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The Effect of Unconventional Monetary Policy on the Macro Economy: Evidence from Japan's Quantitative Easing Policy Period

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Author Info

  • Masahiko Shibamoto

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

  • Minoru Tachibana

    (School of Economics, Osaka Prefecture University, Japan)

Abstract

This paper assesses the effectiveness of unonventional monetary policy on the macro ecnomy. It focuses on the Japanese economy during the Bank of Japan's quantitative easing policy period, and analyzes the effects of monetary policy shocks and systematic monetary policy using the vector autoregression model with simultaneous interaction between stock prices and policy decisions. The main finding is that unconventional monetary policy has a significant effect on the macro economy, which is closely in line with the existing evidence under the conventional monetary policy setting. The output effects work through the transmission linking the stock market and the real economy, while it plays a limited role in terms of the price effects. The analysis also suggests that the Bank of Japan's systematic policy responses mitigate severe downward pressure on the real economy generated from the stock market.

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File URL: http://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2013-12.pdf
File Function: First version, 2013
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Bibliographic Info

Paper provided by Research Institute for Economics & Business Administration, Kobe University in its series Discussion Paper Series with number DP2013-12.

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Length: 45 pages
Date of creation: Apr 2013
Date of revision:
Handle: RePEc:kob:dpaper:dp2013-12

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Related research

Keywords: Unconventional monetary policy; Vector autoregression model; Interaction between monetary policy and stock market; Effects of monetary policy shocks; Systematic monetary policy responses;

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