Are the changes in the future technology process, the so-called “news shocks,” the main contributors to the macroeconomic fluctuations in Japan over the past forty years? In this paper, we take two structural vector-auto-regression (SVAR) approaches to answer this question. First, we...

In this paper, we employ structural vector autoregression (VAR) with sign restrictions to identify the dynamic effects of fiscal policy shocks in Japan. We find that (i) an increase in government spending has positive effects on consumption and wages in the short run, but these effects are not...

The purpose of this article is to reexamine Japan's financial policies from the perspective of the Taylor rule, which has become the standard for assessing financial policies. The Taylor rule is a rule for setting the bank rate, whereby the nominal bank rate is expressed as a linear function of...

This paper attempts to reconcile the controversy regarding Japan's total factor productivity during its slump in the 1990s by clarifying the role of capital utilization. Hayashi and Prescott (2002) emphasized that the decline in the exogenous total factor productivity growth rate was the main...

The elasticity of substitution between oil and capital is a key parameter when researchers analyze the effect of oil shocks on the economy by using dynamic general equilibrium models. This paper estimates the elasticity of substitution in the U.S. economy, which is consistent with a large class...

The pace of capital accumulation in East Asia has simply been stunning. In this paper, we investigate sources of this fast accumulation and make projections for the future. We estimate a “convergence” equation for physical capital per capita, which is derived from an open economy growth...

We use a VAR with block exogeneity to study the effects of oil price fluctuations on the economies of six ASEAN countries. Our method has an advantage over those used in the literature in that it allows us to focus on the effects of oil shocks while avoiding making unnecessary, and often ad hoc...

This paper examines fiscal sustainability conditions in the Japanese economy estimating a Markov-switching vector autoregressive (VAR) model. Three fiscal sustainability conditions are identified in one VAR model: the stance of government, Domar (1944)-type GDP growth, and other factors. The...

Econometric evidence suggests the existence of two dynamics in the postwar U.S. housing market: (i) housing rental and purchase prices co-move positively in response to productivity shocks, and (ii) the purchase price exhibits much larger volatile movements than the rental price in response to...

This paper investigates the inflation rate that should be set as the target for the central bank. To this end, we develop a two-sector economy model in the existence of long-lived durables. In contrast to recent studies that have been conducted on how monetary policy can affect the role of...