Monetary Policy in Japan Reconsidered: A Regime-switching VAR Analysis

Hirokuni Iiboshi, Masanobu Umeda and Shigeru Wakita

MPRA Paper from University Library of Munich, Germany

Abstract: Using a regime-switching VAR, this paper investigates the effect of monetary policy in Japan. Unlike previous studies, this paper considers more than two regimes and introduces into the VAR analysis standard variables such as the money supply and price level. Based on the standard procedure, the independent regime for a quantitative easing policy is dentified when the policy effect is insignificant.

Keywords: quantitative easing; regime switching; monetary policy; zero-interest-rate policy (search for similar items in EconPapers)
JEL-codes: C32 E31 E52 (search for similar items in EconPapers)
Date: 2008-12
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:87391

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