Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22090 
Year of Publication: 
2005
Series/Report no.: 
Tübinger Diskussionsbeiträge No. 290
Publisher: 
Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät, Tübingen
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: 
Document Type: 
Working Paper

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