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

52 Pages Posted: 14 Aug 2014

See all articles by Henrike Michaelis

Henrike Michaelis

Ludwig Maximilian University of Munich (LMU) - Faculty of Economics

Sebastian Watzka

Ludwig Maximilian University of Munich (LMU)

Date Written: July 30, 2014

Abstract

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.

Keywords: Bayesian time-varying parameter VAR, monetary policy, quantitative easing, zero lower bound

JEL Classification: C300, E440, E520, F410

Suggested Citation

Michaelis, Henrike and Watzka, Sebastian, Are There Differences in the Effectiveness of Quantitative Easing at the Zero-Lower-Bound in Japan Over Time? (July 30, 2014). CESifo Working Paper Series No. 4901, Available at SSRN: https://ssrn.com/abstract=2479832 or http://dx.doi.org/10.2139/ssrn.2479832

Henrike Michaelis

Ludwig Maximilian University of Munich (LMU) - Faculty of Economics ( email )

Ludwigstrasse 28
Munich, D-80539
Germany

Sebastian Watzka (Contact Author)

Ludwig Maximilian University of Munich (LMU) ( email )

Geschwister-Scholl-Platz 1
Munich, DE Bavaria 80539
Germany

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