Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time?

Henrike Michaelis and Sebastian Watzka

Journal of International Money and Finance, 2017, vol. 70, issue C, 204-233

Abstract: Using a time-varying parameter vector autoregression (TVP-VAR) framework with a new set of sign restrictions, we study the changing effectiveness of the Bank of Japan's Quantitative Easing policies over time. We specifically analyse the so-called Zero-Interest Rate Policy from 1999 to 2000, the Quantitative Easing Policy from 2001 to 2006, and most recently the so-called ‘Abenomics’ strategy.

Keywords: Bayesian time-varying parameter VAR; Monetary policy; Quantitative easing; Zero lower bound (search for similar items in EconPapers)
JEL-codes: C30 E44 E52 F41 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560616301097
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time? (2017)
Working Paper: Are there Differences in the Effectiveness of Quantitative Easing at the Zero-Lower-Bound in Japan over Time? (2014)
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:70:y:2017:i:c:p:204-233

DOI: 10.1016/j.jimonfin.2016.08.008

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 ().