The Effects of Monetary Policy in Japan

Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time?

“…These include for example Miyao (2002), who introduces the benchmark VAR model for estimating the impact of monetary policy during 1975 to 1998.…”

The Bank of Japan's operating procedures and the identification of monetary policy shocks: A reexamination using the Bernanke–Mihov approach

“…Equations (16) and (17) indicate the currency and reserve demand functions, respectively. Equation (19) is the function showing the open-market operations behavior of the BOJ. Equation (18) characterizes the CR model, and states that the BOJ controls the level of discount-window lending and rations lending to private banks.…”

“…If we employ this identification scheme, we must a priori select a single measure of monetary policy and also specify a recursive structure for the macroeconomy. In VAR literature on Japanese monetary policy, Miyao (2000;2002), Ogawa (1999), and Hatakeda (1997) assume that the policy stance of the BOJ can be measured by the call rate in order to examine Japan's business fluctuations and the role of monetary policy. 1 In more recent work, Sims and Zha (1998) suggest an identifying methodology that does not depend on the recursive assumption and that imposes a contemporaneous restriction on all economic variables in a VAR system.…”

Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

“…Since Miyao (2000, 2002 analyzed the Japanese economy using a vector autoregressive (VAR) model, the time variation of the relations among Japanese macroeconomic variables has been investigated in several studies (e.g., Fujiwara (2006), Inoue and Okimoto (2008) using a Markov-switching VAR model, and Kimura et al (2003) using a VAR model with time-varying coefficients). In these studies, the changes in the coefficients in the VAR system are well studied, although the variance of the structural shocks is assumed constant over the sample period or subsample period.…”