Structural shifts in monetary policy conduct, inflation environment, and exchange rate pass-through
| Project/Area Number |
17530205
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic policy
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| Research Institution | University of Tsukuba |
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Principal Investigator |
FUJII Eiji University of Tsukuba, Graduate School of Systems and Information Engineering, Professor (20321961)
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| Project Period (FY) |
2005 – 2007
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| Project Status |
Completed (Fiscal Year 2007)
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| Budget Amount *help |
¥3,230,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥330,000)
Fiscal Year 2007: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2006: ¥1,100,000 (Direct Cost: ¥1,100,000)
Fiscal Year 2005: ¥700,000 (Direct Cost: ¥700,000)
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| Keywords | inflation / monetary policy / structural break / exchange rate / 経済政策 / 経済事情 / 経済理論 / インフレ / パススルー |
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| Research Abstract |
The prime objective of this research is to examine the empirical validity of the so-called Taylor hypothesis regarding the relationship between structural shifts in macroeconomic environments, particularly those in inflation and monetary policy, and the rate of exchange rate pass-through. The main results of our empirical analyses using OECD data can be summarized as follows.
1) In applying the endogenous structural break tests, we find that since the collapse of the Bretton Woods system many industrialized economies have experienced significant structural shifts in their inflation processes. Furthermore, it is common among the sample economies to experience such a structural break in the 1980s, and another in the 1990s.
2) Many OECD countries made important alterations to their monetary policy conducts at least in either the 1980s or the 1990s, and in some cases in both. For many countries for which the above mentioned test identifies structural breaks, these breaks are found to have occurred following the changes in monetary policy conducts. Hence, it is quite likely that improvements in monetary policy conducts led to structural shifts in inflation processes.
3) According to our estimation results, the rates of exchange rate pass-though indeed declined in response to the low inflation environment induced by the improvement of monetary policy conducts.
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Report
(4 results)
Research Products
(4 results)
