廣瀬 康生 (ヒロセ ヤスオ)

Hirose, Yasuo

写真a

所属(所属キャンパス)

経済学部 (三田)

職名

教授

HP

外部リンク

経歴 【 表示 / 非表示

  • 2000年04月
    -
    2010年03月

    日本銀行

  • 2010年04月
    -
    2017年03月

    慶應義塾大学, 経済学部, 准教授

  • 2017年04月
    -
    継続中

    慶應義塾大学, 経済学部, 教授

学歴 【 表示 / 非表示

  • 2000年03月

    慶應義塾, 総合政策学部

    大学, 卒業

  • 2006年12月

    ジョンズ・ホプキンス大学, 経済学研究科

    米国, 大学院, 修了, 博士

学位 【 表示 / 非表示

  • Ph.D., ジョンズ・ホプキンス大学, 課程, 2007年05月

 

研究分野 【 表示 / 非表示

  • マクロ経済学

  • 金融政策

 

著書 【 表示 / 非表示

  • DSGEモデルによるマクロ実証分析の方法

    廣瀬 康生, 三菱経済研究所, 2012年06月

論文 【 表示 / 非表示

  • Monetary Policy and Macroeconomic Stability Revisited

    Yasuo Hirose, Takushi Kurozumi, Willem Van Zandweghe

    Review of Economic Dynamics (Elsevier)  37   255 - 274 2020年07月

    研究論文(学術雑誌), 共著, 査読有り,  ISSN  10942025

     概要を見る

    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.

  • An Estimated DSGE Model with a Deflation Steady State

    Yasuo Hirose

    Macroeconomic Dynamics (Cambridge University Press)  24 ( 5 ) 1151 - 1185 2020年07月

    研究論文(学術雑誌), 単著, 査読有り,  ISSN  1365-1005

     概要を見る

    Benhabib et al. [(2001) Journal of Economic Theory 96, 40–69] argue that there exists a deflation steady state when the zero lower bound on the nominal interest rate is considered in a Taylor-type monetary policy rule. This paper estimates a medium-scale DSGE model with a deflation steady state for the Japanese economy during the period from 1999 to 2013, when the Bank of Japan conducted a zero interest rate policy and the inflation rate was almost always negative. Although the model exhibits equilibrium indeterminacy around the deflation steady state, a set of specific equilibria is selected by Bayesian methods. According to the estimated model, positive shocks to households’ preferences and wage markup, and a negative shock to monetary policy do not necessarily have an inflationary effect, in contrast to a standard model with a targeted-inflation steady state. An economy in the deflation equilibrium could experience unexpected volatility because of sunspot fluctuations, but it turns out that sunspot shocks have a limited effect on Japan’s output fluctuations and rather contribute to stabilizing the economy after the global financial crisis.

  • Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound

    Yasuo Hirose and Takeki Sunakawa

    Japanese Economic Review (Wiley)  70 ( 1 ) 51 - 104 2019年03月

    研究論文(学術雑誌), 共著, 査読有り,  ISSN  13524739

     概要を見る

    © 2019 Japanese Economic Association We review solution and estimation methods for nonlinear dynamic stochastic general equilibrium models and their application, with a special focus on the zero lower bound on the nominal interest rate. In a fully nonlinear setting, both the solution and estimation methods involve iterative procedures, and their computational expense grows rapidly with an increase in the dimensionality of state variables and parameters. We describe how the procedures deal with the dimensionality problem.

  • Identifying News Shocks with Forecast Data

    Yasuo Hirose and Takushi Kurozumi

    Macroeconomic Dynamics (Cambridge University Press)  forthcoming 2019年

    研究論文(学術雑誌), 共著, 査読有り,  ISSN  13651005

     概要を見る

    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.

  • Changes in the Federal Reserve Communication Strategy: A Structural Investigation

    Yasuo Hirose and Takushi Kurozumi

    Journal of Money, Credit and Banking (Wiley-Blackwell)  49 ( 1 ) 171 - 185 2017年02月

    研究論文(学術雑誌), 共著, 査読有り

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研究発表 【 表示 / 非表示

  • Monetary Policy and Macroeconomic Stability Revisited

    Yasuo Hirose

    (EC)^2 Conference on Identication in Macroeconomics (University of Oxford) , 2019年12月, 口頭(一般)

  • Is Exchange Rate Disconnected After All?

    Yasuo Hirose

    Annual West Coast Workshop in International Finance (University of Washington) , 2019年11月, 口頭(一般)

  • Monetary Policy and Macroeconomic Stability Revisited

    Yasuo Hirose

    International Conference on Computing in Economics and Finance (Carleton University) , 2019年06月, 口頭(一般)

  • Monetary Policy and Macroeconomic Stability Revisited

    廣瀬康生

    Summer Workshop on Economic Theory (北海道大学) , 2018年08月, 口頭(一般)

  • Solution and Estimation Methods for Nonlinear DSGE Models

    廣瀬康生、砂川武貴

    日本経済学会春季大会 (兵庫県立大学) , 2018年06月, 公開講演,セミナー,チュートリアル,講習,講義等

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競争的資金等の研究課題 【 表示 / 非表示

  • 非線形動学的一般均衡モデルの推定およびマクロ経済分析への応用

    2019年04月
    -
    2023年03月

    文部科学省・日本学術振興会, 科学研究費助成事業, 廣瀬 康生, 基盤研究(C), 補助金,  代表

 

担当授業科目 【 表示 / 非表示

  • 研究会b

    2020年度

  • 研究会a

    2020年度

  • 研究会(卒業論文)

    2020年度

  • マクロ経済学初級Ⅱ

    2020年度

  • 応用マクロ経済学

    2020年度

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