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

Inoue, Tomoo; Okimoto, Tatsuyoshi


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...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: Journal of the Japanese and International Economies
DOI: 10.1016/j.jjie.2007.11.002


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