ࠑෆ㛶ᗓ⤒῭♫⥲ྜ◊✲ᡤࠕ⤒῭ศᯒࠖ➨ 190 ྕ 2016 ᖺࠒ ㈨ ᩱ ȶౣܢུࠐफζ·υࠗၾκΟσȷ͈պ౾̫̿͂ڬ㸨 ᒾᮏ ග୍㑻࣭ⰼᇉ ㈗ྖ࣭ᇼ 㞞༤㸨㸨 㸺せ᪨㸼 Lucas㸦1976㸧ࡸ Sims㸦1980㸧௦⾲ࡉࢀࡿ࣐ࢡࣟィ㔞ࣔࢹࣝࠕᢈุࠖ௨㝆ࠊDSGE ࣔ ࢹࣝࡸ VAR ࣔࢹࣝ➼ࡀఏ⤫ⓗ࡞࣐ࢡࣟィ㔞ࣔࢹࣝࡢ௦᭰ᡭẁࡋ࡚㛤Ⓨࡉࢀࠊᗈࡃά⏝ࡉ ࢀࡿࡼ࠺࡞ࡗ࡚࠸ࡿࠋࡋࡋࠊࡇࢀࡽࡢ௦᭰ࣔࢹࣝࢆᨻ⟇ᴗົ࡛ά⏝ࡍࡿሙྜࠊゎỴࢆ せࡍࡿㄢ㢟ࡀᮍࡔከࡃṧࡉࢀ࡚࠸ࡿࡇࡶᐇࡔࢁ࠺ࠋෆ㛶ᗓ⤒῭♫⥲ྜ◊✲ᡤ࡛ࡣࠊ ࡇ࠺ࡋࡓ⌧≧ࠊཬࡧ㏆ᖺྛᅜࡢᨻᗓᶵ㛵ࡸ୰ኸ㖟⾜➼ᗈࡲࡗ࡚࠸ࡿ͆Suite of Models͇ ࠸࠺ᴫᛕࢆ㋃ࡲ࠼ࠊDSGE ᆺࠊVAR ᆺཬࡧఏ⤫ⓗ࣐ࢡࣟィ㔞ࣔࢹࣝࢆ୪⾜ࡋ࡚㛤Ⓨ࣭ά⏝ ࡋ࡚࠸ࡿࠋᮏ✏࡛ࡣࠊ࣐ࢡࣟィ㔞ࣔࢹࣝࠕᢈุࠖࢆᴫほࡋࡓୖ࡛ࠊDSGE ࣔࢹࣝࠊVAR ࣔ ࢹࣝࡢ≉ᚩᐇົୖࡢ㝈⏺ࢆᩚ⌮ࡋࠊఏ⤫ⓗ࣐ࢡࣟィ㔞ࣔࢹࣝࡢ୍ࡘ࡛࠶ࡿࠕ▷ᮇ᪥ᮏ⤒ ῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡢ⨨࡙ࡅᙺࢆㄽࡌࡓࠋ JEL Classification Number: C5, E17 Key Words: ࣐ࢡࣟィ㔞ࣔࢹࣝࠊDSGE㸦ືᏛⓗ☜⋡ⓗ୍⯡ᆒ⾮㸧ࣔࢹࣝࠊ VAR㸦࣋ࢡࢺࣝ⮬ᕫᅇᖐ㸧ࣔࢹࣝࠊSuite of Models 㸨 ᮏ✏ࡣࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝ㸦2015 ᖺ∧㸧ࠖࡢබ⾲ྜࢃࡏ࡚ᇳ➹ࡋࡓࠋⲡ✏ẁ㝵ࢥ࣓ࣥ ࢺ㡬࠸ࡓ㈆ᗈᙲࠊᮧ⏣ၨᏊࠊすᕝṇ㑻ࠊᮡཎⱱࠊ⡲ᐑಙ㞝ࠊᯇ๓㱟ᐅࡢྛẶࠊཬࡧෆ㛶ᗓࡢྠㅖẶឤ ㅰࡍࡿࠋ࡞࠾ࠊᮏ✏♧ࡉࢀࡓぢ᪉࣭⪃࠼᪉➼ࡣᇳ➹⪅ಶேᒓࡍࡿࡶࡢ࡛࠶ࡾࠊෆ㛶ᗓ⤒῭♫⥲ྜ◊ ✲ᡤࡢぢゎࢆ♧ࡍࡶࡢ࡛ࡣ࡞࠸ࠋ 㸨㸨 ᒾᮏ㸦ෆ㛶ᗓ⤒῭♫⥲ྜ◊✲ᡤ㸦ESRI㸧ᐈဨ◊✲ဨ㸧ࠊⰼᇉ㸦๓ ESRI ◊✲ᐁ㸧ࠊᇼ㸦ESRI ୖᖍ௵ ◊✲ᐁ㸧ࠋ 1 ࠕ⤒῭ศᯒࠖ➨ 190 ྕ A practical tool for policy analysis: The ESRI Short-Run Macroeconometric Model of the Japanese Economy By Takashi HANAGAKI, Masahiro HORI, and Koichiro IWAMOTO Abstract After seminal critics by Lucas (1976) and by Sims (1980) on traditional macroeconometric