The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change ?

Alexia Bastien and Frédérique Bec
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No 2005-14, Working Papers from Center for Research in Economics and Statistics

Abstract: Despite expansionary fiscal and monetary policies, the Japanese real economy has been stagnatingsince the bubble bursting in the early nineties. Within a multivariate setup, this paper proposesto test for and date a possible structural shift in the response of Japanese macroeconomic fluctuations toaggregate supply and aggregate demand shocks. The econometric methodology directly derives from Andrews[1993] and Bai, Lumsdaine and Stock [1998] theoretical results. Our empirical study from monthlypost-1980 observations reveals i) a significant structural break in December 1991, and ii) a sharp decreasein the influence of demand shocks on Japanese output fluctuations after this date.

Pages: 20
Date: 2005
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Related works:
Journal Article: The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change? (2007)
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