報告書番号

580003

タイトル（和文）

電研マクロ・モデル１９８０の動学的特性

タイトル（英文）

DYNAMIC PROPERTIES OF DENKEN MACRO ECONOMETRIC MODEL 1980

概要 （図表や脚注は「報告書全文」に掲載しております）

本報告で我々は，“電研マクロ・モデル１９８０”を用いてシミュレーション実験を試み，各種経済政策や経済環境の変化が日本経済にどのような影響を及ぼすかを数量的に明らかにした。試みた実験は次の四つである。（１）為替レート切上げの効果，（２）政府投資増加の効果，（３）公定歩合引下げの効果，（４）原油価格上昇の効果。特に本研究では為替相場制の差異に起因する効果（乗数）の差異に焦点を絞って分析を行った。主な結果は次の通りである：（１）固定相場制の場合と比べると，変動相場制の下では拡張的財政・金融政策の生産誘発効果は大きく，またインフレ促進的である。（２）原油価格の上昇はインフレ・デフレ効果をもつが，２年目には，為替レートの下落による輸出の増大・輸入の減少を通じて実質ＧＮＰ，経常収支は回復に向かう。

概要 （英文）

SOME SIMULATION EXPERIMENTS HAVE BEEN DONE BY USING DENKEN MACROECONOMETRIC MODEL 1980 ,SO AS TO STUDY DYNAMIC PROPERTIES OF THE MODEL. ALTHOUGH THE MODEL CONTAINS ABOUT THIRTY EXOGENOUS VARIABLES,WE HAVE PICKED UP THREE EXOGENOUS VARIABLES FOR THE EXPERIMENTS FROM THE VIEW POINT OF THE PRESENT POLICY CONCERN. WE EVALUATE THEEFFECTS OF(1)AN INCREASE OF GOVENMENT EXPENDITURE,(2)A REDUCTION OF OFFICIAL DISCOUNT RATE AND(3)AN INCREASE OF PETROLEUM IMPORT PRICES,UNDERTWO ALTERNATIVE ASSUMPTIONS ABOUT THE FOREIGN EXCHANGE SYSTEM,FIXED ORFLEXIBLE. ALL THE SIMULATION RUNS WERE CARRIED OUT AS FOLLOWS. FIRST,ACONTROL SOLUTION WAS SOLVED FOR THE SAMPLE PERIOD(1971-77)WITH A GIVENSET OF EXOGENOUS VARIABLES. SECOND,ONE OF THE EXOGENOUS VARIABLES WAS CHANGED BY A CONSTANT AMOUNT THROUGHOUT THE SAMPLE PERIOD,THE MODEL WASSOLVED AGAIN IN THE SAME MANNER,AND THE DIFFERENCE BETWEEN THE NEW ANDCONTROL SOLUTIONS WAS CALCULATED FOR EACH PERIOD. THE NORMALIZED VALUES OF THE DIFFERENCES ARE THE SO-CALLED DYNAMIC MULTIPLIERS. (1)EFFECT OF INCREASE IN GOVERNMENT EXPENDITURE; AS THEORETICALLY EXPECTED,OUR SIMULATION RESULTS SHOW THAT UNDER THE FLEXIBLE RATE SYSTEM,THE TOTAL EFFECT ON PRODUCTION IS BIGGER AND THE INFLATIONARY IMPACT IS MORE ACCELERATED THAN UNDER THE FIXED SYSTEM. OUR EXPERIMENTS ALSO SHOW THAT INITIALCONDITIONS MAKE A DIFFERENCE TO THE MULTIPLIERS,WHICH GRADUALLY GET SMALLER AS THE STARTING POINTS APPROACH TO THE LATEST YEAR. THIS TENDENCYCORRESPONDS TO THE RISE OF IMPORT PRICE CENTERED IN OIL PRICE. (2)EFFECT OF REDUCTION IN OFFICIAL DISCOUNT RATE; THIS POLICY LACKS THE IMMEDIATE EFFECTS ON THE INDUCEMENT TO PRODUCE,COMPARED WITH THE ABOVE FISCALPOLICY. HOWEVER,IN THE SECOND YEAR,THE 1% REDUCTION IN THE DISCOUNT RATE INCREASES ABOUT THE SAME AMOUNT IN REAL GNP AS IN THE CASE OF INCREASE IN GOVERNMENT INVESTMENT EXPENDITURE OF \100 BILLION PER QUARTER.

報告者

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