Estimating the Bank of Japan's monetary policy reaction function
Extending the Taylor rule and applying the VAR model, the author finds that the overnight call rate reacts positively to a shock to the inflation gap, the output gap, yen depreciation, stock prices, or the lagged overnight call rate. The response of the overnight call rate to exchange rates or stock...
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| Format: | Article |
| Language: | English |
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Associazione Economia civile
2004-06-01
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| Series: | PSL Quarterly Review |
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| Online Access: | http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9826/9711 |