Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104439
Authors: 
Michaelis, Henrike
Watzka, Sebastian
Year of Publication: 
2014
Series/Report no.: 
Munich Discussion Paper 2014-35
Abstract: 
Using a time-varying parameter vector autoregression (TVP-VAR) with a new sign restriction framework, we study the changing effectiveness of the Bank of Japan's Quantitative Easing policies over time. We analyse the Zero-Interest Rate Policy from 1999 to 2000, the Quantitative Easing Policy from 2001 to 2006, and most recently the ‘Abenomics' monetary policy easing strategy. Our results indicate that there are important differences concerning the effects of Quantitative Easing over time. We find a stronger and longer lasting positive influence of QE shocks on real GDP and CPI especially since 2013. This might reflect the influence of the ‘Abenomics' program.
Subjects: 
Bayesian time-varying parameter VAR
monetary policy
quantitative easing
zero lower bound
JEL: 
C30
E44
E52
F41
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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