Source of Underestimation of the Monetary Policy Effect: Re-examination of the Policy Effectiveness in Japan's 1990s

No DP2014-10, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: This paper re-examines the empirical evidence on the potency of Japanese monetary policy in the 1990s by comparing the estimated impacts of various proxies of monetary policy shocks on the macro economy. My empirical results demonstrate that the surprise target changes as a proxy of monetary policy shocks had impacts on real output and financial variables over the period 1990–2001. I also show that the estimated effects of identified monetary policy shocks depend on whether the shocks are anticipated or not; The monetary policy effects on the economy are underestimated when the empirical models fail to control for the market expectation for monetary policy stance.

Keywords: Monetary policy; Surprise target changes; Vector autoregression model; Japan (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2014-03
New Economics Papers: this item is included in nep-cba, nep-ger, nep-mac and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2014-10.pdf Revised version, 2015 (application/pdf)

Related works:
Journal Article: Source of Underestimation of the Monetary Policy Effect: Re-Examination of the Policy Effectiveness in Japan's 1990s (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kob:dpaper:dp2014-10

Access Statistics for this paper

More papers in Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University 2-1 Rokkodai, Nada, Kobe 657-8501 JAPAN. Contact information at EDIRC.
Bibliographic data for series maintained by Office of Promoting Research Collaboration, Research Institute for Economics & Business Administration, Kobe University ().