models, DSGE and VAR models have been developed and widely used as substitutes for the traditional models. However, those substitute models still have several problems to overcome for practical use in economic policy analyses. Basing on the concept of “Suite of Models,” which is nowadays widely shared among central banks and governments, Economic and Social Research Institute (ESRI) of Cabinet Office, Japanese Government, has been developing and utilizing multiple types of models, including DSGE, VAR, as well as traditional models. This paper briefly reviews the critics of macroeconometric models and indicates some limitations and problems of DSGE and VAR models in practical policy analyses, and then clarify the positioning and contributions of the ESRI Short-Run Macroeconometric Model of the Japanese Economy, a traditional macroeconometric model. JEL Classification Number: C5, E17 Key Words: Macroeconometric model, DSGE model, VAR model, Suite of Models 2 ࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡢ⨨࡙ࡅᙺ 㸯㸬ࡣࡌࡵ ࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡣ࣐ࢡࣟ⣔ิࢹ࣮ࢱᇶ࡙࠸࡚᥎ᐃࡉࢀࡓᵓ㐀 㸦⾜ື㸧᪉⛬ᘧᐃ⩏ᘧ㸦ィᘧࠊไᗘᘧ➼㸧ࡽ࡞ࡿྠ᪉⛬ᘧయ⣔࡛ࠊ࣐ࣥࢹࣝ㸻ࣇ ࣑ࣞࣥࢢ࣭ࣔࢹࣝ㸦IS-LM-BP ࣔࢹࣝ㸧ࢆᇶᮏࣇ࣮࣒࣮ࣞ࣡ࢡࡋ࡚࠸ࡿࠋࡇ࠺ࡋࡓఏ⤫ ⓗ࡞ࢣࣥࢪࣥᆺ࣐ࢡࣟィ㔞ࣔࢹࣝࡣࠊ1940 ᖺ࡞࠸ࡋ 50 ᖺ௦ࡢࢥ࢘ࣝࢬ㈈ᅋࡼࡿࠕ⌮ ㄽ࡞ࡁィ ࠖᢈุ௨㝆ࠊᅜ㝿ᶵ㛵ࡸྛᅜᨻᗓࠊ୰ኸ㖟⾜ࡢᨻ⟇ᴗົ࠾࠸࡚ᗈࡃ㛤Ⓨࡉࢀࠊ 㔜せ࡞ᙺࢆᯝࡓࡋ࡚ࡁࡓࠋ ࡋࡋ࡞ࡀࡽ㏆ᖺࠊ࢝ࢹ࣑࡛ࡣࠊ࣐ࢡࣟ⤒῭Ꮫࡢ࣑ࢡࣟⓗᇶ♏ࡅ➼㛵ࡍࡿ◊✲ ᡂᯝࡢ✚క࠸ࠊ⤒῭యࡢ᭱㐺⾜ືᕷሙᆒ⾮ࢆ๓ᥦࡋࡓྜ⌮ⓗᮇᚅᙧᡂᆺࣔࢹ ࣝࢆᵓ⠏ࡍࡿࡇࡀὶ࡞ࡗ࡚࠾ࡾࠊᚑ᮶ᆺࡢ࣐ࢡࣟィ㔞ࣔࢹࣝࡀᏛ⾡ⓗ࡞ព࡛㢳ࡳ ࡽࢀࡿࡇࡣ࠶ࡲࡾ࡞ࡃ࡞ࡗ࡚࠸ࡿࠋ ࡣゝ࠼ࠊᮏࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖ㝈ࡽࡎࠊఏ⤫ⓗ࡞ࢱࣉࡢ࣐ࢡࣟィ 㔞ࣔࢹࣝࡣ᪥࠾࠸࡚ࡶẸ㛫ࡢ⤒῭ண ࡸබⓗࢭࢡࢱ࣮ࡢᨻ⟇ホ౯➼ࡢ⌧ሙ࡛ᗈࡃά⏝ ࡉࢀ࡚࠸ࡿࠋᮏ✏࡛ࡣࠊఏ⤫ⓗ࣐ࢡࣟィ㔞ࣔࢹࣝᑐࡍࡿせ࡞ᢈุࡑࢀࡢᑐฎࡢ࠶ ࡾᵝࢆ⡆༢⤂ࡋࡓୖ࡛ࠊࡑ࠺ࡋࡓᩥ⬦࠾ࡅࡿࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡢ ⨨࡙ࡅࠊཬࡧᮇᚅࡉࢀࡿᙺࡘ࠸࡚㸦⯡ࣔࢹࣝᨵゞࢆᢸᙜࡋࡓᙜ⪅ࡓࡿ㸧ᡃࠎࡢ ⪃࠼ࢆ㏙ࡓ࠸ࠋ 㸰㸬࣐ࢡࣟィ㔞ࣔࢹࣝࠕᢈุࠖ ఏ⤫ⓗ࡞࣐ࢡࣟィ㔞ࣔࢹࣝࡣࠊࡑࡢᐇົୖࡢᙺࡶࢃࡽࡎࠊ᪥ࡢᏛ⾡ⓗࣇࣟࣥ ࢸࡣࡔ࠸ࡪ㊥㞳ࡀ࡛ࡁ࡚ࡋࡲࡗࡓ≧ἣ࠶ࡿࠋ࢝ࢹ࣑ࡢ㛵ᚰࡀఏ⤫ⓗࣔࢹࣝ ࡽ㞳ࢀࡓࡇࡣᵝࠎ࡞せᅉࡀ⪃࠼ࡽࢀࡿࡀࠊࡑࡢ※ὶࡣࠊࡘࡢࠕᢈุࠖ ࠊࡍ࡞ࢃࡕࠕࣝ ࣮࢝ࢫᢈุࠖ㸦Lucas, 1976㸧ࠕࢩ࣒ࢬᢈุࠖ 㸦Sims, 1980㸧ồࡵࡽࢀࡿࡔࢁ࠺ࠋ Lucas (1976) ࡣࠊఏ⤫ⓗ࡞ྠ᪉⛬ᘧయ⣔ࣔࢹࣝࡣ▷ᮇⓗ࡞⤒῭ண ➼࡛ࡼ࠸ࣃࣇ࢛࣮ ࣐ࣥࢫࢆ♧ࡍࡇࡀ࠶ࡗ࡚ࡶࠊᨻ⟇ຠᯝࡢศᯒࡣྥࡁ࡛࠶ࡿࡋࡓࠋ࿘▱ࡢ㏻ࡾࠊ࣐ ࢡࣟィ㔞ࣔࢹࣝࡢᵓ⠏ࡣࠊ⌧ᐇࡢ࣐ࢡࣟ⣔ิࢹ࣮ࢱࢆࡗ࡚ࣔࢹࣝෆࡢࣃ࣓࣮ࣛࢱ ࢆᐃᩘࡋ࡚᥎ᐃࡍࡿࠋࣔࢹࣝࡢࣃ࣓࣮ࣛࢱࠊ≉ㄏᑟᆺࡢࡑࢀࢆᐃᩘ⪃࠼ࡿࡇࡣࠊ ࣐ࢡࣟ⤒῭ኚᩘ㛫ࡢ㛵ಀ㸦≉᧯సྍ⬟࡞ᨻ⟇ኚᩘᡤᚓࡸ㞠⏝ࠊ≀౯➼ࡢᨻ⟇┠ᶆࡢ㛵 ಀ㸧ࡢᏳᐃᛶࢆᬯ㯲ࡢ๓ᥦࡍࡿࡇࢆពࡍࡿࠋࡋࡋ࡞ࡀࡽࠊ⌧ᐇᨻ⟇ࡀኚ᭦ࡉࢀ ࡿ㸦≉ᨻ⟇ࣞࢪ࣮࣒ࡀኚࡍࡿሙྜ㸧⤒῭యࡢ⾜ືࡶࡑࢀᛂࡌ࡚ኚࢃࡾࠊㄏᑟᆺ ࡢࣃ࣓࣮ࣛࢱࡣኚࡍࡿࠋ ࠕ࣮ࣝ࢝ࢫᢈุࠖࡣࠊࡑ࠺ࡋࡓ≧ἣࡢୗ࡛ࠊ࣐ࢡࣟィ㔞ࣔࢹࣝࡀ ㄗࡗࡓᨻ⟇ホ౯ࢆᘬࡁ㉳ࡇࡋ࡚࠸ࡿྍ⬟ᛶࢆᣦࡋࡓࠋLucas and Sargent (1981) ࡣࠊࡇࡢ ࠕᢈุࠖࢆࡾ㉺࠼ࡿࡣࠊ⤒῭యࡢ᭱㐺⾜ືࠊཬࡧᨻ⟇యࡢពᛮỴᐃࡢ┦౫ 3 ࠕ⤒῭ศᯒࠖ➨ 190 ྕ Ꮡ㛵ಀࢆ⧊ࡾ㎸ࢇࡔ㸦ᵓ㐀ࣃ࣓࣮ࣛࢱࡢࡳࡽ࡞ࡿ㸧ࣔࢹ࡛ࣝᮇᚅࡀྜ⌮ⓗᙧᡂࡉࢀࡿ1 ≧ἣ࡛ࡢᨻ⟇ศᯒࡀᚲせࡔㄽࡌࡓࠋ ୍᪉ࠊSims (1980) ࡣࠊつᶍ࡞ྠ᪉⛬ᘧࣔࢹ࡛ࣝࡣࠊᵓ㐀㸦⾜ື㸧᪉⛬ᘧྵࡵࡿኚ ᩘࡢ㑅ᢥࡀ⤒῭⌮ㄽ౫ࡿࡣゝ࠼ほⓗ࡞࠸ࡋពⓗ⾜ࢃࢀ࡚࠾ࡾࠊᘧྵࡵࡽࢀ࡞ ࡗࡓኚᩘࡀ┤᥋స⏝ࡍࡿࡇࡣ࡞࠸࠸࠺ಙࡌ㞴࠸㆑ูไ⣙ࡀ⨨ࢀ࡚࠸ࡿᢈุࡋࡓࠋ ࣐ࢡࣟィ㔞ࣔࢹࣝࡢయ⣔ෆࡣࠊ࠶ࡿෆ⏕ኚᩘࡢㄝ᫂ኚᩘࡢෆ⏕ኚᩘࢆྲྀࡾ㎸ࢇ࡛ྠ Ỵᐃࡍࡿᵓ㐀ࡀᩘከࡃ࠶ࡿࠋࡇࢀࡣࣃ࣓࣮ࣛࢱࡢ᥎ᐃ㆑ูၥ㢟ࡀᏑᅾࡍࡿࡇࢆព ࡋ࡚࠾ࡾࠊ᥎ᐃᐇ⾜ࡢ㝿ࡣከᩘࡢ㝖ไ⣙㸦ࢮࣟไ⣙㸧ࢆㄢࡍᚲせࡀ⏕ࡌࡿࠋ ࠕࢩ࣒ࢬ ᢈุࠖࡣࠊࡇࡢฎ⨨ࡀ᥎ᐃࣂࢫࡸࣔࢹࣝࡢㄗᐃᘧࢆࡶࡓࡽࡍྍ⬟ᛶࢆ᭷ࡍࡿࡶ ࢃࡽࡎࠊ☜❧ࡉࢀ࡚࠸࡞࠸⌮ㄽᇶ࡙࠸࡚Ᏻ᫆⾜ࢃࢀ࡚࠸ࡿࡇࡢᣦ࡛࠶ࡗࡓࠋ 㸱㸬DSGE ࣔࢹࣝࠊVAR ࣔࢹࣝࡢ≉ᚩࡑࡢ㝈⏺ 1970 ᖺ௦ࡽ 80 ᖺ௦௨㝆ࡢ࣐ࢡࣟィ㔞ࣔࢹࣝࡢⓎᒎࡣࠊ ࠕ࣮ࣝ࢝ࢫᢈุࠖཬࡧࠕࢩ࣒ࢬ ᢈุࠖᛂ࠼ࡿດຊࡢṔྐࡔࡗࡓࠋ ࠕ࣮ࣝ࢝ࢫᢈุࠖᛂ࠼ࡿࡓࡵࡢᨵၿࡣࠊ⤒῭యࡢ⾜ ືཝᐦ࡞࣑ࢡࣟ⤒῭Ꮫⓗᇶ♏ࢆ࠼ࠊᑗ᮶ᑐࡍࡿᮇᚅᙧᡂࢆࣔࢹࣝᩚྜⓗ࡞ࡶࡢ⨨ ࡁ࠼ࡿ᪉ྥ࡛㐍ࡵࡽࢀࡓࠋࡑࡢ⤖ᐇࡀࠊ㏆ᖺࡢ DSGE㸦Dynamic Stochastic General EquilibriumࠊືᏛⓗ☜⋡ⓗ୍⯡ᆒ⾮㸧ᆺ࣐ࢡࣟࣔࢹ࡛ࣝ࠶ࡿࠋࡲࡓࠊࢻ࣍ࢵࢡ࡞㝖ไ⣙ࢆ ᣦࡋࡓࢩ࣒ࢬᢈุᑐࡋ࡚ࡣࠊࢩ࣒ࢬ⮬㌟ࡀᥦၐࡋࡓࠕ㸦≉ᐃ⌮ㄽࡼࡽࡎ㸧ࢹ࣮ࢱㄒ ࡽࡏࡿࠖVAR㸦Vector AutoRegressionࠊ࣋ࢡࢺࣝ⮬ᕫᅇᖐ㸧ࣔࢹࣝࡀࡑࡢᅇ⟅ࡋ࡚ᗈࡃ⏝ ࠸ࡽࢀࡿࡼ࠺࡞ࡗࡓࠋ DSGE ࣔࢹࣝࡣࠊ⤒῭యࡢ᭱㐺⾜ືࢆ≉ᐃࡋࠊྜ⌮ⓗᮇᚅࢆ᭷ࡍࡿ⤒῭యࡢ⾜ື ࡀᨻ⟇ኚ᭦ࡸእⓗࢩࣙࢵࢡᛂࡌ࡚ኚ᭦ࡉࢀࡿ࣓࢝ࢽࢬ࣒ࢆྲྀࡾධࢀࡿࡇࡼࡾࠕ࣮ࣝ ࢝ࢫᢈุࠖࢆᅇ㑊ࡋ࡚࠸ࡿࠋࡋࡋ DSGE ࣔࢹࣝࡣࠊ≉ᐃࡢ⤒῭⌮ㄽᛅᐇ࡛࠶ࡿࡇ ࡼࡾࡑࡢ⌮ゎ࣭ㄝ᫂ࡀᐜ᫆࡞ࡿ㠃ࠊ 㸦⌧ᐇⓗࡣ㝈ࡽ࡞࠸㸧≉ᐃ⌮ㄽᇶ࡙࠸࡚࠸ࡿࡓ ࡵࠊ ⤒῭ࢹ࣮ࢱࡢࣇࢵࢸࣥࢢ㞴ࡀ࠶ࡾࠊ ⌧ᐇࡢṇ☜࡞ᥥࡣ࠶ࡲࡾᚓព࡛ࡣ࡞࠸ࠋ ࡲࡓ DSGE ࣔࢹࣝࡶࡑࡢᐇ㝿ࡢ㐠⏝࠾࠸࡚ࡣ࣮ࣝ࢝ࢫᢈุࢆᅇ㑊࡛ࡁ࡚࠸࡞࠸ሙྜࡀከ ࠸࠸࠺ᢈุࡶᏑᅾࡍࡿ2ࠋࡲࡓ Browning et.al. (1999) ࡀᣦࡍࡿࡼ࠺ࠊ࣑ࢡࣟⓗᇶ♏ ࡅࡢ࠶ࡿ DSGE ࣔࢹࣝࡣࡑࡢࣃ࣓࣮ࣛࢱࡢỴᐃ࠾࠸࡚ࡣ࣑ࢡࣟᐇドศᯒࡢ⤖ᯝࡀ㢖⦾ ⏝࠸ࡽࢀࡿࡶࡢࡢࠊ࣑ࢡࣟศᯒ࠾ࡅࡿᐇドࣔࢹࣝࡣᚲࡎࡋࡶ࣐ࢡࣟࣔࢹࣝᩚྜⓗ࡛ࡣ ࡞࠸3࠸࠺ၥ㢟ࡀ࠶ࡿࠊఏ⤫ⓗࣔࢹࣝẚ࡚ከࡃࡢኚᩘࢆᢅ࠸࡙ࡽ࠸ࡓࡵࠊ㟂せ㡯 ┠ࡢෆヂࡸᡤᚓࡢศ㓄㠃࡞ࠊ⤒῭ࡢヲ⣽ࢆᢅ࠸ࡃ࠸࠸࠺ᙅⅬࡀ࠶ࡿࠋ 1 ⤒῭య䛾ពᛮỴᐃ䛜䚸⌧ᅾධᡭྍ⬟䛺ሗ䛻ᇶ䛵䛟᭱㐺ண 䠄ᮇᚅ䠅䛻ᇶ䛵䛔䛶⾜䜟䜜䜛⤌䜏䚹 䛘䜀䚸Hurtado (2014)䛿䚸DSGE 䝰䝕䝹䛷䛒䛳䛶䜒ᐃᘧ䛾ㄗ䜚䛜䛒䜜䜀䚸ఏ⤫ⓗ䝰䝕䝹䛾ሙྜ䛸ྠᵝ䛻䝟䝷 䝯䞊䝍䛾Ᏻᐃᛶ䛜⏕䛨䜛䛸䛔䛖ከ䛟䛾ඛ⾜◊✲䜢ᴫほ䛧䛯ᚋ䚸DSGE 䝰䝕䝹䛸ఏ⤫ⓗ䝰䝕䝹䛾ᨻ⟇ホ౯⤖ᯝ䛻 㛵䛩䜛ẚ㍑䜢⾜䛔䚸୧⪅䛻䛿䜋䛸䜣䛹ᕪ䛜䛺䛛䛳䛯䛸䛔䛖⤖ᯝ䜢ሗ࿌䛧䛶䛔䜛䚹 3 䛘䜀䚸䝭䜽䝻ᐇドศᯒ䛿⤒῭య䛾␗㉁ᛶ䠄ከᵝᛶ䠅䜢๓ᥦ䛸䛧䛯ศᯒ䛷䛒䜛䛜䚸DSGE 䝰䝕䝹䛷䛿ィ⟬䛾」 㞧䜢ᅇ㑊䛩䜛䛯䜑䛻௦⾲ⓗಶே䜔㝈ᐃ䛥䜜䛯ᙧ䛷⤒῭య䛾␗㉁ᛶ䜢⾲⌧䛩䜛䛣䛸䛜ከ䛔䚹 2 4 ࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡢ⨨࡙ࡅᙺ ࡇࡢࡼ࠺ࠊࠕ࣮ࣝ࢝ࢫᢈุࠖࡣྠ᪉⛬ᘧࣔࢹࣝࡀᨻ⟇ኚ᭦㡹࡛࡞࠸ྍ⬟ᛶࢆㄆ ㆑ࡉࡏࡓⅬ࡛ࡁ࡞ᙺࢆᣢࡗࡓࡶࡢࡢࠊࡑࡢᑐᛂ࡛Ⓨᒎࡋࡓ DSGE ࣔࢹࣝࡣࠊࡑࡢ๓ ᥦ࡞ࡿ࣑ࢡࣟ⤒῭⌮ㄽࡢጇᙜᛶ㛵ࡍࡿྜពࡀ☜❧ࡋ࡚࠸࡞࠸ࡇࠊࡲࡓࠊ 㸦ᮏ㉁ࡀ⣽㒊 ᐟࡿࡇࡶከ࠸㸧⤒῭ᨻ⟇ࢆホ౯ࡍࡿ㝿ᚲせ࡞ࡿ⤒῭ࡢヲ⣽㒊ศࡢグ㏙ࡣ㐺ࡉ࡞ ࠸ࡇࠊ➼ࡢၥ㢟ࡀゎỴ࡛ࡁ࡚࠸࡞࠸ࠋ ᪉ࠊ≉ᐃ⌮ㄽ࡛ࡣ࡞ࡃࢹ࣮ࢱࡽฟⓎࡍࡿ VAR ࣔࢹࣝࡣࠊ⌧ᐇࡢ⤒῭ࢹ࣮ࢱࡢࣇ ࢵࢸࣥࢢࡸண ᙉࡀ࠶ࡿࡉࢀࡿࠋࡋࡋ࡞ࡀࡽࠊVAR ࣔࢹ࡛ࣝࡣࠊࣔࢹࣝྵࡵ ࡓᑡᩘࡢኚᩘ㛫ࡣ㝖ไ⣙ࢆ⨨࡞࠸ࡶࡢࡢࠊࡑࡶࡑࡶࣔࢹࣝྵࡵ࡚࠸࡞࠸ኚᩘࡘ ࠸࡚࡞㝖ไ⣙ࢆ⨨࠸࡚ࡋࡲࡗ࡚࠸ࡿ࠸࠺⌮ㄽⓗၥ㢟ࡀ࠶ࡿࠊᚓࡽࢀࡿࣥࣃࣝ ࢫᛂ⟅ࡸศᩓศゎࡢಙ㢗༊㛫ࡀᴟ➃ࡁࡃ࡞ࡿࡇࡀከ࠸4ࠋࡲࡓࠊJorda (2005)ࠊΎ㇂ (2014) ࡽࡀᣦࡍࡿࡼ࠺ࠊVAR ࣔࢹ࡛ࣝࡣࠊࡑࡢࣛࢢḟᩘࢆ┿ࡢࢹ࣮ࢱ⏕ᡂ㐣⛬ᩚྜ ⓗタᐃࡋ࡞࠸㝈ࡾࠊ᥎ᐃ⤖ᯝࡁ࡞೫ࡾࡀ⏕ࡌ࠺ࡿࡇࡀ▱ࡽࢀ࡚࠸ࡿࠋຍ࠼࡚ࠊVAR ࣔࢹࣝࡣ⌮ㄽⓗ㛵ಀ౫ࡽ࡞࠸ࣈࣛࢵࢡ࣎ࢵࢡࢫ࡛࠶ࡿࡓࡵࠊ᥎ᐃࡸࢩ࣑࣮ࣗࣞࢩࣙࣥࡢ ⤖ᯝࢆゎ㔘ࡍࡿࡇࡀ㞴ࡋ࠸5ࠋ⤒῭ぢ㏻ࡋࡢ⟇ᐃࡸᨻ⟇ホ౯➼ࡢᨻ⟇㛵㐃ᴗົ࡛ࡣࠊࣔࢹ ࣝෆ࣓࢝ࢽࢬ࣒ࡢ⌮ゎ㸦ᵓ㐀ⓗゎ㔘㸧ࡀྍḞ࡛࠶ࡿࡇࢆ⪃࠼ࡿࠊVAR ࣔࢹࣝࡔࡅ 㢗ࡿࡇࡣ㝈⏺ࡀ࠶ࡿࡔࢁ࠺ࠋ ࡇࡢࡼ࠺ࠊࡘࡢࠕᢈุࠖᛂ࠼࡚Ⓨᒎࡋࡓ DSGE ࣔࢹࣝࡸ VAR ࣔࢹࣝࡣࠊᡃࠎࡢ ⤒῭ࢩࢫࢸ࣒ᑐࡍࡿ⌮ゎࢆ῝ࡵࡿⅬ࡛ᮏ㉁ⓗ㔜せᛶࢆ᭷ࡋ࡚࠸ࡓࡶࡢࡢࠊᨻᗓࡸ୰ኸ㖟 ⾜ࡀࡑࢀࢆᐇົ㸦ᨻ⟇ᴗົ㸧࡛ά⏝ࡋࡼ࠺ࡋࡓሙྜࠊ┳㐣ࡋ㞴࠸ၥ㢟ࢆከࡃᢪ࠼࡚࠸ࡿࠋ ࡑࡢព࡛ࠊ⤒῭ࡸᨻ⟇ࡢヲ⣽ࢆᥥࡍࡿྠ᪉⛬ᘧࣔࢹࣝయ⣔ࢆᵓ⠏ࡋࠊ᧯సྍ⬟࡞ᨻ ⟇ኚᩘࡀᵝࠎ࡞ᨻ⟇┠ᶆ㸦ኚᩘ㸧࠼ࡿᙳ㡪ࢆ☜ㄆࡋ࡚࠸ࡃసᴗ㸦࣐ࢡࣟィ㔞ࣔࢹࣝศ ᯒ㸧ࡢᚲせᛶࡣ᪥ࡶኚࢃࡽࡎᏑᅾࡋ࡚࠸ࡿࠋ 