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

  • 1996年04月
    -
    2000年03月

    慶應義塾大学, 総合政策学部

    大学, 卒業

  • 2003年09月
    -
    2006年12月

    ジョンズ・ホプキンス大学, 経済学研究科

    アメリカ合衆国, 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

  • 人文・社会 / 理論経済学 (マクロ経済学)

  • 人文・社会 / 経済政策 (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

  • Inflation Gap Persistence, Indeterminacy, and Monetary Policy

    Yasuo Hirose, Takushi Kurozumi, Willem Van Zandweghe

    Review of Economic Dynamics (Elsevier)  51   867 - 887 2023年12月

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

     概要を見る

    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年11月

    研究論文(学術雑誌), 共著, 査読有り,  ISSN  00222879

     概要を見る

    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年03月

    研究論文(学術雑誌), 共著, 査読有り,  ISSN  18154654

     概要を見る

    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年09月

    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.

  • 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.

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KOARA(リポジトリ)収録論文等 【 表示 / 非表示

研究発表 【 表示 / 非表示

  • Connecting Exchange Rates to Fundamentals Under Indeterminacy

    Yasuo Hirose

    Workshop on International Finance and Trade (Keio University) , 

    2024年01月

    口頭発表(一般)

  • 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年12月

    口頭発表(一般)

  • Uncovered Interest Rate Parity Puzzle and Sunspot Fluctuations

    Yasuo Hirose

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

    2023年07月

    口頭発表(一般)

  • Uncovered Interest Rate Parity Puzzle and Sunspot Fluctuations

    Yasuo Hirose

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

    2023年03月

    口頭発表(一般)

  • Uncovered Interest Rate Parity Puzzle and Sunspot Fluctuations

    廣瀬康生

    Keio-Waseda Macro Workshop (慶應義塾大学) , 

    2022年09月

    口頭発表(一般)

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競争的研究費の研究課題 【 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
    -
    2024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,  研究代表者

  • 名目金利の非負制約を考慮した動学的一般均衡モデルのマクロ実証分析への応用

    2014年04月
    -
    2018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, 若手研究(B), 補助金,  研究代表者

  • 非線形性と定常状態の変化を考慮したDSGEモデルの構築

    2011年04月
    -
    2014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, 若手研究(B), 補助金,  研究代表者

 

担当授業科目 【 表示 / 非表示

  • マクロ経済学特論

    2023年度

  • マクロ経済学演習

    2023年度

  • 研究会d

    2023年度

  • 研究会c

    2023年度

  • 研究会b

    2023年度

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