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Identifier to cite or link to this item: https://hdl.handle.net/10086/31063

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Title
Empirical Analysis on the Effects of Japanese Fiscal Policy under the Effective Lower Bound
Creator
Creator Name
Morita, Hiroshi Morita, Hiroshi
Affiliation
Affiliation Name
Hosei University
Editor
Contributor Name
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Key Word
TVP-VAR model
Fiscal multiplier
Effective lower bound
Implied rate
JEL
E62
C32
E52
Abstract
For the Japanese economy, we examine whether the fiscal multiplier is higher under the effective lower bound of the nominal interest rate. Using a time-varying parameter vector autoregression model with Tobit-type nonlinearity, we calculate the fiscal multipliers under two monetary policy positions. We find that when government spending shocks are inflationary, the fiscal multiplier under the zero interest rate policy increases steadily as a result of the decrease in the real interest rate. This evidence is robust to different definitions of effective lower bound, output, and government spending.
Publisher
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Issued Date
2020-03
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion paper series ; No. HIAS-E-97
Number of Pages
41
Sponsorship
This research was funded by Grant-in-Aid for Young Scientists 19K13652 and the Nomura Foundation.
Appears in Collections
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University
URL
https://hdl.handle.net/10086/31063