Are there Differences in the Effectiveness of Quantitative Easing at the Zero-Lower-Bound in Japan over Time?

Henrike Michaelis and Sebastian Watzka

No 4901, CESifo Working Paper Series from CESifo

Abstract: Using a time-varying parameter vector autoregression (TVP-VAR) with a new sign restriction framework, we study the changing effectiveness of the Bank of Japan’s Quantitative Easing policies over time. We analyse the Zero-Interest Rate Policy from 1999 to 2000, the Quantitative Easing Policy from 2001 to 2006, and most recently the ‘Abenomics’ monetary policy easing strategy. Our results indicate that there are important differences concerning the effects of Quantitative Easing over time. We find a stronger and longer lasting positive influence of QE shocks on real GDP and CPI especially since 2013. This might reflect the influence of the ‘Abenomics’ program.

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: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: 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? (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_4901

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