Are there Differences in the Effectiveness of Quantitative Easing at the Zero-Lower-Bound in Japan over Time?

Arbeitspapier

Using a time-varying parameter vector autoregression (TVP-VAR) with a new sign restriction framework, we study the changing effectiveness of the Bank of Japan's Quantitative Easing policies over time. We analyse the Zero-Interest Rate Policy from 1999 to 2000, the Quantitative Easing Policy from 2001 to 2006, and most recently the Abenomics' monetary policy easing strategy. Our results indicate that there are important differences concerning the effects of Quantitative Easing over time. We find a stronger and longer lasting positive influence of QE shocks on real GDP and CPI especially since 2013. This might reflect the influence of the Abenomics' program.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 4901

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models; Multiple Variables: General ; Financial Markets and the Macroeconomy ; Monetary Policy ; Open Economy Macroeconomics
• Subject: Bayesian time-varying parameter VAR ; monetary policy ; quantitative easing ; zero lower bound

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Michaelis, Henrike ; Watzka, Sebastian
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/102121
• Last update: 10.03.2025, 11:44 AM CET