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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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  • Alexia Bastien

    (Crest)

  • Frédérique Bec

    (Crest)

Abstract

Despite expansionary fiscal and monetary policies, the Japanese real economy has been stagnatingsince the bubble bursting in the early nineties. Within a multivariate setup, this paper proposesto test for and date a possible structural shift in the response of Japanese macroeconomic fluctuations toaggregate 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 monthlypost-1980 observations reveals i) a significant structural break in December 1991, and ii) a sharp decreasein the influence of demand shocks on Japanese output fluctuations after this date.

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Bibliographic Info

Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2005-14.

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Length: 20
Date of creation: 2005
Date of revision:
Handle: RePEc:crs:wpaper:2005-14

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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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