Potential growth and natural yield curve in Japan

Gilles Dufrénot (), Meryem Rhouzlane and Etienne Vaccaro-Grange

Journal of International Money and Finance, 2022, vol. 124, issue C

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)
JEL-codes: C32 E43 E52 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560622000316
Full text for ScienceDirect subscribers only

Related works:
Working Paper: 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)
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: https://EconPapers.repec.org/RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000316

DOI: 10.1016/j.jimonfin.2022.102628

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().