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The estimation of monetary policy reaction function in a data-rich environment: The case of Japan

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  • Shibamoto, Masahiko

Abstract

This paper reports the estimates of a monetary policy reaction function for the Bank of Japan in a data-rich environment. There are two main findings. First, a weak identification problem arises in the estimates under the specifications that some previous works employ, though in a data-rich environment it may be possible to avoid this problem. Second, the evidence from the estimates in a data-rich environment suggests that the Bank of Japan only controlled the inflation forecast, and placed no weight on output stabilization directly over the period from November 1988 through February 2001.

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  • Shibamoto, Masahiko, 2008. "The estimation of monetary policy reaction function in a data-rich environment: The case of Japan," Japan and the World Economy, Elsevier, vol. 20(4), pages 497-520, December.
  • Handle: RePEc:eee:japwor:v:20:y:2008:i:4:p:497-520
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    1. repec:kap:enreec:v:70:y:2018:i:1:d:10.1007_s10640-016-0108-1 is not listed on IDEAS
    2. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
    3. Pang, Iris Ai Jao, 2010. "Forecasting Hong Kong economy using factor augmented vector autoregression," MPRA Paper 32495, University Library of Munich, Germany.
    4. Sánchez-Fung, José R., 2011. "Estimating monetary policy reaction functions for emerging market economies: The case of Brazil," Economic Modelling, Elsevier, vol. 28(4), pages 1730-1738, July.
    5. F. Zagonari, 2015. "Coherence, efficiency, and independence of the EU environmental policy system: results of complementary statistical and econometric analyses," Working Papers wp992, Dipartimento Scienze Economiche, Universita' di Bologna.

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