An Analysis of Monetary Policy Shocks in Japan: A Factor Augmented Vector Autoregressive Approach
An Analysis of Monetary Policy Shocks in Japan: A Factor Augmented Vector Autoregressive Approach
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日本货币政策冲击分析：因子增强向量自回归方法
DOI：
10.1111/j.1468-5876.2007.00392.x
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发表时间：
2006
期刊：
影响因子：
--
通讯作者：
Masahiko Shibamoto
中科院分区：
文献类型：
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作者：
Masahiko Shibamoto
本文使用因子增广向量自回归方法分析了日本的货币政策冲击。有三个主要发现。首先，货币政策冲击传递的时滞在不同的宏观经济时间序列之间存在差异。其中包括迄今尚未纳入标准向量自回归分析的几个系列，包括住房开工和就业指数。第二，货币政策对经济的影响得到了一个连贯的画面。第三，发现货币政策冲击对就业和住房开工等真实的变量的影响强于工业生产。
This paper analyses monetary policy shocks in Japan using a factor augmented vector autoregressive approach. There are three main findings. First, the time lags with which the monetary policy shocks are transmitted vary between the various macroeconomic time series. These include several series that have not been included thus far in standard vector autoregressive analysis, including housing starts and employment indices. Second, a coherent picture of monetary policy effects on the economy is obtained. Third, it is found that monetary policy shocks have a stronger impact on real variables, such as employment and housing starts, than industrial production.