Output Composition of the Monetary Policy Transmission Mechanism in Japan
In this paper, we investigate the output composition of the monetary policy transmission mechanism in Japan. The predominant channel through which monetary policy affects output in Japan is usually thought to be the investment channel, namely the process whereby a change in the interest rate alters the cost of capital and therefore investment. In the United States, however, the consumption channel, which works through intertemporal substitution, is commonly considered the more significant of the two. The aim of this paper is twofold: 1) based on analysis using VAR models to understand which of the two channels, the consumption channel or the investment channel, plays the more important role in the transmission of the Japanese monetary policy; and 2) to contribute to the research on what Angeloni, Kashyap, Mojon and Terlizzese (2003) term the "Output Composition Puzzle," referring to the fact that whereas in the United States the predominant driver of output changes is the consumption channel, in the Euro area it is the investment channel. Results obtained from the Japanese models imply that the investment channel is more important.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 4 (2004)
Issue (Month): 1 (September)
|Contact details of provider:|| Web page: http://www.degruyter.com|
|Order Information:||Web: http://www.degruyter.com/view/j/bejm|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nelson, Edward, 2001.
"Direct Effects of Base Money on Aggregate Demand: Theory and Evidence,"
CEPR Discussion Papers
2666, C.E.P.R. Discussion Papers.
- Nelson, Edward, 2002. "Direct effects of base money on aggregate demand: theory and evidence," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 687-708, May.
- Edward Nelson, 2000. "Direct effects of base money on aggregate demand: theory and evidence," Bank of England working papers 122, Bank of England.
- Ben S. Bernanke & Julio J. Rotemberg, 1997. "Editorial in "NBER Macroeconomics Annual 1997, Volume 12"," NBER Chapters, in: NBER Macroeconomics Annual 1997, Volume 12, pages 1-6 National Bureau of Economic Research, Inc.
- Ben S. Bernanke & Julio J. Rotemberg (ed.), 1997. "NBER Macroeconomics Annual 1997," MIT Press Books, The MIT Press, edition 1, volume 1, number 026252242x, June.
- Kimura, Takeshi & Kurozumi, Takushi, 2004. "Effectiveness of history-dependent monetary policy," Journal of the Japanese and International Economies, Elsevier, vol. 18(3), pages 330-361, September.
- Hanson, Michael S., 2004. "The "price puzzle" reconsidered," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1385-1413, October.
- Takeshi Kimura & Hiroshi Kobayashi & Jun Muranaga & Hiroshi Ugai, 2003. "The effect of the increase in the monetary base of Japan's economy at zero interest rates: an empirical analysis," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 276-312 Bank for International Settlements.
- David B. Gordon & Eric M. Leeper, 1993.
"The dynamic impacts of monetary policy: an exercise in tentative identification,"
93-5, Federal Reserve Bank of Atlanta.
- Gordon, David B & Leeper, Eric M, 1994. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-47, December.
- David B. Gordon & Eric M. Leeper, 1992. "The dynamic impacts of monetary policy: an exercise in tentative identification," Working Paper 92-13, Federal Reserve Bank of Atlanta.
- Ippei Fujiwara, 2003.
"Output Composition of the Monetary Policy Transmission Mechanism in Japan,"
Bank of Japan Working Paper Series
03-E-9, Bank of Japan.
- Fujiwara Ippei, 2004. "Output Composition of the Monetary Policy Transmission Mechanism in Japan," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-23, September.
- Ichiro Fukunaga, 2002. "Financial Accelerator Effects in Japan's Business Cycles," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
- John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1.
- Shioji, Etsuro, 2000.
"Identifying Monetary Policy Shocks in Japan,"
Journal of the Japanese and International Economies,
Elsevier, vol. 14(1), pages 22-42, March.
- Ben S. Bernanke & Julio J. Rotemberg, 1997. "NBER Macroeconomics Annual 1997, Volume 12," NBER Books, National Bureau of Economic Research, Inc, number bern97-1.
- Ippei Fujiwara, 2003. "Has the effect of monetary policy changedduring 1990s?: An Application of Identified Markov Switching Vector Autoregression to the Impulse Response Analysis When the Nominal Interest Rate is Almost Ze," Discussion Papers in Economics and Business 03-08, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
When requesting a correction, please mention this item's handle: RePEc:bpj:bejmac:v:topics.4:y:2004:i:1:n:11. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.