IDEAS home Printed from https://ideas.repec.org/a/bpj/sndecm/v11y2007i4n5.html
   My bibliography  Save this article

The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?

Author

Listed:
  • Bec Frédérique

    () (THEMA, University of Cergy-Pontoise and CREST)

  • Bastien Alexia

    () (University of Paris 1, Eurequa)

Abstract

Despite expansionary fiscal and monetary policies, the Japanese real economy has been stagnating since the bubble bursting in the early nineties. Within a multivariate setup, this paper proposes to test for and date a possible structural shift in the response of Japanese macroeconomic fluctuations to aggregate 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 monthly post-1980 observations reveals i) a significant structural break in the end of 1991, and ii) a sharp decrease in the influence of demand shocks on Japanese output fluctuations after this date.

Suggested Citation

  • Bec Frédérique & Bastien Alexia, 2007. "The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(4), pages 1-25, December.
  • Handle: RePEc:bpj:sndecm:v:11:y:2007:i:4:n:5
    as

    Download full text from publisher

    File URL: https://www.degruyter.com/view/j/snde.2007.11.4/snde.2007.11.4.1342/snde.2007.11.4.1342.xml?format=INT
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.
    2. Legrand, Romain, 2014. "Euro introduction: Has there been a structural change? Study on 10 European Union countries," Economic Modelling, Elsevier, vol. 40(C), pages 136-151.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:11:y:2007:i:4:n:5. 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). General contact details of provider: https://www.degruyter.com .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.