報告書番号

Y98014

タイトル（和文）

電中研短期マクロ経済モデル１９９８の開発

タイトル（英文）

The CRIEPI Macroeconometric Model 1998 in Japan

概要 （図表や脚注は「報告書全文」に掲載しております）

SNA97年度確報四半期データを用いて、従来よりやや小型で最新の経済構造をよりよく織り込んだ電中研マクロ計量経済モデル98(90年代モデル、以下「モデル98」)を開発した。モデル98の基本構造は従来型を継承し、ケインジアンタイプの有効需要理論のフレームワークに中長期的な供給面の要素を加味し、分配サイドの分析も可能なものである。これを用いたシミュレーション分析によれば、i）名目GDP比１％の公的固定資本形成4.8兆円の追加は実質GDPを１年目1.31％、２年目1.70％、３年目1.82％だけ増加させる。名目財政乗数（△名目GDP／△名目公的固定資本形成）は、各々1.29、1.69、2.21であり、１年目も1.3程度を維持している。ii)同規模の所得税減税は実質GDPを１年目0.63％、２年目1.39％押上げる。一部が貯蓄に回るため、効果はi)に比べて５～８割にとどまり、速効性に欠ける。

概要 （英文）

This report presents the outline of the latest version of the CRIEPI quarterly Econometric Model of the Japanese economy (Model 1998).(1)Major points of revision: The model has been revised for incorporating the structual changes in the 90s in Japan.The stepwise Chow test in the main equations in the outlay sector shows that structural changes occured in 1989 in case of consumption function for non-durable goods and export function in the volume of customs clearance basis, in 1991 in case of import. In case of business fixed investment, cost factor indicated in the user cost of capital has become dominant in the 90s instead of the demand factor in the 80s. We mainly adopted shorter period of estimation period less than 10 years and Model 1998 has sufficiently stable dynamic property for making some dynamic simulations and short-term forcasts. (2) Simulation experiments:(i) Fiscal multipliers are 1.29 for the first year, 1.69 for the second and 2.21 for the third(△nominal GDP/△nominal public fixed investment). Current account surplus per nominal GDP(%) decreases by 0.20, 0.46% in the first and second year. (ii) In the case of 4.8 trillion yen income tax cut, real GDP increases by 0.63% in the first year and by 1.39% in the second. The impact of the policy is slower and smaller by 50-20% than in the case of the same amount of increased government expenditure because some part of the tax cut would be leaked to saving.(iii)In the case of a 0.25% short-term interest rate(interbank call rate) cut, real GDP increases by 0.04% in the first year and by 0.06% in the second. On the other hand, the widening difference of the interest rate in and abroad brings yen depreciation, price rise and rising current account surplus per nominal GDP(%) by 0.03% in the second year.(iv)In the case of 10% appreciation of the yen/$, real GDP decreases by 0.44% in the first year and by 1.42% in the second, mainly from the decrease of net export.

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