Economic Fluctuation and Japanese Monetary Policy : Two Empirical Studies with SVAR Approach

Ren Weitong

広島大学経済学研究

The Economic Studies

The paper investigates the effects of Japanese monetary policy with two structure VAR (SVAR) analyses. Firstly, it constructs SVAR model using seven economic variables of Japan and assumes a particular structure matrix to identify it. By estimating this model with monthly data from 1970:Ol to 2002:12, it shows the following main results, 1) interest rate shock and money supply shock have significant effects on economic variables; 2) the shock's effect of the credit from central bank is very small; 3) the effect of exchange rate shock is limited 4) the Bank of Japan implements monetary policy by both of interest rate and money supply. Secondly, following Huang and Guo (2006) and NG (2002), it introduces the world GDP to denote world economy growth and oil price to denote world price level, and estimates SVAR model containing them and Japanese interest rate and exchange rate. Empirical results show that the external demand shock has negative effect on exchange rate and positive effect on interest rate, and the external supply shock has positive effects on both exchange rate and interest rate.

SVAR

Monetary policy

World GDP

Economics [ 330 ]

eng

広島大学経済学会

[ISSN] 0288-2434

[NCID] AN1023014X