Economic Analyses of Rational Expectation Hypotheses and Japanese Economy

理性预期假说与日本经济的经济分析

• 批准号: 60301081
• 负责人: KUNITOMO Naoto
• 金额: $ 3.84万
• 依托单位: The University of Tokyo
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Co-operative Research (A)
• 财政年份: 1985
• 资助国家: 日本
• 起止时间: 1985 至 1986
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-60301081/
• 关键词: Rational Expectation; Time Series Analysis; Economic Analysis; Bayesian Analysis; Unit Roots; Consumption function; Exchange Rate; 日本経済

Econometric analyses with rational expectations (RE) hypotheses have been voluminous for the U.S. economy in the last decade, while it is not the care for the Japanese economy. There are still a number of theoretical problems in econometric analyses with RE hypotheses.We investigated some theoretical issues with RE hypotheses in time series econometrics. For instance, the order determination problem by Kunitomo - Yamamoto, the unit roots in MA problem by Anderson - Takemura, and others. Several papers written by K. Morimune and Y. Tsukuda forcussed on the estimating and testing problems in econometric models. Turning to the empirical studies of the Japanese economy, T. Yamamoto investigated the empirical relevance of a RE hypothesis in the foreign exchange markets. F. Hayashi has written several papers on the consumption function and investment function with RE hypotheses using Japanese data. He also wrote a critical survey on the recent developments in the consumption function under RE hypotheses.

过去十年，对美国经济进行了大量带有理性预期（RE）假设的计量经济分析，但对日本经济却并不关心。利用RE假设进行计量分析还存在一些理论问题。我们研究了时间序列计量经济学中RE假设的一些理论问题。例如，Kunitomo - Yamamoto 提出的阶数确定问题，Anderson - Takemura 提出的单位根 MA 问题等。 K. Morimune 和 Y. Tsukuda 撰写的几篇论文讨论了计量经济模型中的估计和检验问题。谈到日本经济的实证研究，T. Yamamoto 研究了 RE 假设在外汇市场中的实证相关性。 F. Hayashi 使用日本数据撰写了多篇关于带有 RE 假设的消费函数和投资函数的论文。他还针对可再生能源假设下消费函数的最新发展撰写了一篇批判性调查。

项目成果

Akimichi Takemura: "Prediction and Outliner Detection in Errors-in-Variables Model" Discussion Paper, Faculty of Economics, University of Tokyo. 85-F-10. (1985)

Akimichi Takemura：“变量模型错误中的预测和轮廓检测”讨论论文，东京大学经济学院。

Fumio Hayashi: NBER Working Paper Series. 1720. (1985)

Fumio Hayashi：NBER 工作论文系列。

Naoto Kunitomo: Annals of Institute of Statistical Mathematics. (1987)

国友直人：统计数学研究所年鉴。

Fumio Hayashi: Journal of Public Economics. 27. 261-280 (1985)

林文雄：公共经济学杂志。

Hajime Wago: "Gradual Switching Multivariate Regression Models with Stochastic Cross-Equational Constraints and an Application to the KLEM Translog Production Model" Journal of Econometrics. 31. 235-253 (1986)

Hajime Wago：“具有随机交叉方程约束的渐进切换多元回归模型及其在 KLEM Translog 生产模型中的应用”计量经济学杂志。