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Structural shifts in monetary policy conduct, inflation environment, and exchange rate pass-through

货币政策行为、通胀环境和汇率传导的结构性转变

基本信息

批准号：
17530205
负责人：
FUJII Eiji
金额：
$ 2.07万
依托单位：
University of Tsukuba
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2005
资助国家：
日本
起止时间：
2005 至 2007
项目状态：
已结题

项目摘要

The prime objective of this research is to examine the empirical validity of the so-called Taylor hypothesis regarding the relationship between structural shifts in macroeconomic environments, particularly those in inflation and monetary policy, and the rate of exchange rate pass-through. The main results of our empirical analyses using OECD data can be summarized as follows.1) In applying the endogenous structural break tests, we find that since the collapse of the Bretton Woods system many industrialized economies have experienced significant structural shifts in their inflation processes. Furthermore, it is common among the sample economies to experience such a structural break in the 1980s, and another in the 1990s.2) Many OECD countries made important alterations to their monetary policy conducts at least in either the 1980s or the 1990s, and in some cases in both. For many countries for which the above mentioned test identifies structural breaks, these breaks are found to have occurred following the changes in monetary policy conducts. Hence, it is quite likely that improvements in monetary policy conducts led to structural shifts in inflation processes.3) According to our estimation results, the rates of exchange rate pass-though indeed declined in response to the low inflation environment induced by the improvement of monetary policy conducts.

本研究的主要目的是检验所谓的泰勒假说的实证有效性，该假说涉及宏观经济环境中的结构性变化，特别是通货膨胀和货币政策中的结构性变化与汇率传递率之间的关系。我们使用OECD数据进行实证分析的主要结果可以概括如下：1）在运用内生结构突变检验时，我们发现，自布雷顿森林体系崩溃以来，许多工业化经济体的通货膨胀过程都经历了显著的结构性转变。此外，在抽样经济体中，1980年代和1990年代都经历过这种结构性断裂。2）许多经合组织国家至少在1980年代或1990年代对货币政策进行了重大调整，有些国家在1980年代和1990年代都进行了调整。对于上述测试确定了结构性断裂的许多国家来说，这些断裂是在货币政策行为发生变化之后发生的。因此，很可能是货币政策行为的改善导致了通货膨胀过程的结构性变化。3）根据我们的估计结果，汇率传递率确实在应对货币政策行为改善所导致的低通货膨胀环境方面有所下降。

项目成果

期刊论文数量（0）

专著数量（0）

科研奖励数量（0）

会议论文数量（0）

专利数量（0）

Japan's Great Stagnation: Financial and Monetary Policy Lessons for Advanc ed Economies

日本的大停滞：发达经济体的金融和货币政策教训

DOI：
发表时间：
2006
期刊：
影响因子：
0
作者：
CHINO;Tetsuro;Eiji Fujii;藤井英次;Eiji Fujii;藤井英次(Michael Hutchison・Frank Westermann編)
通讯作者：
藤井英次(Michael Hutchison・Frank Westermann編)

Exchange rate Pass-through in the Deflationary Japan : How Effective is the Yen's Depreciation for Fighting Deflation?

通缩日本的汇率传导：日元贬值对抗通货紧缩效果如何？