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Re-examination of monetary policy using a shift-share regressor and instrumental variables

Author

Listed:
  • Hiroshi Gunji

    (Daito Bunka University)

  • Kazuki Miura

    (Aichi Gakuin University)

Abstract

This study re-examines the effects of monetary policy using Japanese data and a new approach, the shift-share regressor and instrumental variables, which has not been used in previous vector autoregression analyses. We find that consumption and investment respond negatively to interest rates, while output and employment do not respond much. Moreover, a price puzzle is observed, although this difference is not statistically significant. These results imply that the effects of monetary policy are negligible and unstable.

Suggested Citation

  • Hiroshi Gunji & Kazuki Miura, 2025. "Re-examination of monetary policy using a shift-share regressor and instrumental variables," Economics Bulletin, AccessEcon, vol. 45(1), pages 392-400.
    • Handle: RePEc:ebl:ecbull:eb-23-00348
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    monetary policy; shift-share regressor; instrumental variable; Japan;
    All these keywords.

    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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