2014 Fiscal Year Final Research Report
Unconventional monetary policy under zero lower bound
| Project/Area Number |
25885086
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Research Field |
Money/ Finance
|
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| Research Institution | Yokohama City University (2014)
Waseda University (2013) |
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Principal Investigator |
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| Project Period (FY) |
2013-08-30 – 2015-03-31
|
| Keywords | 金融政策 |
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| 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.
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| Free Research Field |
マクロ経済学
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