Showing 1 - 10 of 19
this relationship. We use micro data for Japan, which has experienced low interest rates for a prolonged period, to …
Persistent link: https://www.econbiz.de/10010894601
Recent empirical literature suggests that the degree of nominal rigidities varies over monetary policy regimes. This implies that monetary policy analysis with exogenously given nominal rigidities is subject to the Lucas critique. In a Calvo-style sticky price model, we endogenize nominal...
Persistent link: https://www.econbiz.de/10010894530
This paper quantitatively evaluates a steady-state inflation rate that is considered desirable from the perspective of social welfare, using a model describing the Japanese economy. Specifically, it begins by setting out points concerning the costs and benefits that accompany inflation. We build...
Persistent link: https://www.econbiz.de/10010894531
The literature provides evidence that term spreads help predict output growth, inflation, and interest rates. This paper integrates and explains these predictability results by using an affine term structure model with observable macroeconomic factors for U.S. data. The results suggest that...
Persistent link: https://www.econbiz.de/10010894536
To what extent did the Bank of Japan's liquidity facilities for corporate financing reduce commercial paper (CP) issue …-rates in Japan? To answer this question, we propose a simple structural model that illustrates the market for the CP operations …, including the period after the Bank of Japan introduced the outright purchase of CP and its special funds-supplying operation …
Persistent link: https://www.econbiz.de/10010894539
Using a model of island economy where financial markets aggregate dispersed information of the public, we analyze how two-way communication between the central bank and the public affects inflation dynamics. When inflation target is observable and credible to the public, markets provide the bank...
Persistent link: https://www.econbiz.de/10010894552
We study the term structure of interest rates and monetary policy in Japan empirically, using a macro-finance model. In … particular, we investigate whether or not Japan's low long-term interest rates can be explained with economic rationality by … commitment by the Bank of Japan. We are also interested in the estimation of the macroeconomic structure based not only on …
Persistent link: https://www.econbiz.de/10010894553
To what extent did the Bank of Japan's liquidity provisions reduce the premium on money market rates over the year … 2006 to 2008, reflecting the fact that the Bank of Japan had significantly expanded liquidity provisions in response to the …-ends in Japan? To answer this question, we propose a simple structural model that illustrates the year-end operations and the …
Persistent link: https://www.econbiz.de/10010894572
. However, there are few studies which estimate Japan's equilibrium rate because of its persistent low interest rate. We … approximated with the long-run expected nominal output growth rate; 2) the Bank of Japan's commitments successfully lowered yields …
Persistent link: https://www.econbiz.de/10010894584
Department, Bank of Japan. Q-JEM is a large-scale hybrid-type macroeconomic model that pursues both long-run theoretical … of Japan's economy, including inflation dynamics, the zero lower bound on nominal interest rates, linkages with overseas …
Persistent link: https://www.econbiz.de/10010894620