Is there a direct effect of money?. Money's role in an estimated monetary business cycle model of the Japanese economy

研究成果: Article査読

5 被引用数 (Scopus)

抄録

In this paper, to study the alternative monetary transmission mechanism to the traditional interest rate channel which may even work under zero nominal interest rates, we estimate the monetary business cycle model of the Japanese economy that incorporates the direct role of money. Estimation is conducted on the system of equations in a state-space form via maximum likelihood estimation. We, however, find that the direct effect of money is extremely small in Japan. This finding is the same as those obtained for the U.S. in Ireland [Ireland, P., 2004. Money's role in the monetary business cycle. Journal of Money, Credit and Banking 36, 969-984] and the Euro area in Andres et al. [Andres, J., Lopez-Salido, D., Valles, J., 2001. Money in an Estimated Business Cycle Model of the Euro area. Working Paper 121, Bank of Spain].

本文言語English
ページ(範囲)329-337
ページ数9
ジャーナルJapan and The World Economy
19
3
DOI
出版ステータスPublished - 2007 8 1
外部発表はい

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations

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