The Role of Monetary Policy in Japan: A Break in the 1990s?

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

“…Most of these studies use monthly data for the estimation, while we change the data to a quarterly base by monthly average. The VAR estimation with monthly data often needs many lags (for example, Miyao (2000) sets 10 lags), because the changes and shocks in the economic variables are considered to affect the other variables of the system with a delay. As mentioned above, the TVP-VAR model has so many parameters and our choice of quarterly data reduces the number of parameters to estimate.…”

Financial innovation and regional money

“…It should be noted that we regard the presence of cointegration as evidence of the stability between these variables, and for this purpose we use the panel cointegration method (Pedroni 1999 (Corker, 1990;Miyao 2000;Nagayasu, 2003).…”

“…The validity of the money demand function in Japan has been analyzed before (e.g., Corker, 1990;Miyao, 2000;Nagayasu, 2003); however, few e¤orts have been made to investigate the relationship between money and …nancial innovation despite the recent developments in economic theory (e.g., Alvarez and Lippi 2009) and the rapid progress in …nancial innovation.…”

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

“…13 In addition to the above three 12 For details of MO, see Appendix A. 13 For details of MD, see Appendix A. Normalizing the policy-sector variables except for R raises the problem of the normal method of using log levels that violate the identical relation between assets and liabilities: see equations (7) and (20). In particular, Strongin (1995) and Bernanke and Mihov (1998), who identify the FED's policy shock by constructing a model of the U.S. market for bank reserves, point out this problem.…”

“…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.…”