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Title: Identifying Monetary Policy Shocks in Japan

Author(s): Etsuro Shioji

Publication Date: October 1997

Keyword(s): Identification, Monetary Policy and Structural VAR

Programme Area(s): International Macroeconomics

Abstract: It is sometimes argued that central banks influence the private economy in the short run through controlling a specific component of high powered money, not its total amount. Using a structural VAR approach, this paper evaluates this claim empirically, in the context of the Japanese economy. It estimates a model based on the standard view that the central bank controls the total amount of high powered money, and another model based on the alternative view that it controls only a specific component. It is shown that the former yields much more sensible estimates than the latter.

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Bibliographic Reference

Shioji, E. 1997. 'Identifying Monetary Policy Shocks in Japan'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=1733