Monetary policy in Japan: a structural VAR analysis
Monetary policy in Japan: a structural VAR analysis
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日本的货币政策：结构性 VAR 分析
DOI：
10.1006/jjie.1997.0382
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发表时间：
1997
影响因子：
2.9
通讯作者：
H. Popper
中科院分区：
文献类型：
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作者：
Kenneth Kasa;H. Popper
本文研究了 1975-94 年期间日本央行 (BOJ) 的目标和运作程序。为此，我们采用了 Bernanke 和 Mihov (1995) 的结构 VAR 模型，该模型包含了几个有关央行行为的替代假设。特别是，该模型分别识别了货币政策的预期和非预期组成部分，并且能够区分利率目标和各种类型的准备金目标。 ;分析得出三个主要结果。首先，没有任何单一目标可以解释日本央行的行为。相反，日本央行似乎同时权衡了通知货币利率的变化和非借入准备金的变化，并且通知货币利率的权重随着时间的推移而增加。其次，有强有力的证据表明，日本央行有时会采用“道德劝说”来应对借入准备金需求的冲击。然而，到了 20 世纪 80 年代后半叶，这一程序已不再使用。第三，货币政策总体立场及其意外组成部分的图表清楚地表明，1990年初至1992年底期间发生了急剧的货币紧缩，此后又出现了同样急剧的扩张。也许令人惊讶的是，收缩和随后的扩张似乎主要是为了应对当前的经济状况，而不是意外的政策变化。
This paper studies the objectives and operating procedures of the Bank of Japan (BOJ) during the period 1975-94. To do this we adapt Bernanke and Mihov's (1995) structural VAR model, which nests several alternative hypotheses concerning central bank behavior. In particular, the model separately identifies the anticipated and unanticipated components of monetary policy, and is capable of distinguishing between interest rate targeting and various types of reserve targeting. ; Three main results emerge from the analysis. First, no single target can explain the BOJ's behavior. Instead, the BOJ appears to weight both variation in the call money rate and variation in nonborrowed reserves, with the weight on the call money rate increasing over time. Second, there is strong evidence that at times the BOJ has employed 'moral suasion' to counter shocks in the demand for borrowed reserves. However, by the second half of the 1980s, this procedure was no longer being used. Third, plots of the overall stance of monetary policy and its unanticipated component clearly reveal that a sharp monetary contraction occurred between early 1990 and late 1992, with an equally sharp expansion since then. Perhaps surprisingly, both the contraction and the subsequent expansion appear to have occurred largely in response to prevailing economic conditions, rather than as an unanticipated change in policy.
上田一夫：“日本货币政策的比较视角：短期货币控制和传导机制”日本货币政策。
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