The transmission of monetary policy shocks: Evidence from Japan

IF 2.6 3区 经济学 Q1 ECONOMICS Journal of the Japanese and International Economies Pub Date : 2024-12-18 DOI:10.1016/j.jjie.2024.101349
Ritsu Yano, Yoshiyuki Nakazono, Kento Tango
{"title":"The transmission of monetary policy shocks: Evidence from Japan","authors":"Ritsu Yano,&nbsp;Yoshiyuki Nakazono,&nbsp;Kento Tango","doi":"10.1016/j.jjie.2024.101349","DOIUrl":null,"url":null,"abstract":"<div><div>Following Miranda-Agrippino and Ricco (2021), we identify a monetary policy shock in Japan. We construct this shock to be orthogonal to the Bank of Japan’s macroeconomic forecasts, as well as a central bank’s information shock (Nakamura and Steinsson, 2018). Our findings indicate that a surprise policy tightening is contractionary, leading to a deterioration in output and decline in prices. There are no lagged effects of monetary policy on inflation. In response to a tightening shock, prices fall immediately. Furthermore, we demonstrate that a positive central bank information shock increases both output and prices. An unexpected positive outlook from the Bank of Japan raises stock prices and depreciates the Japanese yen. This evidence suggests that information effects play a crucial role in the Japanese economy, even under the effective lower bound.</div></div>","PeriodicalId":47082,"journal":{"name":"Journal of the Japanese and International Economies","volume":"75 ","pages":"Article 101349"},"PeriodicalIF":2.6000,"publicationDate":"2024-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of the Japanese and International Economies","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0889158324000455","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

Abstract

Following Miranda-Agrippino and Ricco (2021), we identify a monetary policy shock in Japan. We construct this shock to be orthogonal to the Bank of Japan’s macroeconomic forecasts, as well as a central bank’s information shock (Nakamura and Steinsson, 2018). Our findings indicate that a surprise policy tightening is contractionary, leading to a deterioration in output and decline in prices. There are no lagged effects of monetary policy on inflation. In response to a tightening shock, prices fall immediately. Furthermore, we demonstrate that a positive central bank information shock increases both output and prices. An unexpected positive outlook from the Bank of Japan raises stock prices and depreciates the Japanese yen. This evidence suggests that information effects play a crucial role in the Japanese economy, even under the effective lower bound.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
5.10
自引率
6.90%
发文量
36
期刊介绍: The Journal of the Japanese and International Economies publishes original reports of research devoted to academic analyses of the Japanese economy and its interdependence on other national economies. The Journal also features articles that present related theoretical, empirical, and comparative analyses with their policy implications. Book reviews are also published.
期刊最新文献
Aggregate implications of changing industrial trends in Japan Global competition and labor-intensive production in SMEs: Firm-level evidence from Japan at the threshold of the lost decades The transmission of monetary policy shocks: Evidence from Japan Tokenism in gender diversity on board of directors Editorial Board
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1