Abstract
The non-negativity constraint on nominal interest rates may have been a major factor behind a putative structural break in the effectiveness of monetary policy. To check for the existence of such a break without making prior assumptions about timing, and to enable comparison between pre- and post-break monetary policy, we employ an identified Markov switching VAR framework. Estimation results support the existence of a structural break around the time when the de facto zero nominal interest rate policy was resumed and the effectiveness of monetary policy is seen to weaken since then although slightly positive effects from monetary easing still exist. J. Japanese Int. Economies 20 (3) (2006) 434-453.
| Original language | English |
|---|---|
| Pages (from-to) | 434-453 |
| Number of pages | 20 |
| Journal | Journal of the Japanese and International Economies |
| Volume | 20 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2006 Sep |
| Externally published | Yes |
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Keywords
- Markov switching VAR
- Monetary policy
- Zero nominal interest rate floor
ASJC Scopus subject areas
- Economics and Econometrics
- Finance
Cite this
Evaluating monetary policy when nominal interest rates are almost zero. / Fujiwara, Ippei.
In: Journal of the Japanese and International Economies, Vol. 20, No. 3, 09.2006, p. 434-453.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Evaluating monetary policy when nominal interest rates are almost zero
AU - Fujiwara, Ippei
PY - 2006/9
Y1 - 2006/9
N2 - The non-negativity constraint on nominal interest rates may have been a major factor behind a putative structural break in the effectiveness of monetary policy. To check for the existence of such a break without making prior assumptions about timing, and to enable comparison between pre- and post-break monetary policy, we employ an identified Markov switching VAR framework. Estimation results support the existence of a structural break around the time when the de facto zero nominal interest rate policy was resumed and the effectiveness of monetary policy is seen to weaken since then although slightly positive effects from monetary easing still exist. J. Japanese Int. Economies 20 (3) (2006) 434-453.
AB - The non-negativity constraint on nominal interest rates may have been a major factor behind a putative structural break in the effectiveness of monetary policy. To check for the existence of such a break without making prior assumptions about timing, and to enable comparison between pre- and post-break monetary policy, we employ an identified Markov switching VAR framework. Estimation results support the existence of a structural break around the time when the de facto zero nominal interest rate policy was resumed and the effectiveness of monetary policy is seen to weaken since then although slightly positive effects from monetary easing still exist. J. Japanese Int. Economies 20 (3) (2006) 434-453.
KW - Markov switching VAR
KW - Monetary policy
KW - Zero nominal interest rate floor
UR - http://www.scopus.com/inward/record.url?scp=33747202718&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=33747202718&partnerID=8YFLogxK
U2 - 10.1016/j.jjie.2006.02.001
DO - 10.1016/j.jjie.2006.02.001
M3 - Article
AN - SCOPUS:33747202718
VL - 20
SP - 434
EP - 453
JO - Journal of the Japanese and International Economies
JF - Journal of the Japanese and International Economies
SN - 0889-1583
IS - 3
ER -