Effectiveness and Transmission Mechanisms of Japan's Quantitative Monetary Easing Policy

Harada, Yutaka; Masujima, Minoru

doi:10.2753/jes1097-203x360103

Cited by 17 publications

(12 citation statements)

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“…The definition is based on that the FFR futures contract's settlement price is determined by the monthly average FFR. A number of empirical studies that focus on the Japanese QE experience use developments in narrow money as proxy for nonconventional monetary policy (Harada & Masujima, 2009). The use of quantity-based indicators is motivated by several recent theoretical studies that evaluate the role of the monetary base, or the supply reserves, as an alternative operating target for monetary policy (Curdia & Woodford, 2011;Gertler & Karadi, 2013).…”

Section: Monetary Policy Shocks Indicatorsmentioning

confidence: 99%

“…The use of quantity-based indicators is motivated by several recent theoretical studies that evaluate the role of the monetary base, or the supply reserves, as an alternative operating target for monetary policy (Curdia & Woodford, 2011;Gertler & Karadi, 2013). A number of empirical studies that focus on the Japanese QE experience use developments in narrow money as proxy for nonconventional monetary policy (Harada & Masujima, 2009). Developments in the monetary base should be more informative, as compared with asset-side measures, about the Fed's nonconventional policies.…”

Section: Monetary Policy Shocks Indicatorsmentioning

confidence: 99%

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Treasuries variance decomposition and the impact of monetary policy

et al. 2019

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This paper investigates the effect of monetary policy shifts on Treasuries over the last three decades. We decompose unexpected excess returns on 2‐, 5‐, and 10‐year Treasuries in three components related to revisions in expectations (news) about future excess returns, inflation, and real interest rates. We evaluate the impact of conventional and unconventional monetary policy shocks on returns and their components. Our results indicate that expansionary monetary policy shocks are associated with declining inflation expectations and higher Treasuries' returns.

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Section: Monetary Policy Shocks Indicatorsmentioning

confidence: 99%

Section: Monetary Policy Shocks Indicatorsmentioning

confidence: 99%

Treasuries variance decomposition and the impact of monetary policy

et al. 2019

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“…Then, both papers claimed that the impulse responses of output to a positive monetary policy shock rose during the QE period. With respect to transmission channels, Honda et al (2013) note that the strongest route is stock prices, whereas Harada and Masujima (2009) posit that the main route is through asset prices (stock prices and condominium prices) and the business condition of banks (bank stock prices). However, these papers did not analyze the effects of unconventional monetary policies in recent years (such as QQE), and their sample size was only 60; it is possible that this small sample size led to estimation errors.…”

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confidence: 99%

“…Honda et al (2013) and Harada and Masujima (2009) published well-known empirical analyses of the effects of such unconventional monetary policies on both the real economy and transmission channels in Japan. Both papers analyzed the impact of QE on macroeconomic variables--especially, output and prices‖-and transmission channels using vector auto-regression (VAR) during the QE period (March 2001-February 2006.…”

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confidence: 99%

How Does Unconventional Monetary Policy Influence the Economy in Japan?

Otsubo

2018

Asian Economic and Financial Review

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Article History JEL Classification:C11, E44, E52. This paper investigates the transmission mechanism of unconventional monetary policies by estimating a time-varying parameter structural vector auto-regression (TVP-VAR) model using Japanese monthly data beginning with the implementation of quantitative easing in 2001. The results of the empirical study can be summarized in four points. First, the accumulated impulse responses of stock prices and exchange rates to a positive monetary policy shock are significant increases and significant depreciation, respectively, in the early days of all unconventional monetary policy periods. Second, a monetary policy shock does not increase bank lending for all unconventional monetary policies. Third, the relationship between an increase in stock prices and the depreciation of exchange rates and increase in GDP has changed since the beginning of Abenomics. Fourth, the accumulated impulse responses of the inflation rate to a positive monetary policy shock became a significant increase during and after the comprehensive monetary easing in October 2010 due to the clarification of the policy duration, and the responses become remarkable after inflation targeting was introduced in January 2013. The first and second results imply that the main transmission channel of unconventional monetary policy in Japan is stock prices and the exchange rate.Contribution/ Originality: This study contributes in the existing literature that we analyze not only the effect on the real economy but also the transmission channel after CME was introduced in October 2010, including the Abenomics period, which began in 2012 with the Abe administration.

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“…Harada and Masuda (2010) [5] also conducted the same VAR analysis in the period of the QEMP, following the result of Honda et al (2007Honda et al ( , 2010. Their new finding was the transmission mechanism through the bank's balance sheet channel in addition to share price channel.…”

Section: Introductionmentioning

confidence: 97%

Efficiency of Quantitative Easing in Japan during (2001,2006) through Estimation of Precautionary Money Demand

Morita

Miyagawa

2014

Stochastic Systems Theory and its Applications (SSS)

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This paper investigates the effect of "quantitative easing monetary policy (QEMP)" which the Bank of Japan (BOJ) adopted from March 2001 through June 2006, by changing operating target for money market from interest rate to the monetary base that is defined as the sum of "Cash" and "Reserves at the BOJ". The paper confirms that the monetary policy has contributed to the recovery of the prolonged deflation. First we estimate vector autoregressive (VAR) model, which consists of the reserves, stock, exchange rate and real GDP. Next we decompose money stock into transaction money and precautionary money to evaluate the transmission mechanism of the effect of reserves on the real economy by taking into account the financial anxiety. We have found a quantitative easing shock firstly increase transaction money and then raise output and price, which dispel the anxiety. We also confirm that a liquidity trap did not exist during the period of quantitative easing monetary policy.

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Effectiveness and Transmission Mechanisms of Japan's Quantitative Monetary Easing Policy

Cited by 17 publications

References 0 publications

Treasuries variance decomposition and the impact of monetary policy

Treasuries variance decomposition and the impact of monetary policy

How Does Unconventional Monetary Policy Influence the Economy in Japan?

Efficiency of Quantitative Easing in Japan during (2001,2006) through Estimation of Precautionary Money Demand

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