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The estimation of monetary policy reaction function in a data-rich environment: The case of Japan

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  • Shibamoto, Masahiko
Abstract
This paper reports the estimates of a monetary policy reaction function for the Bank of Japan in a data-rich environment. There are two main findings. First, a weak identification problem arises in the estimates under the specifications that some previous works employ, though in a data-rich environment it may be possible to avoid this problem. Second, the evidence from the estimates in a data-rich environment suggests that the Bank of Japan only controlled the inflation forecast, and placed no weight on output stabilization directly over the period from November 1988 through February 2001.

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  • Shibamoto, Masahiko, 2008. "The estimation of monetary policy reaction function in a data-rich environment: The case of Japan," Japan and the World Economy, Elsevier, vol. 20(4), pages 497-520, December.
    • Handle: RePEc:eee:japwor:v:20:y:2008:i:4:p:497-520
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    7. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
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    9. F. Zagonari, 2015. "Coherence, efficiency, and independence of the EU environmental policy system: results of complementary statistical and econometric analyses," Working Papers wp992, Dipartimento Scienze Economiche, Universita' di Bologna.

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