The effect of Bank of Japan's commitment and the expectation form

Kunihiro Hanabusa

Applied Financial Economics, 2012, vol. 22, issue 6, pages 445-460

Abstract: This article uses a Lag Augmented Vector Autoregressive (LA-VAR) method to examine whether Bank of Japan's (BOJ) clarification of the commitment under the Quantitative Easing Policy (QEP) affects the relationship between macroeconomic variables. We compare the results with those obtained when a standard VAR approach is used. These empirical results are as follows. First, the exchange rate does not contain information on future economic performance from 2001 to 2006. Second, the bi-directional causality between the yield spread and stock price is observed in the period before the clarification of the commitment. However, there is no evidence of the causal relationship in the period after the clarification of the commitment.

Date: 2012
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/09603107.2011.617693 (text/html)
Access to full text is restricted to subscribers.

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: http://EconPapers.repec.org/RePEc:taf:apfiec:v:22:y:2012:i:6:p:445-460

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.asp

Access Statistics for this article

Applied Financial Economics is edited by Mark P. Taylor

More articles in Applied Financial Economics from Taylor and Francis Journals
Series data maintained by Michael McNulty ().