Not all international monetary shocks are alike for the Japanese economy

Ronald Ratti and Joaquin Vespignani

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: It is found that over 1999:1-2012:12 China’s monetary expansion influences Japan through the effect of China’s growth on world commodity prices, increased demand for imports, and exchange rate policy. China’s monetary expansion is associated with significant increases in Japan’s industrial production, exports and inflation, and decreases in the trade-weighted yen. In contrast, U.S. monetary expansion results in contraction in Japan’s industrial production, exports and trade balance (expenditure-switching). Monetary expansion in the Euro area does not significantly affect Japan. Structural vector error correction models are estimated. Results are robust to various contemporaneous restrictions for the effect of international monetary variables, the interaction of foreign and domestic variables and to factor augmented VAR to identify monetary shocks.

Keywords: International Monetary shocks; Japanese economy; Oil/commodity prices; SVEC models (search for similar items in EconPapers)
JEL-codes: E52 F41 F42 Q43 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2014-02
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-sog
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Related works:
Journal Article: Not all international monetary shocks are alike for the Japanese economy (2016)
Working Paper: Not all international monetary shocks are alike for the Japanese economy (2013)
Working Paper: Not all international monetary shocks are alike for the Japanese economy (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2014-14

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