Asset Prices, Financial Liberalization and the Process of Inflation in Japan
46 Pages Posted: 15 Feb 2006
Date Written: December 1994
This paper examines the extent to which the Japanese asset price cycle of the 1980s was determined by monetary factors, the real business cycle, and financial liberalization. Strong evidence is found of a shift in the relationships between monetary factors and land price inflation in the early 1980s. In particular, the estimated parameters of a vector autoregression imply that the transmission of monetary factors to asset prices was greater in the 1980s than In the 1970s. A key conclusion is that monetary shocks led to more asset price inflation and less consumer price inflation in the 1984-93 period than during 1970-83.
JEL Classification: G12, E31, E44, C32
Suggested Citation: Suggested Citation