The Effects of Monetary Policy Commitment: Evidence from Time- varying Parameter VAR Analysis
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- Jouchi Nakajima, 2011.
"Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications,"
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 29, pages 107-142, November.
- Jouchi Nakajima, 2011. "Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications," IMES Discussion Paper Series 11-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
- Kagraoka, Yusho & Moussa, Zakaria, 2013.
"Quantitative easing, credibility and the time-varying dynamics of the term structure of interest rate in Japan,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 181-201.
- Yusho Kagraoka & Zakaria Moussa, 2010. "Quantitative Easing, Credibility and the Time-Varying Dynamics of the Term Structure of Interest rate in Japan," Working Papers halshs-00543010, HAL.
- Fumio Hayashi & Junko Koeda, 2014. "Exiting from QE," NBER Working Papers 19938, National Bureau of Economic Research, Inc.
- Jouchi Nakajima & Mike West, 2013. "Bayesian Analysis of Latent Threshold Dynamic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 151-164, April.
- Nakazono, Yoshiyuki & Ueda, Kozo, 2013.
"Policy commitment and market expectations: Lessons learned from survey based evidence under Japan's quantitative easing policy,"
Japan and the World Economy, Elsevier, vol. 25, pages 102-113.
- Yoshiyuki Nakazono & Kozo Ueda, 2011. "Policy Commitment and Market Expectations: Lessons Learned from Survey Based Evidence under Japan's Quantitative Easing Policy," IMES Discussion Paper Series 11-E-12, Institute for Monetary and Economic Studies, Bank of Japan.
- Moussa, Zakaria, 2010. "The Japanese Quantitative Easing Policy under Scrutiny: A Time-Varying Parameter Factor-Augmented VAR Model," MPRA Paper 29429, University Library of Munich, Germany.
- Nakajima Jouchi, 2011.
"Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-24, October.
- Jouchi Nakajima, 2011. "Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach," IMES Discussion Paper Series 11-E-08, Institute for Monetary and Economic Studies, Bank of Japan.
- Joice John, 2015. "Has Inflation Persistence In India Changed Over Time?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(04), pages 1-16.
- Mohanty, Deepak & John, Joice, 2015. "Determinants of inflation in India," Journal of Asian Economics, Elsevier, vol. 36(C), pages 86-96.
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More about this item
Keywords
Policy commitment; policy duration effect; expectations management; Bayesian estimation; time-varying parameter vector autoregression with stochastic volatility;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2010-03-28 (Central Banking)
- NEP-MON-2010-03-28 (Monetary Economics)
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