Reexamination of the Role of Monetary Policy in Financial Markets and the Real Economy: Empirical Exploration

2022 Fiscal Year Final Research Report

• Project/Area Number: 17K03804
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Kobe University
• Principal Investigator: Shibamoto Masahiko 神戸大学, 計算社会科学研究センター, 教授 (80457118)
• Project Period (FY): 2017-04-01 – 2023-03-31
• Keywords: 金融論 / 金融政策

Outline of Final Research Achievements

In this research project, I applied macroeconometric techniques to quantitatively assess the effectiveness of (1) conventional monetary policy, (2) quantitative and qualitative easing policy, and (3) expectation management policy. I also developed econometric methodologies for each analysis. The empirical results are as follows. (1) There is statistical support that the BOJ has maintained long-term discipline over the money market environment through short-term interest rate operations and that conventional monetary policy has had a quantitatively significant impact on financial markets and the macroeconomy since the 1980s. (2) Under low-interest rate environment, qualitative easing and short-term interest rate adjustment can be effective in stimulating the economy, while quantitative easing is limited. (3) The effectiveness of expectation management policies depends on whether they are associated with changes in future long-term economic prospects.

Free Research Field

マクロ実証分析、金融政策

Academic Significance and Societal Importance of the Research Achievements

本研究課題で得られた研究成果の意義は、次の通りである。第1に、学術国際英語査読付き雑誌への投稿・掲載を行うことで、学術的な貢献を行うことができた。第2に、日本経済新聞や一般向け雑誌や本への寄稿を行うことで、一般の人々向けへの情報発信を通じて幅広い層に成果を伝えることができた。第3に、(2020年4月以降、その機会を逸することがあったものの)国内外研究機関への研究成果の報告を行い、同分野の研究者(特に、日本金融学会参加者との学界での交流やWillams CollageのKenneth N. Kuttner教授等との国際交流)と意見交換を行うことで、新たな研究プロジェクトに繋げることができた。