Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade
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Inoue, Tomoo; Okimoto, Tatsuyoshi
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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]
dc.contributor.author | Inoue, Tomoo | |
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dc.contributor.author | Okimoto, Tatsuyoshi | |
dc.date.accessioned | 2015-12-08T22:08:51Z | |
dc.identifier.issn | 0889-1583 | |
dc.identifier.uri | http://hdl.handle.net/1885/28770 | |
dc.description.abstract | 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. � 2008 Elsevier Inc. All rights reserved. | |
dc.publisher | Academic Press | |
dc.source | Journal of the Japanese and International Economies | |
dc.subject | Keywords: Markov switching; MCMC; Monetary policy; VAR | |
dc.title | Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 22 | |
dc.date.issued | 2008 | |
local.identifier.absfor | 140212 - Macroeconomics (incl. Monetary and Fiscal Theory) | |
local.identifier.ariespublication | u4430637xPUB60 | |
local.type.status | Published Version | |
local.contributor.affiliation | Inoue, Tomoo, Faculty of Economics, Seikei University | |
local.contributor.affiliation | Okimoto, Tatsuyoshi, College of Asia and the Pacific, ANU | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.issue | 3 | |
local.bibliographicCitation.startpage | 320 | |
local.bibliographicCitation.lastpage | 342 | |
local.identifier.doi | 10.1016/j.jjie.2007.11.002 | |
local.identifier.absseo | 910108 - Monetary Policy | |
dc.date.updated | 2015-12-08T07:20:36Z | |
local.identifier.scopusID | 2-s2.0-50249107640 | |
local.identifier.thomsonID | 000259206300003 | |
Collections | ANU Research Publications |
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