Is There a Direct Effect of Money?: Money's Role in an Estimated Monetary Business Cycle Model of the Japanese Economy
AbstractIn this paper, I estimate the monetary business cycle model of the Japanese economy by the method advocated by Ireland (2002a), the max- imum likelihood estimation of the dynamic stochastic general equilibrium model in a state-space representation. The model estimated here includes the direct role of money on output and inflation so that we could study the alternative transmission mecha- nism of monetary policy to traditional interest rate channel, which may even work under the zero nominal interest rate as in Japan now. However, estimation results report that the direct effect of money is extremely small even if there could be. This nding is consistent with the ones obtained for US data in Ireland (2002a) and Euro area in Andres, Lopez-Salido and Valles (2001).
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Bibliographic InfoPaper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 03-15.
Length: 32 pages
Date of creation: Dec 2003
Date of revision:
Direct Role of Money; Cross-Restriction; Maximum Likelihood Estimation; Dynamic Stochastic General Equilibrium Model;
Other versions of this item:
- Fujiwara, Ippei, 2007. "Is there a direct effect of money?: Money's role in an estimated monetary business cycle model of the Japanese economy," Japan and the World Economy, Elsevier, vol. 19(3), pages 329-337, August.
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-11 (All new papers)
- NEP-MAC-2005-07-11 (Macroeconomics)
- NEP-MON-2005-07-11 (Monetary Economics)
- NEP-SEA-2005-07-11 (South East Asia)
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