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Regime shifts in the effects of Japan’s unconventional monetary policies

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  • Ryuzo Miyao
  • Tatsuyoshi Okimoto

Abstract

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.

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  • 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.
    • Handle: RePEc:bla:manchs:v:88:y:2020:i:6:p:749-772
    DOI: 10.1111/manc.12323
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    Cited by:

    1. Hiroyuki Kubota & Mototsugu Shintani, 2020. "High-frequency Identification of Unconventional Monetary Policy Shocks in Japan," CARF F-Series CARF-F-502, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2022. "International spillover effects of unconventional monetary policies of major central banks," International Review of Financial Analysis, Elsevier, vol. 79(C).
    3. Tomoo Inoue & Tatsuyoshi Okimoto, 2022. "How does unconventional monetary policy affect the global financial markets?," Empirical Economics, Springer, vol. 62(3), pages 1013-1036, March.
    4. Tomomi Miyazaki & Haruo Kondoh, 2022. "Effects of Monetary and Fiscal Policy Interactions on Regional Employment: Evidence from Japan," Discussion Papers 2206, Graduate School of Economics, Kobe University.

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