Potential growth and natural yield curve in Japan

Gilles Dufrénot (), Meryem Rhouzlane and Etienne Vaccaro-Grange
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Meryem Rhouzlane: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: We estimate the yield curve gap in Japan and examine whether it has contributed to the sustained low growth and low inflation rates observed since the beginning 2000s. We use a semi-structural empirical model that generalizes Laubach and Williams' approach, considering the entire range of maturities of the interest rates and dealing with the issue of mixed frequency sampling. An important result is that, even in the absence of a zero lower bound, monetary and fiscal policies proved ineffective in bringing the Japanese economy out of a situation of prolonged stagnation and low inflation. This happened even when the yield curve moved below its natural level.

Keywords: Yield curve; Potential growth; State-space model; Japan (search for similar items in EconPapers)
Date: 2022-06
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Published in Journal of International Money and Finance, 2022, 124, pp.102628. ⟨10.1016/j.jimonfin.2022.102628⟩

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Related works:
Journal Article: Potential growth and natural yield curve in Japan (2022)
Working Paper: Potential Growth and Natural Yield Curve in Japan (2019)
Working Paper: Potential Growth and Natural Yield Curve in Japan (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03680259

DOI: 10.1016/j.jimonfin.2022.102628

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