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The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?

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  • Bec Frédérique

    ()
    (THEMA, University of Cergy-Pontoise and CREST)

  • Bastien Alexia

    ()
    (University of Paris 1, Eurequa)

Abstract

Despite expansionary fiscal and monetary policies, the Japanese real economy has been stagnating since the bubble bursting in the early nineties. Within a multivariate setup, this paper proposes to test for and date a possible structural shift in the response of Japanese macroeconomic fluctuations to aggregate supply and aggregate demand shocks. The econometric methodology directly derives from Andrews (1993) and Bai, Lumsdaine and Stock (1998) theoretical results. Our empirical study from monthly post-1980 observations reveals i) a significant structural break in the end of 1991, and ii) a sharp decrease in the influence of demand shocks on Japanese output fluctuations after this date.

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Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 11 (2007)
Issue (Month): 4 (December)
Pages: 1-25

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Handle: RePEc:bpj:sndecm:v:11:y:2007:i:4:n:5

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Cited by:
  1. Frédérique Bec & Christian Gollier, 2009. "Term Structure and Cyclicity of Value-at-Risk: Consequences for the Solvency Capital Requirement," CESifo Working Paper Series 2596, CESifo Group Munich.

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