このエントリーをはてなブックマークに追加
ID 17389
本文ファイル
著者
Ren, Weitong
キーワード
SVAR
Monetary policy
World GDP
NDC
経済
抄録(英)
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.
掲載誌名
広島大学経済学研究
24号
開始ページ
31
終了ページ
64
出版年月日
2007-02-28
出版者
広島大学経済学会
ISSN
0288-2434
NCID
SelfDOI
言語
英語
NII資源タイプ
紀要論文
広大資料タイプ
学内刊行物(紀要等)
DCMIタイプ
text
フォーマット
application/pdf
著者版フラグ
publisher
部局名
社会科学研究科
他の一覧