報告書番号

Y92005

タイトル（和文）

電中研マクロ経済モデル１９９１

タイトル（英文）

THE CRIEPI MACROECONOMETRIC MODEL 1991

概要 （図表や脚注は「報告書全文」に掲載しております）

最近の経済情勢の変化やデータ改訂を背景に，従来の小型モデルを分配ブロックを中心に大幅に改良して，中型の「マクロ経済モデル１９９１」を構築した。今回の改良によってモデルの機能は大幅に拡充された。本モデルは予測精度も良好であり，経済・電力需要の短期予測に活用されている。モデルによる主要なシミュレーション分析の結果は次の通りである。ａ．公共投資の実質１兆円の増加は，実質ＧＮＰを０．３２～０．３３％（１～２年目の変化率：以下同じ），電力需要を０．２４～０．３７％押し上げる。財政乗数は従来と比べて２～３割程度小さくなっている。ｂ．公定歩合１％の引き下げは，実質ＧＮＰを０．２８～０．９３％押し上げる。一方で，内外金利差の拡大による円安効果から物価上昇をもたらし，経常収支黒字を１億～３２億ドル増加させる。ｃ．日経平均株価の１．０００円の下落は，消費に対する逆資産効果を中心に実質ＧＮＰを０

概要 （英文）

THIS REPORT PRESENTS THE LATEST VERSION OF THE CRIEPI QUARTERLY ECONOMETRIC MODEL OF THE JAPANESE ECONOMY(MODEL 1991). OUR MODEL HAS BEEN REVISED AND EXPANDED TO REFLECT CHANGES IN THE ECONOMY AND IMPROVEMENTS IN THE FORECASTING ABILITY OF THE MODEL. (1)BACKGROUND AND MAJOR REVISION POINTS. FIRST,CHANGES IN THE ECONOMY-(1)YEN APPRECIATION AFTER THE PLAZA ACCORD,(2)TAX REFORM(INTRODUCTION OF CONSUMPTION TAX),(3)GREAT FLUCTUATIONS IN ASSET PRICES IN THE LATE 80S,HAVE BEEN INTRODUCED. SECOND,THE BASE YEAR HAS BEEN CHANGED FROM 1980 TO 1985 OF JAPAN S SNA DATA IN 1991. ONE MAJOR IMPROVEMENT IS THE DISAGGREGATION OF DISTRIBUTION AND INSTITUTIONAL BLOCKS. EMPLOYEE,COMPENSATION HOUSEHOLD DISPOSABLE INCOME,PROPERTY INCOME,ENTREPRENEURIAL INCOME AND SEVERAL KINDS OF TAXES HAVE BEEN ALSO ENDOGENIZED. THE REVISED MEDIUM-SIZEQUARTERLY MODEL HAS ABOUT 150 EQUATIONS,THREE TIMES MORE THAN THE PREVIOUS VERSION PUBLISHED IN 1980. THE REVISIONS HAVE IMPROVED THE ABILITYTO ANALYZE ADDITIONAL FACTORS SUCH AS TAX CUTS AND WEALTH EFFECTS. (2)SIMULATION EXPERIMENTS (1)A 1 TRILLION(YEN 1985 VALUE INCREASE IN GOVERNMENT FIXED INVESTMENT RAISES REAL GNP BY 0.32% IN THE FIRST YEAR AND BY 0.33% IN THE SECOND. THE IMPACT MULTIPLIER IS 1.04 AND PEAKS IN THE 11TH QUARTER AT 1.27. THE GNP MULTIPLIERS ARE 20%-30% SMALLER THAN THOSEIN THE PREVIOUS MODEL MAINLY DUE TO A SUBSTANTIAL RISE IN INCOME ELASTICITY OF IMPORT DEMAND. (2)WITH A 1% CUT IN THE OFFICIAL DISCOUNT RATE,REAL GNP INCREASES BY 0.28% IN THE FIRST YEAR AND BY 0.93% IN THE SECOND. THE IMPACT OF THIS POLICY CHANGE IS SLOWER THAN IN CASE(1)DUE TO A LAG OF 6 MONTHS TO 1 YEAR. (3)WITH A 1000 YEN DECLINE IN THE NIKKEI STOCK AVERAGE,REAL GNP FALLS BY 0.06% IN THE FIRST YEAR AND BY 0.10% IN THESECOND MAINLY DUE TO WEALTH EFFECTS.

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