This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The parameters are allowed to follow a random walk process and estimated using the Markov chain Monte Carlo method. The empirical result reveals the time-varying...

Most studies on Japan's "lost decade" have been broadly focused on its real and domestic aspects, such as total factory productivity (TPF), growth decline, non-performing loans, and governance. This paper shows that monetary and international factors played as an equally important role as those...