Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time?

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• 作者：Henrike Michaelis¹ ; ^{Henrike.Michaelis@svr-wirtschaft.de} ; Sebastian Watzka ^{sebastian.watzka@econ.lmu.de}
• 关键词：C30 ; E44 ; E52 ; F41
• 刊名：Journal of International Money and Finance
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：70
• 期：Complete
• 页码：204-233
• 全文大小：6406 K
• 卷排序：70

文摘

Changing effectiveness of the BoJ's QE policies over time (1996Q1–2015Q3) is evaluated. The paper focused on ZIRP (1999–2000), the QE-Policy (2001–2006), and ‘Abenomics’ (2013–). Time-varying parameter vector autoregression with a new set of sign restrictions was used. Important differences concerning the effects of QE over time are found. QE-shock is found to have strong effects on core CPI but not on GDP during Abenomics.