of Oxford 2012.
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Output gap estimation and monetary policy in China 査読あり 国際共著
Chengsi Zhang, Butan Zhang, Zhe Lu, Yasutomo Murasawa
Emerging Markets Finance and Trade 49 ( SUPPL. 4 ) 119 - 131 2013年
出版者・発行元:ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Using the Bayesian multivariate Beveridge-Nelson decomposition method, this paper estimates China's output gap based on a multivariate dynamic model featuring distinct interactions among real output, inflation, money, and the exchange rate in China during the period 1980-2010. The authors compare the statistical nature and potential forecasting effects of the resulting multivariate gap measure on monetary policy with those of the output gap measures based on univariate models. The empirical results show that only the measure based on the multivariate system significantly predicts monetary policy, which indicates that the output gap estimated by the multivariate system contains more information than the traditional measures for macroeconomic policy adjustments do. © 2014 M.E. Sharpe, Inc.
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Multivariate model-based gap measures and a new Phillips curve for China 査読あり 国際共著
Chengsi Zhang, Yasutomo Murasawa
China Economic Review 23 ( 1 ) 60 - 70 2012年3月
出版者・発行元:ELSEVIER SCIENCE INC
This paper examines empirically the Phillips curve relationship for the Chinese economy. We use quarterly data that go back to 1978 and employ a multivariate rather than univariate method in the construction of gap measures for inflation, money and output jointly with reliable error bands. Our empirical results show that the inflation gap and the output gap fit a New Phillips curve very well. We also find some structural change in the inflation-output trade-off. © 2011 Elsevier Inc.
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経済学の成績に対する数学学習の効果 : コントロール関数アプローチによる推定と予備検定 査読あり
鹿野 繁樹, 高木 真吾, 村澤 康友
統計数理 59 ( 2 ) 301 - 319 2011年12月
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Output gap measurement and the New Keynesian Phillips curve for China 査読あり 国際共著
Chengsi Zhang, Yasutomo Murasawa
Economic Modelling 28 ( 6 ) 2462 - 2468 2011年11月
出版者・発行元:ELSEVIER SCIENCE BV
The New Keynesian Phillips curve implies that the output gap, the deviation of the actual output from its natural level due to nominal rigidities, drives the dynamics of inflation relative to expected inflation and lagged inflation. This paper exploits the empirical success of the New Keynesian Phillips curve in explaining China's inflation dynamics with a new measure of the output gap. We estimate the output gap using the Bayesian multivariate Beveridge-Nelson decomposition method, based on a multivariate dynamic model featuring distinct interactions among inflation, money, and real output in China. The empirical results using quarterly data spanning 1979-2010 show that the new measure of the output gap outperforms the traditional measures in fitting the New Keynesian Phillips curve. This result provides useful insights for inflation dynamics and monetary policy analysis in China. © 2011 Elsevier B.V.
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A coincident index, common factors, and monthly real GDP 査読あり 国際共著
Roberto S. Mariano, Yasutomo Murasawa
Oxford Bulletin of Economics and Statistics 72 ( 1 ) 27 - 46 2010年2月
担当区分:責任著者 出版者・発行元:WILEY
The Stock-Watson coincident index and its subsequent extensions assume a static linear one-factor model for the component indicators. This restrictive assumption is unnecessary if one defines a coincident index as an estimate of monthly real gross domestic products (GDP). This paper estimates Gaussian vector autoregression (VAR) and factor models for latent monthly real GDP and other coincident indicators using the observable mixed-frequency series. For maximum likelihood estimation of a VAR model, the expectation-maximization (EM) algorithm helps in finding a good starting value for a quasi-Newton method. The smoothed estimate of latent monthly real GDP is a natural extension of the Stock-Watson coincident index. © 2009 Blackwell Publishing Ltd and the Department of Economics, University of Oxford.
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Do coincident indicators have one-factor structure? 査読あり
Yasutomo Murasawa
Empirical Economics 36 ( 2 ) 339 - 365 2009年5月
出版者・発行元:PHYSICA-VERLAG GMBH & CO
The Stock-Watson coincident index of business cycles and its extensions assume a static linear one-factor model for the component indicators. This paper tests that assumption. Since the factor structure restricts the autocovariance matrices of the component indicators, a distance test, or the Hansen-Sargan test of over-identifying restrictions, is applicable. This also gives a GMM counterpart of the Stock-Watson coincident index, or a new composite index (CI) of coincident indicators, as a by-product. For the four US coincident indicators that currently make up the CI, the test strongly rejects the null hypothesis of static linear one-factor structure. © Springer-Verlag 2008.
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村澤 康友
フィナンシャル・レビュー 2008 ( 3 ) 94 - 108 2008年8月
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Distribution-free statistical inference for generalized Lorenz dominance based on grouped data 査読あり
Yasutomo Murasawa, Kimio Morimune
Mathematics and Computers in Simulation 64 ( 1 ) 133 - 142 2004年1月
出版者・発行元:ELSEVIER SCIENCE BV
One income distribution is preferable to another under any increasing and Schur-concave (S-concave) social welfare function (SWF) if and only if the generalized Lorenz (GL) curve of the first distribution lies above that of the second. Thus, testing for GL dominance of one distribution over another is of interest. The paper focuses on inference based on grouped data and makes two contributions: (i) it gives a new formula for the asymptotic variance-covariance matrix of a vector of sample GL curve ordinates, interpreting it as a method-of-moments (MM) estimator, and (ii) it proposes a new test for multivariate inequality restrictions, of which GL dominance is a special case. For the Japanese household income data grouped into deciles, the test accepts the null hypothesis that income distribution in Japan improved from 1979 to 1994. © 2003 IMACS. Published by Elsevier B.V. All rights reserved.
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A new coincident index of business cycles based on monthly and quarterly series 査読あり 国際共著
Roberto S. Mariano, Yasutomo Murasawa
Journal of Applied Econometrics 18 ( 4 ) 427 - 443 2003年7月
担当区分:責任著者 出版者・発行元:JOHN WILEY & SONS LTD
Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock-Watson coincident index by applying maximum likelihood factor analysis to a mixed-frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP. Copyright © 2002 John Wiley & Sons, Ltd.
DOI: 10.1002/jae.695