- 著者
- Yoji Morita Shigeyoshi Miyagawa
- 出版者
- The ISCIE Symposium on Stochastic Systems Theory and Its Applications
- 雑誌
- Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (ISSN:21884730)
- 巻号頁・発行日
- vol.2014, pp.84-89, 2014-05-05 (Released:2018-05-28)
- 参考文献数
- 8
- 被引用文献数
- 1 1
This paper investigates the effect of “quantitative easing monetary policy (QEMP)” which the Bank of Japan (BOJ) adopted from March 2001 through June 2006, by changing operating target for money market from interest rate to the monetary base that is defined as the sum of “Cash” and “Reserves at the BOJ”. The paper confirms that the monetary policy has contributed to the recovery of the prolonged deflation. First we estimate vector autoregressive (VAR) model, which consists of the reserves, stock, exchange rate and real GDP. Next we decompose money stock into transaction money and precautionary money to evaluate the transmission mechanism of the effect of reserves on the real economy by taking into account the financial anxiety. We have found a quantitative easing shock firstly increase transaction money and then raise output and price, which dispel the anxiety. We also confirm that a liquidity trap did not exist during the period of quantitative easing monetary policy.
- 著者
- Gou Nakura
- 出版者
- The ISCIE Symposium on Stochastic Systems Theory and Its Applications
- 雑誌
- Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (ISSN:21884730)
- 巻号頁・発行日
- vol.2015, pp.37-46, 2015-05-19 (Released:2015-10-30)
- 参考文献数
- 29
- 被引用文献数
- 2 3
In this paper we study the H∞ state estimation problems for a class of linear continuous-time systems with impulsive effects, stochastic uncertainties and discretetime observation on the finite time interval. The systems include linear stochastic discrete-time systems. We adopt game theoretic and variational approach, and derive, the impulsive Riccati equation which gives the necessary condition for the solvability of the H∞ estimation problems, the estimates and the form of H∞ estimators by calculating the stochastic first variation of the performance index under the dynamics constraint. The stochastic variational approach is equivalent to that for control systems in [22, 23] form the point of view of target tracking.