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What does the Bank of Japan do to East Asia?

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  • Bartosz Mackowiak

Abstract

In recent policy debates some have argued that expansionary monetary policy in Japan can increase real output in Japan and in Japan´s neighbors, while others have warned that it is a beggar-thy-neighbor policy. In this paper we estimate structural vector autoregressions to assess the effects of Japanese monetary policy shocks. We find that the effects of Japanese monetary policy shocks on macroeconomic variation in East Asia have been modest and difficult to reconcile with the beggar-thy-neighbor view. We estimate that the Asian crisis was preceded by expansionary monetary policy shocks in Japan, but we fail to find support for the view that these shocks contributed to the crisis.

Suggested Citation

  • Bartosz Mackowiak, 2005. "What does the Bank of Japan do to East Asia?," SFB 649 Discussion Papers SFB649DP2005-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  • Handle: RePEc:hum:wpaper:sfb649dp2005-059
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    Cited by:

    1. Konstantins Benkovskis & Andrejs Bessonovs & Martin Feldkircher & Julia Wörz, 2011. "The Transmission of Euro Area Monetary Shocks to the Czech Republic, Poland and Hungary: Evidence from a FAVAR Model," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 8-36.
    2. Jannsen, Nils & Klein, Melanie, 2011. "The international transmission of euro area monetary policy shocks," Kiel Working Papers 1718, Kiel Institute for the World Economy (IfW Kiel).
    3. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
    4. Horvath Roman & Rusnak Marek, 2009. "How Important Are Foreign Shocks in a Small Open Economy? The Case of Slovakia," Global Economy Journal, De Gruyter, vol. 9(1), pages 1-17, March.
    5. Kronick, Jeremy, 2014. "Monetary Policy Shocks from the EU and US: Implications for Sub-Saharan Africa," MPRA Paper 59416, University Library of Munich, Germany.
    6. Luca Agnello & Davide Furceri & Ricardo M. Sousa, 2011. "Fiscal Policy Discretion, Private Spending, and Crisis Episodes," NIPE Working Papers 31/2011, NIPE - Universidade do Minho.
    7. repec:zbw:bofitp:2008_005 is not listed on IDEAS
    8. Mark M. Spiegel & Andrew Tai, 2017. "International Transmission of Japanese Monetary Shocks Under Low and Negative Interest Rates: A Global Favar Approach," Working Paper Series 2017-8, Federal Reserve Bank of San Francisco.
    9. Canova, Fabio & Favero, Carlo A., 2005. "Monetary Policy in the Euro Area: Lessons from Five Years of ECB and Implications for Turkey," CEPR Discussion Papers 5101, C.E.P.R. Discussion Papers.
    10. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
    11. Haidar, Jamal Ibrahim, 2012. "Currency crisis transmission through international trade," Economic Modelling, Elsevier, vol. 29(2), pages 151-157.
    12. Fabio Canova & Carlo Favero, 2005. "Monetary policy in the Euro area: Lessons from 5 years of ECB and implications for Turkey," Economics Working Papers 922, Department of Economics and Business, Universitat Pompeu Fabra.
    13. Luca Agnello & Davide Furceri & Ricardo Sousa, 2013. "Discretionary Government Consumption, Private Domestic Demand, and Crisis Episodes," Open Economies Review, Springer, vol. 24(1), pages 79-100, February.
    14. Nilufer Ozdemir, 2013. "Effects of Monetary Policy Coordination on Small Open Economies," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(3), pages 124-136, May.
    15. Tomasz Koluk & Aaron Mehrotra, 2009. "The impact of Chinese monetary policy shocks on East and South‐East Asia1," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 17(1), pages 121-145, January.
    16. Shiu‐Sheng Chen & Tzu‐Yu Lin, 2019. "Do Exchange Rate Shocks Have Asymmetric Effects on Reserve Accumulation? Evidence from Emerging Markets," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1561-1586, October.
    17. Anders C. Johansson, 2012. "China’s Growing Influence in Southeast Asia – Monetary Policy and Equity Markets," The World Economy, Wiley Blackwell, vol. 35(7), pages 816-837, July.
    18. Mohd Azlan Shah Saidi & Zulkefly Abdul Karim & Zurina Kefeli@Zulkefli, 2018. "Impact of China on Malaysian Economy: Empirical Evidence of Sign-Restricted Structural Vector Autoregression (SVAR) Model," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 14(2), pages 25-44.
    19. Kozluk, Tomasz & Mehrotra, Aaron, 2008. "The impact of Chinese monetary policy shocks on East Asia," BOFIT Discussion Papers 5/2008, Bank of Finland Institute for Emerging Economies (BOFIT).
    20. Yoshiyuki Fukuda & Yuki Kimura & Nao Sudo & Hiroshi Ugai, 2013. "Cross-country Transmission Effect of the U.S. Monetary Shock under Global Integration," Bank of Japan Working Paper Series 13-E-16, Bank of Japan.
    21. Kozluk, Tomasz & Mehrotra, Aaron, 2008. "The impact of Chinese monetary policy shocks on East Asia," BOFIT Discussion Papers 5/2008, Bank of Finland, Institute for Economies in Transition.

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    More about this item

    Keywords

    Structural vector autoregression; sign restrictions; monetary policy shocks; spillover effects; beggar-thy-neighbor; Japan; East Asia;
    All these keywords.

    JEL classification:

    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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