The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach

Kyungho Jang and Masao Ogaki
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Kyungho Jang: U AL

Monetary and Economic Studies, 2003, vol. 21, issue 1, 1-34

Abstract: This paper investigates the effects of shocks to Japanese monetary policy on exchange rates and other macroeconomic variables, using structural vector error correction model methods with long-run restrictions. Long-run restrictions are attractive because they are more directly related to economic models than typical recursive short-run restrictions that some variables are not affected contemporaneously by shocks to other variables. In contrast with our earlier study of U.S. monetary policy with long-run restrictions in which the empirical results were more consistent with the standard exchange rate model than those with short-run restrictions, our results for Japanese monetary policy with long-run restrictions are less consistent with the model than those with short-run restrictions.

JEL-codes: E32 E52 F31 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (7)

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