Transmission mechanisms in Japan’s quantitative easing policy (2001–2006)

Authors

  • Hiroyuki Ijiri Okayama Shoka University

DOI:

https://doi.org/10.17811/ebl.6.2.2017.35-41

Abstract

This study investigates exchange rates and bank lending as the transmission channels for Japan’s Quantitative Easing Policy (QEP) during 2001–2006. Using a Time Varying Parameter-VAR model and monthly data to analyze the dynamism of the QEP, this study is the first to show that the exchange rate channel was the effective QEP transmission channel after around 2005, while the bank lending channel was inactive.

References

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Honda, Y., Kuroki, Y. and Tachibana, M. (2013) An Injection of Base Money at Zero Interest Rates: Empirical Evidence from the Japanese Experience 2001-2006, Japanese Journal of Monetary and Financial Economics, 1(1), 1-24.

Ijiri, H. (2016) Re-evaluating Japan’s Quantitative Easing Policy (2001-2006): An Application of the TVP-VAR Model, Japanese Journal of Monetary and Financial Economics, 4(1), 1-17.

Nakajima, J. (2011) Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications, Monetary and Economic Stud-ies, 29, 107-142.

Primiceri, G.E. (2005) Time Varying Structural Vector Autoregressions and Monetary Policy, Review of Economic Studies, 72-3, 821-852.

Shiratsuka, S. (2010) Size and Composition of the Central Bank Balance Sheet: Revisiting Japan’s Experience of the Quantitative Easing Policy, Monetary and Economic Studies, 28, 79-106.

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Published

07-06-2017

How to Cite

Ijiri, H. (2017). Transmission mechanisms in Japan’s quantitative easing policy (2001–2006). Economics and Business Letters, 6(2), 35–41. https://doi.org/10.17811/ebl.6.2.2017.35-41

Issue

Vol. 6 No. 2 (2017): June

Section

Articles

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