Perspective

The project will seek to design more realistic macroeconomic theory and macroeconometric models that take into account globalization of the economy, structural changes, large-scale shocks such as financial crises and major disasters and the COVID-19 pandemic, and long-term economic downturns. It will develop methodology for delivering equilibria and estimating parameters in such models. The project will further develop econometric methods for estimating these models using big data, including survey data of inflation forecasts and high frequency data on asset prices. These will be applied to analysis of various macroeconomic issues; and based on the results, policy proposals will be made regarding desirable macroeconomic policies.

Project Leader
Etsuro Shioji
Professor at Graduate School of Economics, Hitotsubashi University

Project Members

Prof. Toshiaki Watanabe Graduate School of Social Data Science, Hitotsubashi University
Prof. Naohito Abe Institute of Economic Research, Hitotsubashi University
Prof. Takashi Kano Graduate School of Economics, Hitotsubashi University
Prof. Jouchi Nakajima Institute of Economic Research, Hitotsubashi University
Prof. Eiji Kurozumi Graduate School of Economics, Hitotsubashi University
Prof. Yohei Yamamoto Graduate School of Economics, Hitotsubashi University
Prof. Toshitaka Sekine Graduate School of Economics, Hitotsubashi University
Prof. Atsushi Inoue Institute of Economic Research, Hitotsubashi University
Prof. Ryo Jinnai Institute of Economic Research, Hitotsubashi University
Associate Prof. Takeki Sunakawa Graduate School of Economics, Hitotsubashi University
Assistant Prof. Yuta Takahashi Institute of Economic Research, Hitotsubashi University
Assistant Prof. Naoki Takayama Institute of Economic Research, Hitotsubashi University
Assistant Prof. Kazuhiro Teramoto Graduate School of Economics, Hitotsubashi  University
Assistant Prof. Shunsuke Hori Graduate School of Economics, Hitotsubashi  University
Assistant Prof. (Specially Appointed) Masakazu Emoto Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Assistant Prof. (Specially Appointed) Motohiro Kumagai Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Assistant Prof. (Specially Appointed) Junichi Kikuchi Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Assistant Prof.(Specially Appointed) Koki Fusejima Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Assistant Prof. (Specially Appointed) Haitao Cheng Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Assistant Prof. (Specially Appointed) Wenjiao Hu Hitotsubashi Institute for Advanced Study, Hitotsubashi University
University Prof. Kyoji Fukao Institute of Economic Research, Hitotsubashi University
Specially Appointed Prof. Jota Ishikawa Hitotsubashi Institute for Advanced Study, Hitotsubashi University

Research Collaborators

Prof. Mototsugu Shintani Graduate School of Economics, The University of Tokyo
Prof. Kyu Ho Kang Department of Economics, Korea University
Prof. Tatsuyoshi Okimoto Faculty of Economics, Keio University
Prof. Yunjong Eo Department of Economics, Korea University
Associate Prof. Hiroshi Morita School of Engineering, Tokyo Institute of Technology
Director/Senior Research Fellow Sungbae An Korea Institute for International Economic Policy

Goals and Expected Outcome in FY2023

In the academic year 2023-2024, our project will continue to investigate how the macro economy and the financial market interact with each other. We expect that our research outcomes will enable us to come up with effective proposals for future macroeconomic policies.

Research Outcome・Events・Papers

FY2023

Research Outcome in FY2023

(Coming soon)

Events Conducted in FY2023

Hawaii-Hitotsubashi-Keio Workshop on International Economics (September 1-2, 2023)
SWET(Summer Workshop on Economic Theory) (August 7, 2023)
Asia Pacific Trade Seminars(June 10-11, 2023)

Papers Published in FY2023

Palizha AirebuleHaitao ChengJota Ishikawa, Assessing Carbon Emissions Embodied in International Trade Based on Shared Responsibility,” Journal of the Japanese and International Economies, volume 68, 2023, 101260 (2023)

Hayakawa, Kazunobu・Keiko Ito・Kyoji Fukao・Ivan Deseatnicov, “The Impact of the strengthening of export controls on Japanese exports of dual-use goods,” International Economics, Available (1 April 2023)

Mikihito Nishi・ Eiji Kurozumi, “Stochastic local and moderate departures from a unit root and its application to unit root testing“, Journal of Time Series Analysis (May 2023)

Eiji Kurozumi, “Fluctuation-type monitoring test for explosive behavior“, Econometrics and Statistics (29 June 2023)

Aoki, K.・Jouchi Nakajima・M. Takahashi・T. Yagi・K. Yamada, “Energy efficiency in Japan: Developments in the business and household sectors“, Monetary and Economic Studies, forthcoming.

Jouchi Nakajima, “The impact of macroeconomic uncertainty on the relationship between financial volatility and real economic activity“, Applied Economics, forthcoming (16 September 2023)

Makoto Takahashi・Yasuhiro Omori・Toshiaki Watanabe, “Stochastic Volatility and Realized Stochastic Volatility Models“, Springer (April 2023)

Tsutomu Watanabe・Chihiro Shimizu『日本の物価・資産価格 価格ダイナミクスの解明』The University of Tokyo Press, June 2023 (第10章「日本の株式市場の分散リスクプレミアム-景気に対する予測力についての実証分析」担当), ISBN 978-4-13-040310-8

Guerron-Quintana・Pablo A.・Tomohiro Hirano・Ryo Jinnnai, “Bubbles, Crashes, and Economic Growth: Theory and Evidence.” American Economic Journal: Macroeconomics, 15 (2): 333-71. (2023)

Quentin Batista・Taisuke Nakata・Takeki Sunakawa, “Credible Forward Guidance“, Journal of Economic Dynamics and Control, 153, 104699 (August 2023)

FY2022

Recently Published Papers

Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori, “Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility”, Econometrics and Statistics (2021)