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Not All International Monetary Shocks are alike for the Japanese Economy

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Vespignani, JL and Ratti, R (2013) Not All International Monetary Shocks are alike for the Japanese Economy. Discussion Paper. University of Tasmania. (Unpublished)

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Abstract

It is found that over 1999:1-2012:12 China’s monetary expansion influences Japan through the effect of China’s growth on world commodity prices, increased demand for imports, and exchange rate policy. China’s monetary expansion is associated with significant increases in
Japan’s industrial production, exports and inflation, and decreases in the trade-weighted yen. In contrast, U.S. monetary expansion results in contraction in Japan’s industrial production, exports and trade balance (expenditure-switching). Monetary expansion in the Euro area does not significantly affect Japan. Structural vector error correction models are estimated. Results are robust to various contemporaneous restrictions for the effect of international monetary variables, the interaction of foreign and domestic variables and to factor augmented VAR to identify monetary shocks.

Item Type: Report (Discussion Paper)
Keywords: repec, International Monetary shocks, Japanese economy, Oil/commodity prices, SVEC models
Publisher: University of Tasmania
Additional Information:

Discussion Paper 2013-06. Copyright 2013 University of Tasmania

Date Deposited: 08 Aug 2013 23:34
Last Modified: 18 Nov 2014 04:53
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