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An Analysis of the Effectiveness of Japanese Monetary Policy Through a Statistical Mathematical Approach: a Simultaneous Equations Model (SEM)

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  • Rosa Ferrentino
  • Luca Vota

Abstract

In this paper, the authors offer a policy analysis about the problem of the effectiveness of the Japanese monetary policy in contrasting the last three main crises that the country has experienced from the 1990s to today: that of the Lost decade, that of 2008 and that caused by the pandemic of COVID-19. To this end, they present a small equilibrium model consisting of a system of simultaneous equations (SEM) identified by solving the consumption optimization problem of the representative household and the profit optimization problem of the representative firm. The SEM was estimated using the three-stage least squares method (3SLS) quarterly historical series, at constant prices, in the sample period Q1 1994 - Q2 2020. The result achieved by the authors is that the monetary policy has been inadequate to stimulate the per capita GDP growth rate, the private consumption, the investment, the actual inflation and the expected inflation. Â JEL classification numbers: C30, C40, C51, C60, E51.

Suggested Citation

  • Rosa Ferrentino & Luca Vota, 2022. "An Analysis of the Effectiveness of Japanese Monetary Policy Through a Statistical Mathematical Approach: a Simultaneous Equations Model (SEM)," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 11(1), pages 1-2.
    • Handle: RePEc:spt:stecon:v:11:y:2022:i:1:f:11_1_2
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    References listed on IDEAS

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    1. Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka, 2008. "Monetary factors and inflation in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 22(3), pages 343-363, September.
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    4. Mr. Daniel Leigh, 2009. "Monetary Policy and the Lost Decade: Lessons from Japan," IMF Working Papers 2009/232, International Monetary Fund.
    5. Rosa Ferrentino & Luca Vota, 2019. "A structural vector autoregression model for the study of the Japanese GDP and of the Japanese inflation," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 9(2), pages 1-6.
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    Cited by:

    1. Rosa Ferrentino & Luca Vota, 2022. "The Low-Skilled Immigrants’ Integration Process: a Mathematical Analysis," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 12(6), pages 1-8.

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    More about this item

    Keywords

    Mathematical and statistical methods; Mathematical applications for Economics; Japanese monetary policy; Quantitative easing; Simultaneous equations model.;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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