I study whether the effect of monetary policy has changed during 1990s and the zero bound of nominal interest rate may have some distortional effect on macroeconomic dynamics. In order to check the existence of structural change without any prior knowledge on break point and to be able to...

In this paper, I investigate the output composition of monetary policy transmission mechanism in Japan. It is usually thought that the investment channel, namely the process that a change in interest rate alters the cost of capital and therefore investment, is more predominant in Japan. Yet, in...

In this paper, I estimate the monetary business cycle model of the Japanese economy by the method advocated by Ireland (2002a), the max- imum likelihood estimation of the dynamic stochastic general equilibrium model in a state-space representation. The model estimated here includes the direct...