The Bank of Japan's Operating Procedures and the Identification of Monetary Policy Shocks: A Reexamination using the Bernanke-Mihov Approach
Kiyotaka Nakashima ()
MPRA Paper from University Library of Munich, Germany
This paper reexamines the operating procedures of the Bank of Japan (BOJ) and identifies the monetary policy shock up to June 1995 by employing the structural VAR approach of Bernanke and Mihov (1998). This approach identifies exogenous components of monetary policy by setting up equilibrium models of the reserve market. In this way, it presents two equilibrium models, the Implicit Cost (IC) model and the Credit Rationing (CR) model, which are distinguished by opposing views about the BOJ's discount-window borrowing policy. The IC model has the feature that the BOJ endogenously accommodates the demand for discount-window borrowing by private banks. In contrast, the CR model has the feature that the BOJ exogenously controls the level of discount-window lending. This paper demonstrates that the CR model is superior to the IC model in describing the BOJ's operating procedures up to June 1995.
Keywords: operating procedures; monetary policy shock; structural vector autoregression. (search for similar items in EconPapers)
JEL-codes: C32 E52 E58 (search for similar items in EconPapers)
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Published in Journal of the Japanese and International Economies 3.20(2006): pp. 406-433
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Journal Article: The Bank of Japan's operating procedures and the identification of monetary policy shocks: A reexamination using the Bernanke-Mihov approach (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:70687
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