 The transmission of monetary policy shocks: Evidence from JapanRitsu Yano, Yoshiyuki Nakazono and Kento Tango Journal of the Japanese and International Economies, 2025, vol. 75, issue C Abstract: Following Miranda-Agrippino and Ricco (2021), we identify a monetary policy shock in Japan. We construct this shock to be orthogonal to the Bank of Japan’s macroeconomic forecasts, as well as a central bank’s information shock (Nakamura and Steinsson, 2018). Our findings indicate that a surprise policy tightening is contractionary, leading to a deterioration in output and decline in prices. There are no lagged effects of monetary policy on inflation. In response to a tightening shock, prices fall immediately. Furthermore, we demonstrate that a positive central bank information shock increases both output and prices. An unexpected positive outlook from the Bank of Japan raises stock prices and depreciates the Japanese yen. This evidence suggests that information effects play a crucial role in the Japanese economy, even under the effective lower bound. Keywords: Expectation; Inflation; Monetary policy; Monetary policy shock; Price puzzle; Private information (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:75:y:2025:i:c:s0889158324000455 DOI: 10.1016/j.jjie.2024.101349 Access Statistics for this article Journal of the Japanese and International Economies is currently edited by Takeo Hoshi More articles in Journal of the Japanese and International Economies from Elsevier |
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