Since 2014
Estimating the Bank of Japan's monetary policy reaction function
PSL Quarterly Review
View Archive Info| Field | Value | |
| Title |
Estimating the Bank of Japan's monetary policy reaction function
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| Creator |
Hsing, Yu
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| Subject |
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Monetary Policy, Monetary, Policy E52, E58 |
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| Description |
Extending the Taylor rule and applying the VAR model, the author finds that the overnight call rate reacts positively to a shock to the inflation gap, the output gap, yen depreciation, stock prices, or the lagged overnight call rate. The response of the overnight call rate to exchange rates or stock prices lasts longer than the reaction to the output gap and the inflation gap. Except for the lagged overnight call rate, the inflation gap and the exchange rate are more influential than the output gap and stock prices in explaining the variance of the overnight call rate. JEL Codes: E52, E58Keywords: Monetary Policy, Monetary, Policy
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| Publisher |
Economia civile
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| Contributor |
—
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| Date |
2012-04-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://annalidibotanica.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9826
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| Source |
PSL Quarterly Review; Vol 57, No 229 (2004)
PSL Quarterly Review; Vol 57, No 229 (2004) 2037-3643 ISSN 2037-3635 |
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| Language |
eng
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| Relation |
http://annalidibotanica.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9826/9711
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| Rights |
Copyright (c) 2016 Yu Hsing
http://creativecommons.org/licenses/by-nc-nd/4.0 |
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