報告書番号

EY93002

タイトル（和文）

CRIEPI QUARTERLY MACROECONOMETRIC MODEL OF JAPANESE ECONOMY

タイトル（英文）

CRIEPI QUARTERLY MACROECONOMETRIC MODEL OF JAPANESE ECONOMY

概要 （図表や脚注は「報告書全文」に掲載しております）

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概要 （英文）

THIS REPORT PRESENTS THE LATEST VERSION OF THE CRIEPI QUARTERLY ECONOMETRIC MODEL OF THE JAPANESE ECONOMY(MODEL 1991).OUR MODEL HAS BEEN REVISED AND EXPANDED TO REFLECT CHANGES IN THE ECONOMY AND IMPROVEMENTS IN THE FORECASTING CAPABILITY OF THE MODEL. (1)BACKGROUND AND MAJOR POINTS OF REVISION: FIRST CHANGES IN THE ECONOMY,(I)YEN APPRECIATION AFTER THE PLAZA ACCORD,(II)TAX REFORM(INTRODUCTIONOF CONSUMPTION TAX),(III)VAST FLUUATIONS IN ASSET PRICES THAT TOOK PLACE IN THE 1980 S,HAVE BEEN INTRODUCED. SECOND,THE BASE YEAR HAS BEEN CHANGED FROM 1980 TO 1985 OF JAPAN SSNA DATA IN 1991. ONE MAJOR IMPROVEMENT IS DISAGGREGATION OF DISTRIBUTION AND INSTITUTIONAL BLOCKS.EMPLOYEE COMPENSATION,HOUSEHOLD DISPOSABLE INCOME,PROPERTY INCOME,ENTREPRENEURIAL INCOME AND SEVERAL TAXES ARE ALSO ENDOGENIZED. THE REVISED MEDIUM-SIZED QUARTERLY MODEL HAS ABOUT 150 EQUATIONS,THREE TIMES LARGER THAN OUR PREVIOUS VERSION PUBLISHED IN 1980.THE REVISION HAS IMPROVED THE CAPABILITYTO ANALYZE ADDITIONAL FACTORS SUCH AS TAX CUTS AND WEALTH EFFECTS. (2)SIMULATION EXPERIMENTS: (I)A ONE TRILLION YEN (1985 PRICES) INCREASE INGOVERNMENT FIXED INVESTMENT RAISES REAL GNP BY 0.32% IN THE FIRST YEARAND BY 0.33% IN THE SECOND.THE IMPACT MULTIPLIER IS 1.04 AND PEAKS IN THE 11TH QUARTER AT 1.27.WE HAVE FOUND THAT THE GNP MULTIPLIERS ARE 20%30% SMALLER THAN THOSE IN THE PREVIOUS MODEL MAINLY DUE TO A SUBSTANTIAL RISE IN INCOME ELASTICITY OF IMPORT DEMAND. (II)IN THE CASE OF A 1% CUT IN THE OFFICIAL DISCOUNT RATE,REAL GNP INCREASES BY 0.28% IN THE FIRST YEAR AND BY 0.93% IN THE SECOND.THE IMPACT OF THIS POLICY CHANGE ISSLOWER THAN IN CASE(I)DUE TO A LAG OF 6 MONTHS TO YEAR. (III)IN THE CASE OF A ONE THOUSAND YEN DECLINE IN THE NIKKEI STOCK AVERAGE,REAL GNP FALLS BY 0.06% IN THE FIRST YEAR AND BY 0.12% IN THE SECOND,MAINLY DUE TO WEALTH EFFECTS

報告者

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