Evaluating monetary policy when nominal interest rates are almost zero

Ippei Fujiwara

doi:10.1016/j.jjie.2006.02.001

Evaluating monetary policy when nominal interest rates are almost zero

Ippei Fujiwara

Research output: Contribution to journal › Article › peer-review

37 Citations (Scopus)

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	https://doi.org/10.1016/j.jjie.2006.02.001
Publication status	Published - 2006 Sep
Externally published	Yes

Keywords

Markov switching VAR
Monetary policy
Zero nominal interest rate floor

ASJC Scopus subject areas

Finance
Economics and Econometrics
Political Science and International Relations

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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.

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Evaluating monetary policy when nominal interest rates are almost zero

Abstract

Keywords

ASJC Scopus subject areas

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