|| The Macroeconomic Effects of Japan’s Unconventional
||Ryuzo Miyao and Tatsuyoshi Okimoto
Japan is the country with the longest history of implementing unconventional monetary policies, which were first introduced fifteen years ago and have since been expanded several times. A case in point is the quantitative and qualitative monetary easing (QQE) policy introduced by the Bank of Japan (BOJ) in early 2013 along with the commitment to continue with the program as long as necessary to achieve the BOJ’s 2% price stability target. This study attempts to assess the overall macroeconomic effects of Japan’s unconventional monetary policies, with an emphasis on the recent QQE program. Using a stylized block-recursive vector autoregression framework, the analysis suggests that expansionary unconventional monetary policy shocks have clear macroeconomic effects, leading to a persistent rise in real output and inflation in Japan. The evidence also suggests that these macroeconomic effects became larger and more persistent in more recent years including the QQE period. A formal analysis that allows for a regime shift based on a smooth-transition vector autoregression model supports these findings.
||Quantitative easing; inflation target; BOJ; Smooth-transition VAR
||Paper in English (27 pages)