Effects of the Bank of Japan’s current quantitative and qualitative easing

Takashi Matsuki, Kimiko Sugimoto and Katsuhiko Satoma

Economics Letters, 2015, vol. 133, issue C, 112-116

Abstract: This paper examines how the Bank of Japan’s current quantitative and qualitative easing affects the Japanese economy by using a Markov-switching vector autoregression model on daily economic data during January 2012–August 2014. The results reveal that quantitative easing by expanding the monetary base significantly lowers short-term interest rates and raises inflation rates. In addition, the lowered interest rates positively affect inflation rates. Qualitative easing through purchases of long-term government bonds and exchange-traded funds increases economic activity. Purchases of exchange-traded funds stimulate the stock and foreign exchange markets in Japan, while purchases of Japan real estate investment trusts do not have any effect.

Keywords: Quantitative easing; Qualitative easing; Markov-switching vector autoregression; Impulse response (search for similar items in EconPapers)
JEL-codes: C32 E44 E52 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:133:y:2015:i:c:p:112-116

DOI: 10.1016/j.econlet.2015.05.025

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