{"created":"2023-05-15T14:44:18.613409+00:00","id":3510,"links":{},"metadata":{"_buckets":{"deposit":"29dc7781-8ccd-4927-8665-e8e30705f2dd"},"_deposit":{"created_by":3,"id":"3510","owners":[3],"pid":{"revision_id":0,"type":"depid","value":"3510"},"status":"published"},"_oai":{"id":"oai:konan-u.repo.nii.ac.jp:00003510","sets":["10:197:458:491"]},"author_link":["6616"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2020-03-20","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"3・4","bibliographicPageEnd":"14","bibliographicPageStart":"1","bibliographicVolumeNumber":"60","bibliographic_titles":[{"bibliographic_title":"甲南経済学論集"},{"bibliographic_title":"Konan economic papers","bibliographic_titleLang":"en"}]}]},"item_10002_description_19":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"多変量Beveridge Nelson (B N) 分解は，複数のI(1) 時系列を同時に確率的トレンドとギャップに分解する手法である。しかし実質GDP を含むマクロ経済時系列に多変量B N 分解を単純に適用すると，米国以外のデータでは，しばしば発散する不自然なGDP ギャップが得られる。他方で近年のマクロ経済学の標準的な理論における動学的IS 曲線では，実質GDP 成長率と実質利子率の和分次数は等しいとされる。したがって実質利子率がI(1) なら実質GDP 成長率もI(1) なので，実質GDP の対数値はI(2) となり，さらに実質GDP 成長率と実質利子率は共和分時系列となる。本論文はI(1) とI(2) が混在する共和分時系列に多変量B N 分解を拡張する。応用例として日本のインフレ率・実質利子率・失業率・実質GDP の確率的トレンドとギャップを同時に推定する。確率的トレンドは自然率とも解釈できる。","subitem_description_type":"Abstract"}]},"item_10002_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本研究はJSPS科研費JP16K03605の助成を受けたものです。","subitem_description_type":"Other"}]},"item_10002_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.14990/00003482","subitem_identifier_reg_type":"JaLC"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"甲南大学経済学会"}]},"item_10002_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00084529 ","subitem_source_identifier_type":"NCID"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"04524187","subitem_source_identifier_type":"ISSN"}]},"item_10002_version_type_20":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"村澤, 康友"},{"creatorName":"ムラサワ, ヤストモ","creatorNameLang":"ja-Kana"},{"creatorName":"MURASAWA, Yasutomo","creatorNameLang":"en"}],"nameIdentifiers":[{"nameIdentifier":"6616","nameIdentifierScheme":"WEKO"},{"nameIdentifier":"00314287","nameIdentifierScheme":"e-Rad","nameIdentifierURI":"https://kaken.nii.ac.jp/ja/search/?qm=00314287"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2020-03-20"}],"displaytype":"detail","filename":"K03285.pdf","filesize":[{"value":"381.2 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"K03285.pdf","url":"https://konan-u.repo.nii.ac.jp/record/3510/files/K03285.pdf"},"version_id":"a849eb0b-3a71-4830-af9a-5016dea18564"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"トレンド","subitem_subject_scheme":"Other"},{"subitem_subject":"ギャップ","subitem_subject_scheme":"Other"},{"subitem_subject":"自然率","subitem_subject_scheme":"Other"},{"subitem_subject":"単位根","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"I(1) とI(2) が混在する共和分時系列の多変量Beveridge Nelson 分解","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"I(1) とI(2) が混在する共和分時系列の多変量Beveridge Nelson 分解"},{"subitem_title":"Multivariate Beveridge-Nelson Decomposition of I(1) and I(2) Series with Cointegration","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"3","path":["491"],"pubdate":{"attribute_name":"公開日","attribute_value":"2020-03-20"},"publish_date":"2020-03-20","publish_status":"0","recid":"3510","relation_version_is_last":true,"title":["I(1) とI(2) が混在する共和分時系列の多変量Beveridge Nelson 分解"],"weko_creator_id":"3","weko_shared_id":3},"updated":"2023-05-15T15:15:33.727968+00:00"}