Money Demand Sensitivity to Interest Rates: The Case of Japans Zero-Interest Rate Policy

Nicholas Apergis ()

Asian Economic and Financial Review, 2015, vol. 5, issue 9, 1043-1049

Abstract: The goal of this paper is to provide new evidence on how the zero-interest rate policy implemented by the Bank of Japan has affected the sensitivity of money demand with respect to the opportunity cost of holding money. To the empirical ends of the analysis, the study makes use of the univariate conditional autoregressive value-at-risk (CAViaR) estimator to obtain robust quantile measures. The empirical findings document that the sensitivity of money demand with respect to the opportunity cost of holding money has significantly increased after the 1994 period. The results remain robust across quantile measures.

Keywords: Money demand; Sensitivity to opportunity cost; Zero-interest rate monetary policy; Japan. (search for similar items in EconPapers)
Date: 2015
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