The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan : Has There Been a Structural Change ?
Despite expansionary fiscal and monetary policies, the Japanese real economy has been stagnatingsince the bubble bursting in the early nineties. Within a multivariate setup, this paper proposesto test for and date a possible structural shift in the response of Japanese macroeconomic fluctuations toaggregate supply and aggregate demand shocks. The econometric methodology directly derives from Andrews and Bai, Lumsdaine and Stock  theoretical results. Our empirical study from monthlypost-1980 observations reveals i) a significant structural break in December 1991, and ii) a sharp decreasein the influence of demand shocks on Japanese output fluctuations after this date.
|Date of creation:||2005|
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