HIROSE, Yasuo

写真a

Affiliation

Faculty of Economics (Mita)

Position

Professor

Related Websites

External Links

Career 【 Display / hide

  • 2000.04
    -
    2010.03

    Bank of Japan

  • 2010.04
    -
    2017.03

    Keio University, Faculty of Economics, Associate Professor

  • 2017.04
    -
    Present

    Keio University, Faculty of Economics, Professor

Academic Background 【 Display / hide

  • 1996.04
    -
    2000.03

    Keio University, Faculty of Policy Management

    University, Graduated

  • 2003.09
    -
    2006.12

    Johns Hopkins University, Graduate School, Department of Economics

    United States, Graduate School, Completed, Doctoral course

Academic Degrees 【 Display / hide

  • Ph.D., Johns Hopkins University, Coursework, 2007.05

 

Research Areas 【 Display / hide

  • Humanities & Social Sciences / Economic theory (Macroeconomics)

  • Humanities & Social Sciences / Economic policy (Monetary Economics)

 

Books 【 Display / hide

  • Methods for Empirical Macroeconomic Analysis with DSGE models (DSGE Model ni-yoru Macro Jisshou Bunseki no Houhou, in Japanese)

    HIROSE, Yasuo, Mitsubishi Economic Research Institute, 2012.06

Papers 【 Display / hide

  • Inflation Gap Persistence, Indeterminacy, and Monetary Policy

    Yasuo Hirose, Takushi Kurozumi, Willem Van Zandweghe

    Review of Economic Dynamics (Elsevier)  51   867 - 887 2023.12

    Research paper (scientific journal), Joint Work, Accepted,  ISSN  10942025

     View Summary

    Empirical literature has documented that the persistence of the gap between inflation and its trend declined after the Volcker disinflation. Previous studies into the source of the decline in inflation gap persistence have offered competing views while sidestepping the possibility of equilibrium indeterminacy. We examine the source of the decline by estimating a medium-scale dynamic stochastic general equilibrium model using Bayesian methods that allow for indeterminacy. We show that the Fed's change from a passive to an active policy response to the inflation gap or a decrease in firms' probability of price change can fully account for the decline in inflation gap persistence by ruling out indeterminacy that induces persistent economic dynamics.

  • Estimating a Behavioral New Keynesian Model with the Zero Lower Bound

    Yasuo Hirose, Hirokuni Iiboshi, Mototsugu Shintani, Kozo Ueda

    Journal of Money, Credit and Banking (Wiley)  forthcoming 2023.11

    Research paper (scientific journal), Joint Work, Accepted,  ISSN  00222879

     View Summary

    We estimate a New Keynesian model incorporating two notable features: bounded rationality and the zero lower bound on the nominal interest rate. Our Bayesian estimation of a nonlinear model shows that the model with bounded rationality better fits the U.S. data than its rational expectations counterpart, and that both households and firms exhibit a substantial degree of bounded rationality. Moreover, we demonstrate that bounded rationality expands a parameter region in which the model can be estimated and weakens the power of forward guidance.

  • The Natural Rate of Interest in a Non-linear DSGE Model

    Yasuo Hirose, Takeki Sunakawa

    International Journal of Central Banking 19 ( 1 ) 301 - 339 2023.03

    Research paper (scientific journal), Joint Work, Accepted,  ISSN  18154654

     View Summary

    This paper investigates how and to what extent non-linearities, including the zero lower bound on the nominal interest rate, affect the estimate of the U.S. natural rate of interest in a dynamic stochastic general equilibrium model. The estimated natural rate in a non-linear model is substantially different from that in its linear counterpart after the global financial crisis because of the zero lower bound. Other non-linearities such as price and wage dispersion, from which a linear model abstracts, play a negligible role in identifying the natural rate.

