Re-evaluating Japan’s Quantitative Easing Policy (2001–2006): An Application of the TVP-VAR Model.

• Ijiri Hiroyuki

  Kobe University

抄録

This study is the first to examine the changes in the effectiveness of Japan’s quantitative easing policy (QEP) at a monthly frequency, using time-varying parameter VAR estimation. The results are significantly different from those obtained in previous studies. First, it is shown that the QEP’s effects on the real economy have varied over time. The QEP effectively influenced production through most of the observation period, but its exact impacts varied throughout. However, with some exceptions, the QEP had limited effects on prices. Second, the QEP influenced stock price significantly all through the observation period. This result suggests that the stock price channel, might have been the effective transmission channel for the QEP.

収録刊行物

• Japanese Journal of Monetary and Financial Economics

  Japanese Journal of Monetary and Financial Economics 4 (1), 1-17, 2016

  日本金融学会

キーワード

• Quantitative easing policy (QEP)
• Bank of Japan (BoJ)
• Time-Varying Parameter vector autoregressive (TVP-VAR) model
• monetary policy
• transmission mechanism

詳細情報

• CRID: 1390845713080536320
• NII論文ID: 130007670092
• DOI: 10.32184/jjmfe.4.1_1
• ISSN: 2187560X
• 本文言語コード: en
• データソース種別:
  • JaLC
  • CiNii Articles
• 抄録ライセンスフラグ: 使用不可