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Estimating the Bank of Japan's monetary policy reaction function

Author

Listed:
  • Yu Hsing

    (Southeastern Louisiana University, Department of General Business, Hammond (USA))

Abstract

Extending the Taylor rule and applying the VAR model, the author finds that the overnight call rate reacts positively to a shock to the inflation gap, the output gap, yen depreciation, stock prices, or the lagged overnight call rate. The response of the overnight call rate to exchange rates or stock prices lasts longer than the reaction to the output gap and the inflation gap. Except for the lagged overnight call rate, the inflation gap and the exchange rate are more influential than the output gap and stock prices in explaining the variance of the overnight call rate.

Suggested Citation

  • Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.
    • Handle: RePEc:psl:bnlqrr:2004:24
    as

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    File URL: http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9826/9711
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    References listed on IDEAS

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    More about this item

    Keywords

    Monetary Policy; Monetary; Policy;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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