The Japanese Quantitative Easing Policy under Scrutiny: A Time-Varying Parameter Factor-Augmented VAR Model
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Cited by:
- Hiroyuki Ijiri & Yoichi Matsubayashi, 2016. "Quantitative Easing Policy, Exchange Rates and Business Activity by Industry in Japan from 2001-2006," Discussion Papers 1611, Graduate School of Economics, Kobe University.
- Troug, Haytem Ahmed & Murray, Matt, 2015. "Quantitative Easing in Japan and the UK An Econometric Evaluation of the Impacts of Unconventional Monetary Policy on the Returns of Aggregate Output and Price Levels," MPRA Paper 68707, University Library of Munich, Germany.
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More about this item
Keywords
Time varying parameters; Factor-Augmented VAR; Japan; Quantitative Easing; Transmission channels;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-03-26 (Central Banking)
- NEP-MON-2011-03-26 (Monetary Economics)
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