Time varying pass-through: Will the yen depreciation help Japan hit the inflation target?
Time varying pass-through: Will the yen depreciation help Japan hit the inflation target?
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DOI：
10.1016/j.jjie.2015.06.001
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发表时间：
2015-09-01
影响因子：
2.9
通讯作者：
Shioji, Etsuro
中科院分区：
文献类型：
--
作者：
Shioji, Etsuro
本文认为，汇率可能是日本“非常规”货币政策效果的一个强有力的传导渠道。结果表明，汇率对国内价格的传递，一度被认为是近乎灭绝，近年来又回来了强劲。对于家庭经常购买的物品来说，情况尤其如此。基于VAR和TVP-VAR的证据表明，日元贬值25%将导致这些物品的价格上涨2%。这可能有一个额外的好处，即提高公众对未来通货膨胀的预期，因为他们的信念往往受到他们对经常购买的商品价格的日常观察的影响。日本东京都国町纳卡2-1一桥大学经济学系(C)2015 Elsevier Inc. All rights reserved.
This paper argues that the exchange rate could be a powerful transmission channel of the effects of ongoing "unconventional" monetary policies in Japan. It is shown that exchange rate pass-through to domestic prices, once considered near-extinct, has come back strong in recent years. This is especially true for those items that households purchase frequently. Evidence based on VARs as well as TVP-VARs indicates that a 25% depreciation of the yen would produce a 2% increase in the prices of those items. This could have an additional benefit of raising the public's expectation about future inflation, as their beliefs are often said to be influenced by their daily observations about prices of those items that they buy frequently. Department of Economics, Hitotsubashi University, 2-1 Naka, Kunitachi, Tokyo 186-8601, Japan. (C) 2015 Elsevier Inc. All rights reserved.