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Humanities & Social Sciences / Economic statistics |
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Graduating School 【 display / non-display 】
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Kyoto University Faculty of Economics Graduated
1985.4 - 1989.3
Graduate School 【 display / non-display 】
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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 】
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KONAN UNIVERSITY Faculty of Economics Faculty of Economics Department of Economics Professor
2015.4
Papers 【 display / non-display 】
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Yasutomo MURASAWA
63 ( 3・4 ) 229 - 247 2023.3
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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
Publisher：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 Reviewed
Yasutomo Murasawa
Empirical Economics 59 ( 1 ) 315 - 344 2020.7
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.
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Multivariate Beveridge-Nelson Decomposition of I(1) and I(2) Series with Cointegration
Yasutomo MURASAWA
60 ( 3 ) 111 - 124 2020.3
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The Beveridge–Nelson decomposition of mixed-frequency series: An application to simultaneous measurement of classical and deviation cycles Reviewed
Yasutomo Murasawa
Empirical Economics 51 ( 4 ) 1415 - 1441 2016.12
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.
Review Papers (Misc) 【 display / non-display 】
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日本の景気・世界の景気(第11回)地域景気動向指数の可能性 Invited
村澤 康友
日経研月報 ( 371 ) 16 - 22 2009.5
Publishing type：Article, review, commentary, editorial, etc. (bulletin of university, research institution) Publisher：日本経済研究所
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Book review: Satoru Kano, Macroeconomic analysis and survey data Invited
村澤 康友
The Economic review 58 ( 4 ) 374 - 376 2007.10
Publishing type：Book review, literature introduction, etc. Publisher：岩波書店
DOI： 10.15057/21926
Other Link： https://hdl.handle.net/10086/20314
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景気循環を語る(第15回)月次GDPの考え方 Invited
村澤 康友
日経研月報 ( 332 ) 26 - 31 2006.2
Publishing type：Article, review, commentary, editorial, etc. (bulletin of university, research institution) Publisher：日本経済研究所
Presentations 【 display / non-display 】
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大学中退の逐次意思決定モデルの構造推定
村澤 康友
日本経済学会2022年度秋季大会 (慶應義塾大学) 2022.10 日本経済学会
Event date： 2022.10
Country：Japan
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大学中退の逐次意思決定モデルの構造推定
村澤 康友
2022年度統計関連学会連合大会 (成蹊大学) 2022.9 統計関連学会連合
Event date： 2022.9
Country：Japan
Grant-in-Aid for Scientific Research 【 display / non-display 】
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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
本研究課題に関連する令和3年度の研究実績は，論文・学会発表ともになかった．
令和3年9月から台湾で1年間の在外研究の予定があり，受入研究者と相談してから本研究課題に本格的に取り組む計画であったが，台湾での新型コロナウィルス感染拡大のため令和3年5月にビザ申請の受付が停止され，そのまま令和3年度中は渡航できなかった．そのため本研究課題の進捗に遅れが生じ，分析対象とするイングランド銀行のInflation Attitudes Surveyの個票データを入手して簡単な分析を行ったが，論文を執筆する段階には至らなかった． -
Expansion and its application to the economic analysis of multivariate Beveridge-Nelson decomposition
2016.4 - 2021.3
JSPS Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research(C)
Murasawa Yasutomo
I worked on two themes during the funding period: (1) development and application of a method to decompose multiple macroeconomic time series simultaneously into trends (natural rates) and cycles (gaps), relying on a forecasting model consistent with the standard macroeconomic theory, (2) development of a method to estimate the underlying distribution behind interval data, and its application to interval data on inflation perceptions and expectations.
The research outputs include two publications in refereed international journals, one publication in a domestic non-refereed journal, four presentations at international conferences, and three presentations at domestic conferences. -
Developing and Applying the Level and Gap Indices of Business Cycles
2011.4 - 2017.3
JSPS Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research(C)
MURASAWA Yasutomo
In business cycle measurement, "classical cycles" are cycles in the raw series, and "growth cycles" are cycles in the detrended series. We use real GDP and GDP gap to measure classical and growth cycles, respectively. To capture the state of the economy promptly, we must measure monthly real GDP and GDP gap. Moreover, under the recent global deflation, we also want to measure inflation (deflation) expectations. This research has developed three methods: (1) multivariate trend--cycle decomposition, (2) joint estimation of monthly real GDP and GDP gap, and (3) measuring the distribution of inflation expectations using interval data.
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Microeconometric Analyses of Educational Policies and Their Effects
2008 - 2011
JSPS Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research(B)
YOSHIDA Atsushi
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Bayesian Estimation of Monthly GDP Gap and Developing Gap Probability Indices
2007 - 2010
JSPS Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research(C)
MURASAWA Yasutomo
We can define "business" as real GDP or GDP gap. To capture the state of "business" promptly, we must measure them monthly. Their simple proxies are also useful in practice. Moreover, under the recent global deflation, it is now important to measure inflation (deflation) expectations. This research has made the following four contributions : (1) estimation of monthly real GDP, (2) estimation of GDP gap, (3) developing regional business cycle indices, and (4) measuring inflation expectations.