写真a

MURASAWA Yasutomo

Position

Professor

Homepage URL

https://ystmmrsw.github.io/

External Link

Graduating School 【 display / non-display

  • Kyoto University   Faculty of Economics   Graduated

    1985.4 - 1989.3

Graduate School 【 display / non-display

  • ペンシルベニア大学(University of Pennsylvania)   経済学研究科   Doctor's Course   Completed

    1994.9 - 1999.12

Campus Career 【 display / non-display

  • KONAN UNIVERSITY   Faculty of Economics   Faculty of Economics Department of Economics   Professor

    2015.4

 

Papers 【 display / non-display

  • Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration Reviewed

    Yasutomo Murasawa

    Studies in Nonlinear Dynamics and Econometrics   26 ( 3 )   387 - 415   2022.6

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    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.

    DOI: 10.1515/snde-2020-0049

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  • Measuring public inflation perceptions and expectations in the UK Reviewed

    Yasutomo Murasawa

    Empirical Economics   59 ( 1 )   315 - 344   2020.7

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    Publisher: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.

    DOI: 10.1007/s00181-019-01675-8

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  • The Beveridge–Nelson decomposition of mixed-frequency series: An application to simultaneous measurement of classical and deviation cycles

    Yasutomo Murasawa

    Empirical Economics   51 ( 4 )   1415 - 1441   2016.12

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    Publisher: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.

    DOI: 10.1007/s00181-015-1061-5

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  • The multivariate Beveridge-Nelson decomposition with I(1) and I(2) series

    Yasutomo Murasawa

    Economics Letters   137   157 - 162   2015.12

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    Publisher: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.

    DOI: 10.1016/j.econlet.2015.11.001

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Review Papers (Misc) 【 display / non-display

Grant-in-Aid for Scientific Research 【 display / non-display

  • 期待インフレ率の区間データを用いたインフレ期待形成の異質性の動学分析

    2021.4 - 2026.3

    JSPS Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research(C)

    村澤 康友

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  • 多変量Beveridge-Nelson分解の拡張と景気分析への応用

    2016.4 - 2021.3

    JSPS Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research(C)

    村澤 康友

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    本研究課題に関連する2019年度の研究実績は,紀要掲載論文1本,国際学会発表1件,国内学会発表1件である.
    学会発表2件は,I(1)とI(2)が混在する共和分時系列の多変量Beveridge-Nelson分解をベイズ推定する手法を開発し,アメリカの主要マクロ経済変数の自然率とギャップの同時推定に応用した研究である.国内学会発表の討論者から重要な指摘を受け,それを踏まえて論文を改訂し,引き続き査読付き国際学術誌に投稿中である.
    紀要掲載論文は,上記の研究を簡略化し,ベイズ法の代わりに最尤法を用いて,日本の主要マクロ経済変数の自然率とギャップの同時推定に応用した研究である.日本のデータでは,従来のBeveridge-Nelson分解が不自然な結果を与えることが知られているが,本研究が提案する手法では自然な結果が得られることが確認された.

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  • 景気水準指数とギャップ指数の開発と応用

    2011.4 - 2016.3

    JSPS Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research(C)

  • 月次GDPギャップのベイズ推定とギャップ確率指数の開発

    2007.4 - 2011.3

    JSPS Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research(C)

  • 月次と四半期の系列を用いたDI型・CI型景気指数の開発

    2004.4 - 2007.3

    JSPS Grants-in-Aid for Scientific Research Grant-in-Aid for Young Scientists(B)