㸲㸬ࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡢ⨨࡙ࡅᙺ ࡇ࠺ࡋࡓṔྐ࣭⤒⦋ࢆ⤒࡚ࠊ᪥࡛ࡣࠊ▷ᮇࡢᬒἣࡸᨻ⟇ຠᯝࢆศᯒࡍࡿࣔࢹࣝࡋ࡚ࠊ DSGE ᆺࠊ VAR ᆺࠊ ཬࡧఏ⤫ⓗ࡞࣐ࢡࣟィ㔞ࣔࢹࣝ࠸࠺ࠊ 3 ࡘࡢࢱࣉࡢィ㔞ࣔࢹࣝࡀ 䠄ᅜ 㝿ᶵ㛵ࠊྛᅜᨻᗓ࣭୰ኸ㖟⾜➼࡛㸧୪❧࣭ά⏝ࡉࢀ࡚࠸ࡿࠋࡋࡶᨻ⟇ᐇົࡢ⌧ሙ࠾࠸ ࡚ࠊࡇࢀࡽ 3 ࡘࡢࣔࢹࣝࡢ࠺ࡕࡢࢀ୍ࡘࡀᨭ㓄ⓗ࡞ᆅࢆ༨ࡵࠊ࠸ࢃࡺࡿ͆The Model͇ ࡋ࡚ࡢ❧ሙࢆ᭷ࡋ࡚࠸ࡿ࠸࠺ࠊࡑ࠺࡛ࡣ࡞࠸ࠋࡴࡋࢁࡑࡢᑐᴟࡢ⪃࠼᪉࡛࠶ࡿ “Suite of Models”࠸࠺ᴫᛕࡀྛᅜࡢᨻᗓᶵ㛵ࡸ୰ኸ㖟⾜ᗈࡲࡗ࡚࠸ࡿࠋᡃࡀᅜ࡛ࡇࡢᴫ ᛕࢆ࠸ࡕ᪩ࡃ⤂ࡋࡓ୍ୖ (2008) ࡼࢀࡤࠊࡇࡢᴫᛕࡣࠕ┠ⓗྜࢃࡏ࡚」ᩘࡢࣔࢹ ࣝࢆ࠸ศࡅ࡚ࡺࡃࡇࠖゎࡉࢀࡿࠋ」ᩘࡢࣔࢹࣝࢆ࠸ศࡅࡿᚲせࡀ⏕ࡌࡿࡑࡢ⌮⏤ ࡣࠊBox and Draper (1987) ࡼࡿ͆Essentially, all models are wrong, but some are useful.͇ 4 䛣䛾ᚋ⪅䛾Ⅼ䛻䛴䛔䛶䛿䚸䛘䜀ᇼ(1995)䜢ཧ↷䚹 ୍ᐃ䛾⤒῭⌮ㄽ䛸ᩚྜⓗ䛺㝖ไ⣙䜢䛒䛘䛶ㄢ䛧䚸⊂❧䛺ᵓ㐀䝅䝵䝑䜽䜢㆑ู䛩䜛䛂ᵓ㐀 VAR 䝰䝕䝹䛃䜒ᗈ䛟⏝ 䛔䜙䜜䛶䛔䜛䛜䚸䛭䜜䛷䜒ゎ㔘䛾ᖜ䛿ィ㔞䝰䝕䝹䛻ẚ䜉䜛䛸䚸┦ᙜ⛬ᗘ䛫䜀䜎䜙䛦䜛䜢ᚓ䛺䛔䚹 5 5 ࠕ⤒῭ศᯒࠖ➨ 190 ྕ ࠸࠺୍ᩥ➃ⓗ⾲ࡉࢀ࡚࠸ࡿࠋࡢࢱࣉࡢࣔࢹࣝࡶ㛗ᡤ▷ᡤࡀ࠶ࡿࡢ࡛ࠊ୍ࡘࡢ ࣔࢹࣝ㐣ᗘ౫Ꮡࡍࡁ࡛ࡣ࡞ࡃࠊᛶ㉁ࡢ␗࡞ࡿ」ᩘࢆᥞ࠼㸦ࡑࢀࡒࢀࡢ≉ᛶࢆ༑ศ⌮ ゎࡋࡓୖ࡛㸧⤌ࡳྜࢃࡏ࡚࠺ࡇ࡛▷ᡤࢆ⿵࠸ࠊ㛗ᡤࢆ㝿❧ࡓࡏࡿࡇࢆ┠ᣦࡍࡁ ࠸࠺ࡇࡔࢁ࠺ࠋ ࡇ࠺ࡋࡓ⪃࠼᪉ࢆ㋃ࡲ࠼ࠊෆ㛶ᗓ⤒῭♫⥲ྜ◊✲ᡤ࡛ࡣࠊᮏ㈨ᩱ࡛⤂ࡋ࡚࠸ࡿࠕ▷ ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡢࠊDSGE ᆺࡸ VAR ᆺ➼ࠊ」ᩘࡢࣔࢹࣝࢆ㛤Ⓨ࣭ά⏝ࡋ ࡚࠸ࡿࠋ⌮ㄽᩚྜᛶࢆ᭱㔜せどࡍࡿ DSGE ࣔࢹࣝᐇドᛶ㸦ࢹ࣮ࢱࡢᙜ࡚ࡣࡲࡾ㸧ᇶ࡙ ࠸࡚ᵓ⠏ࡉࢀࡿ VAR ࣔࢹࣝࢆ୧ᴟࡍࢀࡤࠊ⤒῭⌮ㄽࢆ⪃៖ࡋࡘࡘࢹ࣮ࢱࡢࣇࢵࢺࡶ 㔜どࡋࡓࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡣࡑࡢ୰㛫ࡢࣁࣈࣜࢵࢻᆺࣔࢹࣝ⨨࡙ ࡅࡽࢀࡿࠋ ࣁࣈࣜࢵࢻᆺࡢࣔࢹࣝࡣ⌮ㄽᐇドࡢࣂࣛࣥࢫࢆ⪃៖ࡋࡓᐇ㊶ⓗࣔࢹ࡛ࣝ࠶ࡿ㠃ࠊ ࡕࡽࡘ࠸࡚ࡶ୰㏵༙➃࡞ࡗ࡚ࡋࡲ࠺ᜍࢀࡀ࠶ࡿࠋࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖ ࡛ࡣࠊ⤒῭⌮ㄽࡢᩚྜᛶ࠸࠺ほⅬࡽࠊ 