Estimating the Bank of Japan's monetary policy reaction function

Yu Hsing
Additional contact information
Yu Hsing: Southeastern Louisiana University, Department of General Business, Hammond (USA)

BNL Quarterly Review, 2004, vol. 57, issue 229, 169-183

Abstract: Extending the Taylor rule and applying the VAR model, the author finds that the overnight call rate reacts positively to a shock to the inflation gap, the output gap, yen depreciation, stock prices, or the lagged overnight call rate. The response of the overnight call rate to exchange rates or stock prices lasts longer than the reaction to the output gap and the inflation gap. Except for the lagged overnight call rate, the inflation gap and the exchange rate are more influential than the output gap and stock prices in explaining the variance of the overnight call rate.

Keywords: Monetary Policy; Monetary; Policy (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9826/9711 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:psl:bnlaqr:2004:24

Ordering information: This journal article can be ordered from
http://www.economiacivile.it

Access Statistics for this article

BNL Quarterly Review is currently edited by Alessandro Roncaglia

More articles in BNL Quarterly Review from Banca Nazionale del Lavoro
Bibliographic data for series maintained by Carlo D'Ippoliti ().