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Unconventional monetary policy under zero lower bound

Research Project

Project/Area Number 25885086
Research Category

Grant-in-Aid for Research Activity Start-up

Allocation TypeSingle-year Grants
Research Field Money/ Finance
Research InstitutionYokohama City University (2014)
Waseda University (2013)

Principal Investigator

NAKAZONO Yoshiyuki  横浜市立大学, 国際総合科学部, 准教授 (10707483)

Project Period (FY) 2013-08-30 – 2015-03-31
Project Status Completed (Fiscal Year 2014)
Budget Amount *help
¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2013: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywords金融政策
Outline of Final Research Achievements

This research examines evaluates the effects of unconventional monetary policies adopted by the Bank of Japan from the year 2001 to 2006. A new measure is proposed to identify a nontraditional monetary policy shock from policy packages under the zero lower bound of short-term nominal interest rates during the quantitative easing period, using data on intraday three-month Euroyen futures rates. We find that stock markets do not react to a policy surprise in an expected manner and negatively respond to a monetary easing surprise. Moreover, we find an asymmetric response during a boom and a recession and a nonlinear reaction because of increasing uncertainty concerning future inflation dynamics and the enhancement of monetary policy transparency. Our result suggests that it is difficult to implement unconventional monetary policy to manage agents’ expectations and a “lean against the wind” policy to prevent asset bubbles, particularly at the zero bound.

Report

(3 results)
  • 2014 Annual Research Report   Final Research Report ( PDF )
  • 2013 Annual Research Report
  • Research Products

    (2 results)

All 2013 Other

All Presentation (1 results) Remarks (1 results)

  • [Presentation] Responses of Stocks and Exchange Rates to Monetary Policy Shocks under Zero Lower Bound in Japan2013

    • Author(s)
      中園善行
    • Organizer
      2013年度日本経済学会秋季大会
    • Place of Presentation
      神奈川大学
    • Related Report
      2013 Annual Research Report
  • [Remarks]

    • URL

      http://www-user.yokohama-cu.ac.jp/~nakazono/

    • Related Report
      2014 Annual Research Report

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Published: 2013-09-12   Modified: 2019-07-29  

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