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Regime shifts in the effects of Japan's unconventional monetary policies

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dc.contributor.authorMiyao, Riyuzo
dc.contributor.authorOkimoto, Tatsuyoshi
dc.date.accessioned2023-05-10T05:14:40Z
dc.date.issued2020
dc.date.updated2022-02-20T07:21:05Z
dc.description.abstractJapan 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.en_AU
dc.description.sponsorshipA 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 Foundationen_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn1463-6786en_AU
dc.identifier.urihttp://hdl.handle.net/1885/289963
dc.language.isoen_AUen_AU
dc.publisherWiley-Blackwellen_AU
dc.rights© 2020 The University of Manchester and John Wiley & Sons Ltden_AU
dc.sourceThe Manchester Schoolen_AU
dc.subjectinflation targeten_AU
dc.subjectsmooth-transition VARen_AU
dc.subjectquantitative easingen_AU
dc.titleRegime shifts in the effects of Japan's unconventional monetary policiesen_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.issue6en_AU
local.bibliographicCitation.lastpage772en_AU
local.bibliographicCitation.startpage749en_AU
local.contributor.affiliationMiyao, Riyuzo, Kobe Universityen_AU
local.contributor.affiliationOkimoto, Tatsuyoshi, College of Asia and the Pacific, ANUen_AU
local.contributor.authoruidOkimoto, Tatsuyoshi, u5577820en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor380112 - Macroeconomics (incl. monetary and fiscal theory)en_AU
local.identifier.ariespublicationa383154xPUB13405en_AU
local.identifier.citationvolume88en_AU
local.identifier.doi10.1111/manc.12323en_AU
local.publisher.urlhttps://www.wiley.com/en-gben_AU
local.type.statusPublished Versionen_AU

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