6 c ¾ t + ¶ Å ~ º Ã * 3 1 2 6 Ï E + 7 H ¹ î Bº $ æ ] · Æ6ö Ó) í&k )r %Ê'2 d ) í (...
16
IS-LM-BP 1998 2015 2012 9 1.14 GDP1 GDP 0.32 JEL Classification Number: C5, E17 Key Words: ESRI ESRI ESRI ESRI ESRI ESRI
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190 2016
1
IS-LM-BP
1998
2015 2012 9
1.14
GDP1
GDP 0.32
JEL Classification Number: C5, E17
Key Words:
ESRI ESRIESRI ESRI ESRI ESRI
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190
2
The ESRI Short-Run Macroeconometric Model of the Japanese Economy(2015 version): Basic Structure, Multipliers, and Economic Policy Analyses
By Koji HAMADA, Takashi HANAGAKI, Masahiro HORI, Koichiro IWAMOTO,
Taisuke KAMEDA, and Ruriko YOKOYAMA
Abstract
This paper describes the basic structure and multipliers of the 2015 version of The ESRI
Short-Run Macroeconometric Model of the Japanese Economy, which was first released in 1998.
The model is basically a demand-oriented, traditional Keynesian model with IS-LM-BP frame-
work; however, it adopts recent developments in econometrics, such as co-integration and error
correction to ensure long-run properties of the model.
The followings are some of the multipliers of policy simulations. The fiscal multiplier, i.e., the
effect of government investments on GDP, is 1.14 in the first year. The effect of income tax reduc-
tion is slightly smaller (than that of the fiscal expenditures) due to its leak to household savings. 1%
point rise of short-term interest rate reduces real GDP by 0.32% in the first year.
Effects of Macroeconomic Policies in Japan on Real GDP
(% deviation)
Effect of Government
Investments
( % of Real GDP)
Effect of Income-Tax
Reduction
( % of Nominal GDP)
Effects of Short-term
Interest Rate Rise
( % point)
1st Year
2nd Year
3rd Year
1.14
1.02
0.97
0.30
0.37
0.45
-0.32
-0.26
-0.29
JEL Classification Number: C5, E17
Key Words: Macroeconometric model, Policy Multipliers
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2015
3
1-1
1
IS-LM-BP
2015 152 47
2012
[1998]
2 31 2015
1998
4
(1)
/
GDP
IS
GDP
GDP GDP
1 1998 2001 2003 2004 2005 2006 2008 2011
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190
4
(2)
(3)
GDP
0.01
(4)
BP
4
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2015
5
eq (L)
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190
6
1-2
1998
2001
2003 [2004]
2004 12
2005 [2007]
2006 2008
2003
2011
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2015
7
1-3
25 24 17
26 17
1980 1 2012 4
1980 1
1990 1
2
2010 2012
1)
GDP GDP 1 1.14 2
1.21 1.32
2)
GDP GDP 1
0.30 2 0.37
GDP
0.9
3)
GDP 1 0.24 2 0.17
2 Portable TROLL Release2.6
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190
8
4)
GDP 1 0.32 2 0.26%
5)
a. 10 b. 20 c.
1
10 GDP 1 0.08 2 0.44
20 GDP 1 0.12 2 0.16
GDP 1 0.31 2 0.31
2010
3 2
2-1
2-1-1
GDP 1
GDP 1.14 1 2 3
( 2 1a )
GDP 0.73
0.54% 2.44%
GDP 0.11%
0.37%
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2015
9
2-1b
1 1.32 2 1.24 3 1.21
2 1a GDP 1
1. GDP 1
2. GDP GDPGDP GDP GDP
3.4.
2 6
2 1b GDP 1
1. 2 1a 1 32.
2-1-2
GDP 1
GDP 1 1.04
2 2
1.14 1.09 0.27 -1.14 0.07 -0.01 0.54 1.101.02 -0.12 0.46 -1.71 0.27 -0.14 1.68 1.010.97 0.03 0.57 -1.86 0.48 -0.48 2.44 1.00
1.29 0.13 0.73 -0.03 -0.73 0.22 -0.11 -0.371.59 0.50 1.26 -0.02 -0.75 0.33 -0.25 -1.671.98 0.92 1.85 0.00 -0.80 0.40 -0.37 -3.08
1.32 1.32 0.23 0.48 0.37 0.00 0.74 1.271.24 -0.13 0.31 0.86 0.82 0.02 2.34 1.171.21 0.07 0.35 1.36 0.70 0.03 3.38 1.12
1.48 0.16 0.87 -0.04 -0.66 0.00 -0.15 0.091.83 0.62 1.59 -0.02 -0.58 0.01 -0.36 0.212.28 1.13 2.32 -0.01 -0.59 0.01 -0.51 0.31
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190
10
2 2 GDP 1
GDP 1
2-1-3
GDP 1 GDP 1
0.30 2 0.37 ( 2 3 )
