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The Effect of Unconventional Monetary Policy on the Macro Economy: Evidence from Japan's Quantitative Easing Policy Period

Author

Listed:
  • Masahiko Shibamoto

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

  • Minoru Tachibana

    (School of Economics, Osaka Prefecture University, Japan)

Abstract

This paper assesses the effectiveness of unonventional monetary policy on the macro ecnomy. It focuses on the Japanese economy during the Bank of Japan's quantitative easing policy period, and analyzes the effects of monetary policy shocks and systematic monetary policy using the vector autoregression model with simultaneous interaction between stock prices and policy decisions. The main finding is that unconventional monetary policy has a significant effect on the macro economy, which is closely in line with the existing evidence under the conventional monetary policy setting. The output effects work through the transmission linking the stock market and the real economy, while it plays a limited role in terms of the price effects. The analysis also suggests that the Bank of Japan's systematic policy responses mitigate severe downward pressure on the real economy generated from the stock market.

Suggested Citation

  • Masahiko Shibamoto & Minoru Tachibana, 2013. "The Effect of Unconventional Monetary Policy on the Macro Economy: Evidence from Japan's Quantitative Easing Policy Period," Discussion Paper Series DP2013-12, Research Institute for Economics & Business Administration, Kobe University.
    • Handle: RePEc:kob:dpaper:dp2013-12
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    File URL: https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2013-12.pdf
    File Function: First version, 2013
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    Citations

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    Cited by:

    1. Raphael Fischer & Gunther Schnabl, 2018. "Regional heterogeneity, the rise of public debt and monetary policy in post-bubble Japan: lessons for the EMU," International Economics and Economic Policy, Springer, vol. 15(2), pages 405-428, April.
    2. MIYAO Ryuzo & OKIMOTO Tatsuyoshi, 2017. "The Macroeconomic Effects of Japan's Unconventional Monetary Policies," Discussion papers 17065, Research Institute of Economy, Trade and Industry (RIETI).
    3. Masahiko Shibamoto, 2016. "Empirical Assessment of the Impact of Monetary Policy Communication on the Financial Market," Discussion Paper Series DP2016-19, Research Institute for Economics & Business Administration, Kobe University.
    4. Masahiko Shibamoto, 2016. "Source of Underestimation of the Monetary Policy Effect: Re-Examination of the Policy Effectiveness in Japan's 1990s," Manchester School, University of Manchester, vol. 84(6), pages 795-810, December.
    5. Stephanos Papadamou & Vasilios Sogiakas, 2018. "The informational content of unconventional monetary policy on precious metal markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 16-36, January.
    6. Stephanos Papadamou & Eleftherios Spyromitros & Nikolaos A. Kyriazis, 2018. "Quantitative easing effects on commercial bank liability and government yields in UK: A threshold cointegration approach," International Economics and Economic Policy, Springer, vol. 15(2), pages 353-371, April.
    7. Ryuzo Miyao & Tatsuyoshi Okimoto, 2020. "Regime shifts in the effects of Japan’s unconventional monetary policies," Manchester School, University of Manchester, vol. 88(6), pages 749-772, December.

    More about this item

    Keywords

    Unconventional monetary policy; Vector autoregression model; Interaction between monetary policy and stock market; Effects of monetary policy shocks; Systematic monetary policy responses;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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