Open AccessAn Investigation on the Monetary Policy and Short-term Interest Rates in Japan
Author(s) -
Chikashi Tsuji
Publication year - 2011
Publication title -
journal of public administration and governance
Language(s) - English
Resource type - Journals
ISSN - 2161-7104
DOI - 10.5296/jpag.v1i1.703
Subject(s) - economics , taylor rule , monetary policy , linkage (software) , interest rate , index (typography) , zero (linguistics) , monetary economics , nominal interest rate , term (time) , sample (material) , real interest rate , econometrics , macroeconomics , central bank , biochemistry , chemistry , linguistics , philosophy , physics , world wide web , computer science , gene , quantum mechanics , chromatography
We explore the intertemporal linkage between call rate changes, consumer price index (CPI) changes, and real gross domestic product (GDP) changes in Japan based on the Taylor rule of monetary policy. In our analysis, we consider two sample periods, namely, the former is before zero-interest rate policy and the latter is after it. According to our empirical results, first, we find that the relations between call rate changes and GDP changes and those between call rate changes and CPI changes are weak before zero-interest rate policy. Second, we also find that after zero-interest rate policy, mutual intertemporal relations between call rate changes and GDP changes are seen as the US Taylor rule suggests, although the linkage between call rate changes and CPI changes is not seen. Hence after zero-interest rate policy, regarding call rates and GDP, the relations suggested by US Taylor rule are found in Japan.