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The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach

Author

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  • Jang, Kyungho

    (U AL)

  • Ogaki, Masao

    (OH State U)

Abstract

This paper investigates the effects of shocks to Japanese monetary policy on exchange rates and other macroeconomic variables, using structural vector error correction model methods with long-run restrictions. Long-run restrictions are attractive because they are more directly related to economic models than typical recursive short-run restrictions that some variables are not affected contemporaneously by shocks to other variables. In contrast with our earlier study of U.S. monetary policy with long-run restrictions in which the empirical results were more consistent with the standard exchange rate model than those with short-run restrictions, our results for Japanese monetary policy with long-run restrictions are less consistent with the model than those with short-run restrictions.

Suggested Citation

  • Jang, Kyungho & Ogaki, Masao, 2003. "The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(1), pages 1-34, February.
  • Handle: RePEc:ime:imemes:v:21:y:2003:i:1:p:1-34
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Mehrotra, Aaron, 2009. "The case for price level or inflation targeting--What happened to monetary policy effectiveness during the Japanese disinflation?," Japan and the World Economy, Elsevier, vol. 21(3), pages 280-291, August.
    2. Harada, Nobuyuki & Kageyama, Noriyuki, 2011. "Bankruptcy dynamics in Japan," Japan and the World Economy, Elsevier, vol. 23(2), pages 119-128, March.
    3. repec:blg:journl:v:12:y:2017:i:2:p:206-219 is not listed on IDEAS
    4. 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.
    5. Mehrotra, Aaron N., 2007. "Exchange and interest rate channels during a deflationary era--Evidence from Japan, Hong Kong and China," Journal of Comparative Economics, Elsevier, vol. 35(1), pages 188-210, March.

    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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