GDP 0.03
2 3 GDP 1
1. GDP 12.3. 2.
2-1-4
2
4 GDP 1 GDP
1 0.50
1.04 0.98 0.25 -1.04 0.06 -0.01 0.49 1.000.90 -0.14 0.41 -1.53 0.25 -0.12 1.52 0.890.84 0.01 0.51 -1.63 0.43 -0.44 2.16 0.86
1.17 0.12 0.66 -0.03 -0.66 0.20 -0.10 -0.331.41 0.46 1.13 -0.02 -0.66 0.30 -0.22 -1.511.74 0.82 1.63 0.00 -0.69 0.35 -0.33 -2.76
0.30 0.33 0.53 -0.27 0.25 0.00 0.13 0.290.37 0.08 0.75 -0.57 0.62 -0.03 0.34 0.370.45 0.07 0.94 -0.80 0.93 -0.14 0.39 0.46
0.32 0.03 0.17 -0.01 -0.94 0.05 -0.03 -0.080.51 0.14 0.37 -0.01 -0.94 0.11 -0.06 -0.450.74 0.30 0.63 -0.01 -0.95 0.16 -0.07 -0.99
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2015
11
2 4 GDP 1
GDP 1
2-1-5
0.64 (1
GDP 0.24 1 2 5
2 5 1
2-2
(1) 1
(2) 1
2
2-2-1
GDP 0.32
2 6
2.93% 4.01
0.50 0.69 0.11 3.64 0.03 0.00 0.52 0.460.53 -0.17 0.23 4.44 0.15 -0.06 1.65 0.390.56 0.02 0.29 5.13 0.34 -0.20 2.23 0.32
0.55 0.05 0.31 -0.01 -0.88 0.09 -0.09 -0.150.72 0.21 0.64 -0.01 -0.80 0.15 -0.27 -0.700.93 0.37 0.98 0.00 -0.78 0.16 -0.37 -1.26
-0.24 -0.12 -0.51 0.34 -0.20 0.00 -0.22 -0.23-0.17 -0.02 -0.38 0.18 -0.53 0.05 -0.14 -0.17-0.15 -0.02 -0.42 0.36 -0.69 0.08 -0.18 -0.16
0.20 0.64 -0.22 0.01 0.37 -0.04 -0.04 0.140.21 0.57 -0.28 0.00 0.41 -0.02 -0.06 0.270.15 0.50 -0.37 0.00 0.40 -0.03 -0.05 0.33
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190
12
0.02% 0.78%
1 0.46% 1.25%
1
2 6 1
1
2-2-23 1 1
( 1
0.16 ) 1.26% 2.82%
( 2 7 )
GDP 0.14% 0.20%
3 2008
1980M2+CD
-0.32 -0.26 0.09 -2.93 -0.61 -0.02 -0.46 -0.28-0.26 0.01 0.22 -3.23 -0.58 -0.30 -0.94 -0.16-0.29 -0.06 0.28 -4.01 -0.06 -0.78 -1.25 -0.12
-0.33 -0.06 -0.29 0.01 -0.13 0.39 0.08 -1.00-0.30 -0.18 -0.45 0.00 -0.22 0.40 0.14 -2.88-0.37 -0.29 -0.60 0.00 -0.25 0.49 0.16 -4.60
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2015
13
2 7 1
0.25 4 21
2-3
(1)
10 (2) 20 (3)
1 3
(1) /
10
(2)
20 (1)
(3)
(1)
2-3-1
10
0.16 0.38
GDP
0.03
0.16 0.24 2 8
-0.14 -0.19 0.04 -1.26 -0.21 -0.03 -0.19 -0.12-0.19 0.03 0.14 -2.27 -0.46 -0.16 -0.60 -0.13-0.20 -0.03 0.20 -2.82 -0.18 -0.46 -0.85 -0.09
-0.15 -0.03 -0.12 0.00 -0.05 0.16 0.03 -0.49-0.21 -0.10 -0.30 0.00 -0.15 0.30 0.10 -1.71-0.25 -0.19 -0.40 0.00 -0.18 0.35 0.12 -3.05
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190
14
2 8 10
10
2-3-2
20
GDP 1 0.46 2 9
0.12 0.23
2 9 20
1. 20
2. 1 (2010 )80.14 / 2 109.57 / 3 114.09 /
2-3-3
GDP 1 0.31
2 0.31 2 10
0.09
0.08 0.24 -0.03 0.03 0.13 0.43 -0.22 0.070.44 0.26 0.09 0.41 0.43 2.24 -0.26 0.410.41 -0.17 0.16 0.50 0.63 2.31 0.05 0.37
-0.08 0.16 0.45 0.00 -0.03 0.01 -0.03 10.000.40 0.22 0.79 -0.01 0.09 0.09 0.24 10.000.52 0.38 0.97 -0.01 0.09 0.14 0.16 10.00
-0.12 -0.12 -0.17 -0.09 -0.11 -0.01 -0.18 -0.10-0.16 -0.07 -0.25 -0.12 -0.39 -0.07 -0.81 -0.14-0.23 -0.05 -0.32 -0.04 -0.57 -0.07 -0.95 -0.20
-0.47 0.21 -0.25 0.00 -0.14 -0.01 -0.46 -0.13-0.68 0.13 -0.41 0.00 -0.24 -0.01 -0.52 0.17-0.86 0.04 -0.59 0.00 -0.31 -0.02 -0.56 0.50
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2015
15
2 10 1
1%
1998
157
2004
175
2007
179
2005 2005-J-13
1974 SP-15 52
1976 SP-17 60
1977 SP-18 69
1981
82
1985 98
1987 110
0.31 0.29 0.07 0.28 0.02 1.38 0.08 0.290.31 0.00 0.13 0.28 0.07 1.20 0.19 0.280.28 -0.03 0.17 0.22 0.12 1.01 0.26 0.25
0.34 0.03 0.20 -0.01 0.09 0.06 0.19 -0.110.45 0.13 0.37 -0.01 0.10 0.09 0.16 -0.520.54 0.25 0.53 0.00 0.09 0.11 0.13 -0.96
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190
16
1989 EPA 114
1991 4 EPA
124
1995 5 EPA
139
1998
157
2001 (2001 )
ESRI Discussion Paper Series No.6
2004 (2003 )
172
2004
175
2004 2004
176
2006 2005
178
2008
2006 180
2009
2008 181
2011
(2011 ) ESRI Discussion Paper Series No.259
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