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Title:The Changing Role of the Yen/Dollar Exchange Rate for Japanese Monetary Policy PDF Logo
Authors:Schnabl, Gunther
Danne, Christian
Issue Date:2005
Series/Report no.:Tübinger Diskussionsbeiträge 290
Abstract:This paper studies the role of the yen/dollar exchange rate in the Bank of Japan?s monetary policy reaction function. In contrast to prior estimations of reaction functions based on the Taylor-rule, we allow for regime shifts by estimating rolling coefficients from January 1974 to March 1999. The results show a temporary impact of the exchange rate on monetary policy around 1978/79 and a persistently increasing impact of the yen/dollar exchange rate after 1986. The ris ing importance of the yen/dollar exchange rate for Japanese monetary policy is in line with increasing efforts to stabilize the yen/dollar exchange rate by foreign exchange intervention after March 1999, when the nominal interest rate reached the zero boundary.
Subjects:Japan
Monetary Policy Reaction Function
Bank of Japan
Interest Rate Rules
Exchange Rates
Taylor Rule
GMM
JEL:E43
E52
E58
F41
Persistent Identifier of the first edition:urn:nbn:de:bsz:21-opus-18197
Document Type:Working Paper
Appears in Collections:Tübinger Diskussionsbeiträge, Universität Tübingen

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