Is There a Direct Effect of Money?: Money's Role in an Estimated Monetary Business Cycle Model of the Japanese Economy

Ippei Fujiwara

No 03-15, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: In this paper, I estimate the monetary business cycle model of the Japanese economy by the method advocated by Ireland (2002a), the max- imum likelihood estimation of the dynamic stochastic general equilibrium model in a state-space representation. The model estimated here includes the direct role of money on output and inflation so that we could study the alternative transmission mecha- nism of monetary policy to traditional interest rate channel, which may even work under the zero nominal interest rate as in Japan now. However, estimation results report that the direct effect of money is extremely small even if there could be. This nding is consistent with the ones obtained for US data in Ireland (2002a) and Euro area in Andres, Lopez-Salido and Valles (2001).

Keywords: Direct Role of Money; Cross-Restriction; Maximum Likelihood Estimation; Dynamic Stochastic General Equilibrium Model (search for similar items in EconPapers)
JEL-codes: C31 E32 E52 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2003-12
New Economics Papers: this item is included in nep-mac, nep-mon and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Is there a direct effect of money?: Money's role in an estimated monetary business cycle model of the Japanese economy (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:osk:wpaper:03-15

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