Macroeconomic effects of monetary policy in Japan: an analysis using interest rate futures surprises

IF 1.9 4区 经济学 Q2 ECONOMICS
Hiroyuki Kubota, Mototsugu Shintani
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Abstract

We estimate the effects of monetary policy on the aggregate economy in Japan during the last three decades when the effective lower bound (ELB) on interest rates was occasionally binding. We use monetary policy surprises from the interest rate futures market as the external instrument to identify monetary policy shocks in the vector autoregressive model. We find that monetary policy has been effective in Japan during the last three decades, and the effect was more persistent in the ELB regime than in the non-ELB regime. In a simulation exercise, we further show that a New Keynesian model with forward guidance can replicate our empirical finding.

Abstract Image

日本货币政策的宏观经济效应:利用利率期货意外的分析
在过去三十年中,当利率的有效下限(ELB)偶尔具有约束力时,我们估算了货币政策对日本总体经济的影响。我们使用利率期货市场的货币政策意外作为外部工具,在向量自回归模型中识别货币政策冲击。我们发现,在过去三十年中,日本的货币政策是有效的,而且在 ELB 体制下,货币政策的效果比非 ELB 体制下更持久。在模拟演练中,我们进一步表明,带有前瞻性指导的新凯恩斯主义模型可以复制我们的经验发现。
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来源期刊
CiteScore
4.40
自引率
0.00%
发文量
157
期刊介绍: Empirical Economics publishes high quality papers using econometric or statistical methods to fill the gap between economic theory and observed data. Papers explore such topics as estimation of established relationships between economic variables, testing of hypotheses derived from economic theory, treatment effect estimation, policy evaluation, simulation, forecasting, as well as econometric methods and measurement. Empirical Economics emphasizes the replicability of empirical results. Replication studies of important results in the literature - both positive and negative results - may be published as short papers in Empirical Economics. Authors of all accepted papers and replications are required to submit all data and codes prior to publication (for more details, see: Instructions for Authors).The journal follows a single blind review procedure. In order to ensure the high quality of the journal and an efficient editorial process, a substantial number of submissions that have very poor chances of receiving positive reviews are routinely rejected without sending the papers for review.Officially cited as: Empir Econ
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