Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade

Tomoo Inoue, Tatsuyoshi Okimoto

研究成果: Article査読

30 被引用数 (Scopus)

抄録

This paper employs block recursive structural VAR models with Markov switching for modeling monetary policy and private sector behavior of the Japanese economy. By estimating the endogenous structural breaks, we investigate the existence, number, and nature of breaks possibly implied by the monetary policy adopted between 1975 and 2002. Results indicate that the Japanese economic system is best described by a non-absorbing two-state model, with major break happened around 1996. We also confirm that the interest rate monetary policy was effective before 1996, while monetary base shocks are identified as monetary policy shocks only after 1996. J. Japanese Int. Economies 22 (3) (2008) 320-342.

本文言語English
ページ(範囲)320-342
ページ数23
ジャーナルJournal of The Japanese and International Economies
22
3
DOI
出版ステータスPublished - 2008 9月
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論

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