Re-examination of monetary policy using a shift-share regressor and instrumental variables

Hiroshi Gunji and Kazuki Miura ()
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Kazuki Miura: Aichi Gakuin University

Economics Bulletin, 2025, vol. 45, issue 1, 392 - 400

Abstract: This study re-examines the effects of monetary policy using Japanese data and a new approach, the shift-share regressor and instrumental variables, which has not been used in previous vector autoregression analyses. We find that consumption and investment respond negatively to interest rates, while output and employment do not respond much. Moreover, a price puzzle is observed, although this difference is not statistically significant. These results imply that the effects of monetary policy are negligible and unstable.

Keywords: monetary policy; shift-share regressor; instrumental variable; Japan (search for similar items in EconPapers)
JEL-codes: C2 E5 (search for similar items in EconPapers)
Date: 2025-03-30
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