Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time?
Henrike Michaelis and
Journal of International Money and Finance, 2017, vol. 70, issue C, 204-233
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)
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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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:70:y:2017:i:c:p:204-233
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