Macroeconomic Effects of Monetary Policy in Japan: An Analysis Using Interest Rate Futures Surprises

Hiroyuki Kubota and Mototsugu Shintani
Additional contact information
Hiroyuki Kubota: University of California, Los Angeles
Mototsugu Shintani: The University of Tokyo

No CARF-F-555, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: We estimate the effects of monetary policy on the aggregate economy in Japan during the last three decades when the effective lower bound (ELB) on interest rates was occasionally binding. Using monetary policy surprises from the interest rate futures market as the external instrument to identify monetary policy shocks in the VAR model, we show that monetary policy has been effective in Japan for the entire sample period but its effect was more persistent in the ELB regime. Using a New Keynesian model with forward guidance, we further show that our empirical finding is consistent with theoretical predictions.

Pages: 34
Date: 2023-02
New Economics Papers: this item is included in nep-cba, nep-fdg and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.carf.e.u-tokyo.ac.jp/wp/wp-content/uploads/2023/02/F555.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf555

Access Statistics for this paper

More papers in CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by ().