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Potential Growth and Natural Yield Curve in Japan

Gilles Dufrénot (), Meryem Rhouzlane () and Etienne Vaccaro-Grange
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Gilles Dufrénot: Aix-Marseille Univ., CNRS, EHESS, Centrale Marseille, AMSE, Marseille, France & CEPII, https://www.amse-aixmarseille.fr/users/dufrenot
Meryem Rhouzlane: Aix-Marseille Univ., CNRS, EHESS, Centrale Marseille, AMSE, Marseille, France, https://www.amse-aixmarseille.fr/users/rhouzlane

No 1912, AMSE Working Papers from Aix-Marseille School of Economics, France

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. We consider global factors exerting downward pressures on inflation and examine how the neutral yield curve has affected the snowball effect in the dynamics of the Japanese public debt ratio.

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)
New Economics Papers: this item is included in nep-mac
Date: 2019-04
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