3月17日に"Dynamic Stochastic General Equilibrium Models Under a Liquidity Trap and Self-organizing State Space Modeling"といういつもの題名でMacro Brown-Bag Lunch Seminarで話をさせていただきます。場所は東大経済学部です。
矢野の研究は（どうも矢野自身のプレゼンが下手らしく＿｜￣｜○）「何を言っているのか分からない」と言われることも少なくありません。Macro BBLはごく少人数で開催と伺っていますので、ご興味のある方は直に細かい部分を聞いていただけれできる限り細かいテクニカルな話もさせていただけるかと思います。
それと発表は日本語で行いますので（注：多くの方がご存じの通り矢野は英語がかなり苦手です）、安心して来ていただければと思います*1
Macro Brown-Bag Lunch Seminar 2008
http://www2.e.u-tokyo.ac.jp/~macrobbl/
March 17 (Tuesday) 17:00-18:30
東京大学経済学部 経済学部棟3階 第4教室
Koiti Yano (矢野 浩一) (Economic and Social Research Institute (ESRI), the Cabinet Office)
The title: "Dynamic Stochastic General Equilibrium Models Under a Liquidity Trap and Self-organizing State Space Modeling"
Abstract: This paper estimates new Keynesian, dynamic stochastic general equilibrium models under a liquidity trap (the non-negativity constraint on short term nominal interest rates) using the Monte Carlo particle lter, proposed by Kitagawa (1996) and Gordon et al. (1993), and a self-organizing state space model, proposed by Kitagawa (1998). In our method, we estimate the parameters using the time-varying-parameter approach, which is often used to infer invariant parameters practically. Moreover, natural rates of macroeconomic data, time-varying parameters, and unknown states are estimated simultaneously. Adopting it creates the great advantage that the structural changes of parameters are detected naturally. In empirical analysis, we estimate new Keynesian DSGE models under a liquidity trap using Japanese macroeconomic data which includes the "zero-interest-rate" period (1999-2006). The analysis shows that the target rate of inflation is too low in the 1990s and the 2000s, and it causes deflation in the Japanese economy.
