The observed decline in the relative price of investment goods in Japan suggests the existence of investment-specific technological (IST) changes. This paper examines whether IST changes are a major source of business fluctuations in Japan, by estimating a dynamic stochastic general equilibrium...

This paper structurally investigates the changes in the Federal Reserve's communication strategy during the 1990s by analyzing anticipated and unanticipated disturbances to a Taylor rule. The anticipated monetary policy disturbances are identified by estimating a medium-scale dynamic stochastic...

A new technique to estimate simultaneously the potential output and Phillips curve is demonstrated. Here we define the potential output as the non-accelerating-inflation level of output (NLO). The NLO is not a mere trend of the actual output, but rather is a critical level of output with the...

This paper demonstrates the time-varying NAIRU approach for estimation of the potential rate of growth, where the latter is defined as the growth rate at which the inflation rate would be neither accelerating nor decelerating. We show theoretically that this inflation-neutral potential rate of...

In this paper, we set out the JEM (Japanese Economic Model), a large macroeconomic model of the Japanese Economy. Although the JEM is a theoretical model designed with a view to overcoming the Lucas (1976) critique of traditional large macroeconomic models, it can also be used for both...

We estimate a two-country open economy version of the New Keynesian DSGE model for the U.S. and the Euro area, using Bayesian techniques that allow for both determinacy and indeterminacy of the equilibrium. Our empirical analysis shows that the worldwide equilibrium is indeterminate due to a...

To what extent did the Bank of Japan's liquidity facilities for corporate financing reduce commercial paper (CP) issue-rates in Japan? To answer this question, we propose a simple structural model that illustrates the market for the CP operations and their effects on the CP primary market. Based...

To what extent did the Bank of Japan's liquidity provisions reduce the premium on money market rates over the year-ends in Japan? To answer this question, we propose a simple structural model that illustrates the year-end operations and the year-end interbank money markets. Based on the...

We estimate the output gap that is consistent with a fully specified DSGE model. Given the structural parameters estimated using Bayesian methods, we estimate the output gap that is defined as a deviation of output from its flexible-price equilibrium. Our output gap illustrates the U.S. business...

Despite the widespread belief that technology shocks are the main source of business fluctuations, recent empirical studies find that an investment efficiency shock mainly drives such fluctuations and reflects financial conditions for investment. This poses the question as to what is the major...