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The Macroeconomic Effects of Japan's Unconventional Monetary Policies

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  • MIYAO Ryuzo
  • OKIMOTO Tatsuyoshi

Abstract

Japan is the country with the longest history of implementing unconventional monetary policies, which were first introduced 15 years ago and have since been expanded several times. A case in point is the quantitative and qualitative monetary easing (QQE) policy introduced by the Bank of Japan (BOJ) in early 2013 along with the commitment to continue with the program as long as necessary to achieve a 2% price stability target. This study attempts to assess the overall macroeconomic effects of Japan's unconventional monetary policies, with an emphasis on the recent QQE program. Using a stylized block-recursive vector autoregression (VAR) framework, the analysis suggests that expansionary unconventional monetary policy shocks have clear macroeconomic effects, leading to a persistent rise in real output and inflation in Japan. The evidence also suggests that these macroeconomic effects became larger and more persistent after the introduction of QQE. A formal analysis that allows for a regime shift based on a smooth-transition VAR model supports these findings.

Suggested Citation

  • MIYAO Ryuzo & OKIMOTO Tatsuyoshi, 2017. "The Macroeconomic Effects of Japan's Unconventional Monetary Policies," Discussion papers 17065, Research Institute of Economy, Trade and Industry (RIETI).
    • Handle: RePEc:eti:dpaper:17065
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    4. Yuto Iwasaki & Nao Sudo, 2017. "Myths and Observations on Unconventional Monetary Policy -- Takeaways from Post-Bubble Japan --," Bank of Japan Working Paper Series 17-E-11, Bank of Japan.
    5. Koeda, Junko, 2019. "Macroeconomic effects of quantitative and qualitative monetary easing measures," Journal of the Japanese and International Economies, Elsevier, vol. 52(C), pages 121-141.

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