Category

Number of Access this item:836（2024-05-14 07:21 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/10086/27369

Link to primary information 

File Format Size Views Description
cover_27369 pdf
DP627 pdf 498 KB 1,382

Item Information

Output File

Title
Japanese Fiscal Policy under the Zero Lower Bound of Nominal Interest Rates: Time-Varying Parameters Vector Autoregression
Creator
Creator Name
Morita, Hiroshi Morita, Hiroshi
Affiliation
Affiliation Name
Japan Society for the Promotion of Science
Editor
Contributor Name
Institute of Economic Research, Hitotsubashi University
Key Word
TVP-VAR model
zero lower bound
sign restriction
fiscal policy
JEL
E62
E52
C11
C32
Abstract
This study investigates whether the effects of fiscal policy are enhanced during ZLB periods. We present a new strategy for identifying unconventional monetary policy shocks in the framework of a time-varying parameters vector autoregressive model. The main findings are as follows. First, during ZLB periods, the volatility of short-term interest rates is quite small, while that of the monetary base is large. Second, fiscal policy shocks have significant positive time-varying effects on GDP after adoption of unconventional monetary policy. Third, the effects of fiscal policy shocks increase during a ZLB period.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2015-07
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion paper series. A ; No. 627
Relation
Related Identifier
URI
  http://www.ier.hit-u.ac.jp/English/
NCID
AA11476336
Number of Pages
34
Appears in Collections
Discussion paper series / Institute of Economic Research, Hitotsubashi University
URL
https://hdl.handle.net/10086/27369