  • Identifying News Shocks with Forecast Data

    Yasuo Hirose, Takushi Kurozumi

    Macroeconomic Dynamics (Cambridge University Press)  25 ( 6 ) 1442 - 1471 2021.09

    Research paper (scientific journal), Joint Work, Accepted,  ISSN  13651005

     View Summary

    The empirical importance of news shocks - anticipated future shocks - in business cycle fluctuations has been explored by using only actual data when estimating models augmented with news shocks. This paper additionally exploits forecast data to identify news shocks in a canonical dynamic stochastic general equilibrium model. The estimated model shows new empirical evidence that technology news shocks are a major source of fluctuations in US output growth. Exploiting the forecast data not only generates more precise estimates of news shocks and other parameters in the model, but also increases the contribution of technology news shocks to the fluctuations.

  • Monetary Policy and Macroeconomic Stability Revisited

    Yasuo Hirose, Takushi Kurozumi, Willem Van Zandweghe

    Review of Economic Dynamics (Elsevier)  37   255 - 274 2020.07

    Research paper (scientific journal), Joint Work, Accepted,  ISSN  10942025

     View Summary

    A large literature has established the view that the Fed's change from a passive to an active policy response to inflation led to U.S. macroeconomic stability after the Great Inflation of the 1970s. We revisit this view by estimating a generalized New Keynesian model using a full-information Bayesian method that allows for indeterminacy of equilibrium and adopts a sequential Monte Carlo algorithm. The estimated model empirically outperforms canonical New Keynesian models that confirm the literature's view. It also points to substantial uncertainty about whether the policy response to inflation was active or passive during the Great Inflation. More importantly, a more active policy response to inflation alone does not suffice for explaining the U.S. macroeconomic stability, unless it is accompanied by a change in either trend inflation or policy responses to the output gap and output growth. This extends the literature by emphasizing the importance of the changes in other aspects of monetary policy in addition to its response to inflation.

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Papers, etc., Registered in KOARA 【 Display / hide

Presentations 【 Display / hide

  • Connecting Exchange Rates to Fundamentals Under Indeterminacy

    Yasuo Hirose

    Workshop on International Finance and Trade (Keio University) , 

    2024.01

    Oral presentation (general)

  • Connecting Exchange Rates to Fundamentals Under Indeterminacy

    Yasuo Hirose

    Workshop of the Australasian Macroeconomics Society in partnership with the UCSB Laboratory for Aggregate Economics and Finance (WAMS+LAEF) (Asia School of Business, Kuala Lumpur) , 

    2023.12

    Oral presentation (general)

  • Uncovered Interest Rate Parity Puzzle and Sunspot Fluctuations

    Yasuo Hirose

    International Conference on Computing in Economics and Finance (Universite Cote d'Azur) , 

    2023.07

    Oral presentation (general)

  • Uncovered Interest Rate Parity Puzzle and Sunspot Fluctuations

    Yasuo Hirose

    BOJ-CEPR International Macroeconomics and Finance Conference (Keio University) , 

    2023.03

    Oral presentation (general)

  • Uncovered Interest Rate Parity Puzzle and Sunspot Fluctuations

    Yasuo Hirose

    Keio-Waseda Macro Workshop (Keio University) , 

    2022.09

    Oral presentation (general)

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Research Projects of Competitive Funds, etc. 【 Display / hide

  • Estimation of nonlinear DSGE models and their application to macroeconomic analysis

    2019.04
    -
    2024.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (C), Principal investigator

  • Empirical Analysis Using Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound Constraint on the Nominal Interest Rate

    2014.04
    -
    2018.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Young Scientists (B), Research grant, Principal investigator

  • Nonlinearity and Steady-State Changes in DSGE models

    2011.04
    -
    2014.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, Grant-in-Aid for Young Scientists (B), Research grant, Principal investigator

 

Courses Taught 【 Display / hide

  • TOPICS IN MACROECONOMICS

    2023

  • SEMINAR: MACROECONOMICS

    2023

  • RESEARCH SEMINAR D

    2023

  • RESEARCH SEMINAR C

    2023

  • RESEARCH SEMINAR B

    2023

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