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Monetary Policy in Japan Reconsidered: A Regime-switching VAR Analysis

Author

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  • Iiboshi, Hirokuni
  • Umeda, Masanobu
  • Wakita, Shigeru

Abstract

Using a regime-switching VAR, this paper investigates the effect of monetary policy in Japan. Unlike previous studies, this paper considers more than two regimes and introduces into the VAR analysis standard variables such as the money supply and price level. Based on the standard procedure, the independent regime for a quantitative easing policy is dentified when the policy effect is insignificant.

Suggested Citation

  • Iiboshi, Hirokuni & Umeda, Masanobu & Wakita, Shigeru, 2008. "Monetary Policy in Japan Reconsidered: A Regime-switching VAR Analysis," MPRA Paper 87391, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:87391
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    References listed on IDEAS

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    More about this item

    Keywords

    quantitative easing; regime switching; monetary policy; zero-interest-rate policy;
    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
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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