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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.
Monetary Policy Reaction Function
Bank of Japan
Interest Rate Rules
Exchange Rates
Taylor Rule
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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