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Regime shifts in the effects of Japan’s unconventional monetary policies
Author(s) -
Miyao Ryuzo,
Okimoto Tatsuyoshi
Publication year - 2020
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/manc.12323
Subject(s) - economics , stylized fact , monetary policy , monetary economics , inflation (cosmology) , vector autoregression , quantitative easing , inflation targeting , keynesian economics , structural vector autoregression , macroeconomics , central bank , physics , theoretical physics
Japan 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.