A practical tool for policy analysis: The ESRI Short-Run Macroeconometric Model of the Japanese Economy (in Japanese)

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