@article{78af6fdb32d74d4392f2993109b25220,
title = "Regime shifts in the effects of Japan{\textquoteright}s unconventional monetary policies",
abstract = "Japan is the country with the longest history of implementing unconventional monetary policies, which were first introduced more than fifteen years ago and have been expanded several times since then. This study attempts to assess the overall macroeconomic effects of Japan's unconventional monetary policies based on a stylized block-recursive vector autoregression with a smooth transition. The results suggest that expansionary unconventional monetary policy shocks have clear macroeconomic effects, leading to a persistent rise in real output and inflation. In addition, we demonstrate that these macroeconomic effects have become more persistent for output as well as stronger and more persistent for inflation in recent years, including in the quantitative and qualitative monetary easing period.",
keywords = "inflation target, quantitative easing, smooth-transition VAR",
author = "Ryuzo Miyao and Tatsuyoshi Okimoto",
note = "Funding Information: The authors would like to thank two anonymous referees, Pok‐sang Lam, Benjamin Friedman, participants at CEM Workshop, International Conference on Money and Finance and International Association of Applied Econometrics, and seminar participants at Korea University, Chukyo University, University of Tokyo, Hitotsubashi University, Keio University, and Australian National University for valuable comments and discussions. A part of this study is a result of the research project at the Research Institute of Economy, Trade and Industry (RIETI) by the second author. The first author acknowledges financial support from Nomura Foundation. Funding Information: The authors would like to thank two anonymous referees, Pok-sang Lam, Benjamin Friedman, participants at CEM Workshop, International Conference on Money and Finance and International Association of Applied Econometrics, and seminar participants at Korea University, Chukyo University, University of Tokyo, Hitotsubashi University, Keio University, and Australian National University for valuable comments and discussions. A part of this study is a result of the research project at the Research Institute of Economy, Trade and Industry (RIETI) by the second author. The first author acknowledges financial support from Nomura Foundation. Publisher Copyright: {\textcopyright} 2020 The University of Manchester and John Wiley & Sons Ltd",
year = "2020",
month = dec,
day = "1",
doi = "10.1111/manc.12323",
language = "English",
volume = "88",
pages = "749--772",
journal = "Manchester School",
issn = "1463-6786",
publisher = "Wiley-Blackwell",
number = "6",
}