Iiboshi, Hirokuni and Umeda, Masanobu and Wakita, Shigeru (2008): Monetary Policy in Japan Reconsidered: A Regimeswitching VAR Analysis.

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Abstract
Using a regimeswitching 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.
Item Type:  MPRA Paper 

Original Title:  Monetary Policy in Japan Reconsidered: A Regimeswitching VAR Analysis 
English Title:  Monetary Policy in Japan Reconsidered: A Regimeswitching VAR Analysis 
Language:  English 
Keywords:  quantitative easing, regime switching, monetary policy, zerointerestrate policy 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E31  Price Level ; Inflation ; Deflation E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit > E52  Monetary Policy 
Item ID:  87391 
Depositing User:  Professor Hirokuni Iiboshi 
Date Deposited:  26 Jun 2018 21:31 
Last Modified:  28 Sep 2019 06:22 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/87391 