㸦ẚ㍑ⓗከࡃཷࡅධࢀࡽࢀ᫆࠸㸧ᶆ‽ⓗ࡞࣐ ࢡࣟ⤒῭Ꮫࡢ⌮ㄽ6ᇶ࡙࠸࡚ᐃࡉࢀࡿᆒ⾮㛵ಀࢆࢹ࣮ࢱࡢඹศ㛵ಀࡋ࡚ᑟࡁࠊ㛗ᮇ ⓗࡣࡑࡢᆒ⾮ᅇᖐࡍࡿຊࡀാࡃㄗᕪಟṇ࣓࢝ࢽࢬ࣒ࢆྲྀࡾධࢀ࡚࠸ࡿࠋࡲࡓ▷ᮇືᏛ ࡘ࠸࡚ࡣࠊ⌧ᐇࢹ࣮ࢱࡢ㏣㊧ຊࢆ㔜どࡋࡓ VAR 㢮ఝࡢ㝵ᕪࣛࢢ㡯ࢆከ⏝ࡋࡓࠋຍ࠼࡚ࠊ ఏ⤫ⓗ࣐ࢡࣟィ㔞ࣔࢹࣝࡢⰋࡉࡢ୍ࡘ࡛࠶ࡿᅜẸ⤒῭ィ⟬ࡢᩚྜᛶࢆከࡃࡢᐃ⩏ᘧ࡛ᢸ ಖࡋ࡚࠾ࡾࠊࡑࢀࡀලయⓗ࡞ၥ㢟ព㆑ᛂࡌࡓࣔࢹࣝࡢಟṇ࣭ኚ᭦ࢆᐜ᫆ࡍࡿ➼ࡢⅬ ࢆ⏕ࢇ࡛࠸ࡿࠋ ࡇ࠺ࡋࡓ⪃࠼ࡢୗ㛤Ⓨࡉࢀࡓࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡣࠊ⤒῭⌮ㄽࡢ㐍ᒎ ⌧ᐇࡢ⤒῭ᵓ㐀ࡢ⤒ᖺኚࢆ㋃ࡲ࠼㝶ᨵゞࡉࢀ࡚࠾ࡾࠊࡲࡓࡑࡢᵓ㐀ཬࡧᩘ7ࡀࠊ ✀ࠎࡢᨻ⟇ࡸእⓗࢩࣙࢵࢡࡀ᪥ᮏ⤒῭࠼ࡿᙳ㡪ࢆᐃ㔞ⓗホ౯ࡍࡿ㝿ࡢཧ⪃㈨ᩱࡋ ࡚බ㛤ࡉࢀ࡚࠸ࡿࠋࡑࡢពᅗࡣࠊࣔࢹࣝࡢ⨨࡙ࡅ㛵ࡍࡿ㆟ㄽࡽࡶ᫂ࡽ࡞㏻ࡾࠊᨻ ⟇ຠᯝ➼㛵ࡍࡿࠕ၏୍ࡢṇゎࠖࢆ♧ࡍࡇࡣ࡞ࡃࠊᶆ‽ⓗ⌮ㄽࢹ࣮ࢱࡽ᥎ィࡉࢀ ࡓࣃ࣓࣮ࣛࢱࠊཬࡧయ⣔ࢆ㛢ࡌࡿᐃ⩏㛵ಀᘧࡢୗ࡛⟬ฟࡉࢀࡿ⤒῭ࡢᛂࣃࢱ࣮ࣥ㸦㆟ㄽ ࡢ⣲ᮦ㸧ࢆලయⓗ♧ࡋࠊᨻ⟇ຠᯝ㛵ࡍࡿ㆟ㄽࢆႏ㉳ࡋ࡚ࢥࣥࢭࣥࢧࢫᙧᡂ㈨ࡍࡿࡇ ࠶ࡿࠋᑓ㛛ᐙࡢ㛫࡛ࡍࡽྜពࡢ࡞࠸≧ἣ࡛ࠊ≉ᐃࡢᩘ㸦ᨻ⟇ホ౯㸧ேࡀྜពࡍ ࡿࡣ⪃࠼㞴࠸ࡀࠊ ࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡣࠊࡑࡢྜពᙧᡂࢆ┠ᣦࡍດຊࡢሙ 㸦㛤ࢀࡓሙ࡛ࡢ㆟ㄽ㸧ࠕ྇ࡁྎࠖࢆᥦ౪ࡍࡿᙺࢆᢸࡗ࡚࠸ࡿࢃࡅ࡛࠶ࡿࠋ 6 䛣䛣䛷ゝ䛖䛂⌮ㄽ䛃䛿䚸䠄ඛ➃ⓗ䛷䛿䛒䜛䛜␗ㄽ䜒ᑡ䛺䛟䛺䛔䠅᭱㐺⾜ື䛛䜙ᑟ䛝ฟ䛥䜜䜛䝭䜽䝻ⓗᇶ♏䛵䛡䛾䛒 䜛⌮ㄽ䜢䠄ᚲ䛪䛧䜒䠅ព䛩䜛䜒䛾䛷䛿䛺䛟䚸䜐䛧䜝ᑓ㛛ᐙ䠄⤒῭Ꮫ⪅䜔Ẹ㛫䜶䝁䝜䝭䝇䝖➼䠅䛾ከ䛟䛜ᴫ䛽ྜព䜢᭷ 䛧䛶䛔䜛䛸⪃䛘䜙䜜䜛䝬䜽䝻ኚᩘ㛫䛾䠄୰㛗ᮇⓗ䠅㛵ಀ䛷䛒䜛䚹 7 䛣䛣䛷䛾䛂ᩘ䛃䛸䛔䛖⏝ㄒ䛿䚸ᨻᗓᨭฟ䜢ቑຍ䛥䛫䛯䛸䛝ᅜẸᡤᚓ䠄䛺䛔䛧 GDP䠅䛜䛭䛾ఱಸቑຍ䛩䜛䛛䛸䛔䛖 ព䛾⊃⩏䛾䛭䜜䛷䛿䛺䛟䚸⤒῭ᨻ⟇䜢ྵ䜐ఱ䜙䛛䛾እⓗ䝅䝵䝑䜽䛜⤒῭䝅䝇䝔䝮䛻䛹䛾䜘䛖䛺Ἴཬຠᯝ䜢䜒䛯䜙 䛩䛛䜢⾲䛩ព䛷⏝䛔䛶䛔䜛䚹 6 ࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡢ⨨࡙ࡅᙺ 㸳㸬࠾ࢃࡾ ࠕ▷ᮇ᪥ᮏ⤒῭࣐ࢡࣟィ㔞ࣔࢹࣝࠖࡣࠊᵝࠎ࡞ᨻ⟇ࡸእⓗࢩࣙࢵࢡࡀ᪥ᮏ⤒῭࠼ࡿ ᙳ㡪ࢆศᯒࡋࠊᨻ⟇ホ౯࣭⟇ᐃ㈨ࡍࡿࡇࢆ┠ⓗࡋ࡚ࠊྛ✀ࡢࢩ࣑࣮ࣗࣞࢩࣙࣥ⤖ᯝ ࢆ࠸ࢃࡺࡿᩘࡢᙧ࡛බ⾲ࡋ࡚ࡁࡓࠋ㐺ᛂⓗᮇᚅࡼࡿࣂࢵࢡ࣮࣡ࢻ࣭ࣝࢵ࢟ࣥࢢᆺࡢࣔ ࢹ࡛ࣝ࠶ࡿ࠸࠺Ⅼ࡛ࡣࠊྠࡌࢣࣥࢪࣥࡢሙྜ࡛࠶ࡗ࡚ࡶ DSGE ࢱࣉࡢࣔࢹࣝẚ ㍑ࡋ࡚ࠊᏛ⾡ⓗ࡞ࣀ࣮࣋ࢩࣙࣥࡀᑡ࡞࠸ࡇࡣྰࡵ࡞࠸ࠋࣔࢹࣝࡀ㐣ཤ㸦᥎ィᮇ㛫㸧ࡢ ᖹᆒⓗᛂࢆ⌧ࡍࡿࡼ࠺ᵓ⠏ࡉࢀ࡚࠸ࡿࡓࡵࠊ᥎ィᮇ㛫㸦⤒㦂㸧ࡢ࡞࠸ࡁ࡞ኚ ࠊྲྀศࡅࠊᨻ⟇ࣞࢪ࣮࣒ࡢኚ᭦ࡢຠᯝࢆ㐺ṇホ౯࡛ࡁ࡞࠸࠸࠺㝈⏺ࡀ࠶ࡿⅬࡣᖖ ᚰ␃ࡵ࡚࠾ࡃᚲせࡀ࠶ࡿࡔࢁ࠺8ࠋ ࡣゝ࠼ࠊ ࠕ࣮ࣝ࢝ࢫᢈุࠖࡣࡑࡢ⌮ㄽⓗព⩏ࡣ⭡ࠊᐇドⓗ࡞᳨ฟࡣ㞴ࡋ࠸ࡇ ࡀ▱ࡽࢀ࡚࠾ࡾ㸦Ericsson and Irons, 1995㸧9ࠊேࡀ㸦ᑡ࡞ࡃࡶᑓ㛛ᐙࡀ㸧ྜព࡛ࡁࡿࠕᐃ ᘧㄗࡾࡢ࡞࠸ DSGE ᆺࣔࢹࣝࠖࡢぢ㎸ࡳࡀᙜ㠃❧ࡓ࡞࠸⌧≧ࢆ㋃ࡲ࠼ࡿ࡞ࡽࠊࣞࢪ࣮ ࣒㌿ࡣᙜࡓࡽ࡞࠸᪤Ꮡࡢᯟ⤌ࡳࡢୗ࡛ࡢᨻ⟇ࡸࣛࣥࢲ࣒⏕ࡌࡿእⓗࢩࣙࢵࢡࡢᙳ㡪 ࡢホ౯࠾ࡅࡿఏ⤫ⓗࣔࢹࣝࡢ᭷⏝ᛶࡣࡶ࠺ᑡࡋホ౯ࡉࢀ࡚ࡼ࠸ࠋຍ࠼࡚ࠊఏ⤫ⓗ࡞࣐ࢡ ࣟィ㔞ࣔࢹࣝࡣࠊDSGE ࣔࢹࣝࡸ VAR ࣔࢹࣝẚከࡃࡢኚᩘࡀᢅ࠸᫆ࡃࠊ⌧ᐇࡢไᗘ ࢆ࠶ࡿ⛬ᗘᛅᐇ࡛ᫎࡁࡿ࠸࠺≉ᚩࡀ࠶ࡾࠊࡇࢀࡼࡾᨻ⟇ࢆලయⓗ⪃៖ࡋࡓホ౯ ࡀྍ⬟࡞ࡗ࡚࠸ࡿࡇࡶࡁ࡞࣓ࣜࢵࢺ10ゝ࠼ࡿࡔࢁ࠺ࠋ ࢢࣞࣥࢪ࣮ࣕ㸦2009㸧ࡣࠕࣔࢹࣝࡣពᛮỴᐃ⪅ࡗ࡚ᙺ❧ࡘࡶࡢ࡛࡞ࡅࢀࡤ࡞ࡽ࡞ ࠸ࠖ㏙࡚࠸ࡿࠋ࢝ࢹ࣑ࢬ࣒ࡽࡢཝࡋ࠸ᢈุ㸦Ꮫ࡛ࡢேẼ㸧ࡶࢃࡽࡎࠊ ఏ⤫ⓗ࡞࣐ࢡࣟィ㔞ࣔࢹࣝࡀẸ㛫ࡢண ࡸබⓗࢭࢡࢱ࣮࡛ࡢᨻ⟇ホ౯➼࡛ά⏝ࡉࢀ⥆ࡅ࡚ ࠸ࡿࡢࡣࠊࡑࢀࡀࠊඛ➃ⓗ࡞ DSGE ࣔࢹࣝࡸ VAR ࣔࢹࣝࡼࡿಟṇ࣭⿵ࢆせࡍࡿሙྜ ࡀ࠶ࡿࡏࡼࠊ⏝⪅ࡢㄆ㆑ᙧᡂࡸពᛮỴᐃᙺ❧ࡘࡽ࡞ࡽ࡞࠸ࠋDSGE ᆺࣔࢹࣝࠊ VAR ࣔࢹࣝࠊఏ⤫ⓗ࡞࣐ࢡࣟィ㔞ࣔࢹࣝࡢࡑࢀࡒࢀ࠾࠸࡚ࠊ⌧ᐇ⤒῭ࢆࡼࡾⓗ☜ᥥ ࡍࡿヨࡳࢆᚋࡶ⥅⥆ࡋࠊⓗ☜࡞デ᩿ࡢࡓࡵࡑࢀࡽࢆ┠ⓗᛂࡌ࡚࠸ศࡅࡿࡔࡅࡢᰂ ㌾ᛶࡀồࡵࡽࢀ࡚࠸ࡿࠋ 8 ࠼ࡤࠊ㔠⼥ᙜᒁࡼࡿᑗ᮶ࡢᨻ⟇ࢫࢱࣥࢫ㛵ࡍࡿࢼ࢘ࣥࢫ࣓ࣥࢺ㸦ࢥ࣑ࢵࢺ࣓ࣥࢺ㸧ࡸ㈈ᨻᙜᒁ ࡼࡿ㈈ᨻࢫࢱࣥࢫࡢᜏஂⓗ࡞ኚࡣᮇᚅࢆ㏻ࡌ࣐ࢡࣟ⤒῭ࡁ࡞ᙳ㡪ࢆཬࡰࡍྍ⬟ᛶࡀ࠶ࡿࡀࠊᡃࠎ ࡢࣔࢹࣝࡣࡑ࠺ࡋࡓ࣓࢝ࢽࢬ࣒ࡣ⤌ࡳ㎸ࡲࢀ࡚࠸࡞࠸ࠋ 9 Lindé (2001)ࡣࡇࢀࡀࠕ࣮ࣝ࢝ࢫᢈุࠖࡢ᳨ド⏝ࡉࢀࡿ㉸እ⏕ᛶ㸦super exogeneity㸧ࢸࢫࢺࡢ᳨ฟຊ ࡢᙅࡉࡢࡏ࠸࡛࠶ࡿྍ⬟ᛶࢆᣦࡋ࡚࠸ࡿࠋ 10 ࡇࡢ࣓ࣜࢵࢺࡣ࠶ࡃࡲ࡛┦ᑐⓗ࡞ࡶࡢ࡛࠶ࡾࠊ࣐ࢡ࣭ࣟࣔࢹ࡛ࣝ࠶ࡿ௨ୖࠊ࣐ࢡࣟ⤒῭Ꮫࡢయ⣔࡛ࡢᥥ 㥆ᰁࡲ࡞࠸ᚤどⓗ௳ࡢኚ㸦ಶู㈈ࡸᆅᇦࡢၥ㢟➼㸧ࡢグ㏙ࡸᙳ㡪ホ౯ࢆ⾜࠸ᚓࡿࡶࡢ࡛ࡣ࡞࠸ࡇ ࡣゝࢆಗࡓ࡞࠸ࠋ 7 ࠕ⤒῭ศᯒࠖ➨ 190 ྕ ཧ⪃ᩥ⊩ Box, G. and N. 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