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Not all international monetary shocks are alike for the Japanese economy

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It is found that over 1999:1-2012:12 China’s monetary expansion influences Japan through the effect of China’s growth on world commodity prices, increased demand for imports, and exchange rate policy. China’s monetary expansion is associated with significant increases in Japan’s industrial production, exports and inflation, and decreases in the trade-weighted yen. In contrast, U.S. monetary expansion results in contraction in Japan’s industrial production, exports and trade balance (expenditure-switching). Monetary expansion in the Euro area does not significantly affect Japan. Structural vector error correction models are estimated. Results are robust to various contemporaneous restrictions for the effect of international monetary variables, the interaction of foreign and domestic variables and to factor augmented VAR to identify monetary shocks

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File URL: http://eprints.utas.edu.au/16920/1/2013-06_not_all_international_monetary_shocks_are_alike_for_japanese_economy_(final_version).pdf
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Bibliographic Info

Paper provided by University of Tasmania, School of Economics and Finance in its series Working Papers with number 16920.

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Length: 35 pages
Date of creation: 05 Aug 2013
Date of revision: 05 Aug 2013
Publication status: Published by the University of Tasmania. Discussion paper 2013-06
Handle: RePEc:tas:wpaper:16920

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Keywords: International Monetary shocks; Japanese economy; Oil/commodity prices; SVEC models;

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