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Effects of Unanticipated Monetary Policy on Aggregate Japanese Output: The Role of Positive and Negative Shock

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  • Joonsuk Chu
  • Ronald A. Ratti

Abstract

In this paper, evidence is presented for Japan that an asymmetry exists between the effects of positive and negative money shocks on output. This result held over different lag lengths in the monetary variables, for different specifications of the call money rate equation, and when monetary policy was measured by the monetary base or by M2 + CD. Unanticipated money, unlike positive and negative shocks, was statistically insignificant in explaining output. Results reinforce findings for the United States that an asymmetry between the effects of unexpected expansionary and contractionary monetary policy may constitute an empirical regularity requiring further investigation.

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Bibliographic Info

Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

Volume (Year): 30 (1997)
Issue (Month): 3 (August)
Pages: 722-41

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Handle: RePEc:cje:issued:v:30:y:1997:i:3:p:722-41

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Cited by:
  1. Goodness C. AYE & Rangan GUPTA, 2012. "The Effects Of Monetary Policy On Real Farm Prices In South Africa," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 12(1), pages 147-158.
  2. Babutsidze, Zakaria, 2010. "(S,s) pricing: Does the heterogeneity wipe out the asymmetry on micro level?," Economics Discussion Papers 2010-19, Kiel Institute for the World Economy.
  3. Lee, Byung Rhae & Lee, Kiseok & Ratti, Ronald A., 2001. "Monetary policy, oil price shocks, and the Japanese economy," Japan and the World Economy, Elsevier, vol. 13(3), pages 321-349, August.
  4. Zakaria Babutsidze, 2012. "Asymmetric (S,s) Pricing: Implications for Monetary Policy," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 177-204.

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