Inflation, expectation, and the real economy in Japan

Masanori Ono

Journal of the Japanese and International Economies, 2017, vol. 45, issue C, 13-26

Abstract: This paper investigates the effectiveness of unconventional monetary policy in Japan by taking into account people's price expectations. First, a stability test revealed that the effects of the 2011 earthquake were not strong enough to have caused a structural break in the economy. Second, the impulse response analysis reveals that an expansionary policy has a temporary, positive effect on financial and real economic variables. However, the inflation rate does not increase to a statistically significant level from zero. Third, market participants’ expectation of a devaluation of the yen occurs in advance of an actual increase in the monetary base.

Keywords: Unconventional monetary policy; Stability test; Impulse responses (search for similar items in EconPapers)
JEL-codes: E31 E52 F41 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:45:y:2017:i:c:p:13-26

DOI: 10.1016/j.jjie.2017.05.002

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