(1) Credit Cost Ratio of Japanese banks (2) Credit to GDP ratio Figure 4: Financial Crisis in Japan -20 -10 0 10 20 30 40 83 85 90 95 00 05 10 15 16 deviation from trend, % pts Financial Crisis Period defined by Hoshi and Kashyap (2010) Financial Crisis Period defined by Reinhart and Rogoff (2011) CY Note: 1. The financial crisis period defined by Hoshi and Kashyap (2010) runs from 1997 to 2002, and by Reinhart and Rogoff (2011) from 1992 to 2001. 2. The shaded area indicates the period when the unconventional monetary policy was implemented.
- 2. The shaded areas in panel (1) are the 95% confidence intervals of the estimates of the coefficient of the dummy variable based on Hoshi and Kasyhap (2010). The estimated coefficients are multiplied by-1 as an expansionary monetary policy is considered.
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- Figure 1: Shadow Rates in Japan -8 -4 0 4 8 12 83 85 90 95 00 05 10 15 16 Uncollaterized overnight call rate Shadow rate estimated by Krippner (2015) Shadow rate estimated by Ueno (2017) JGB-2Y QE CME ZIR % QQE CY Key: ZIP: Zero Interest Rate Policy; QE: Quantitative Easing; CME: Comprehensive Monetary Easing; QQE: Quantitative and Qualitative Monetary Easing.
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- Sources: Cabinet Office, the Bank of Japan, Hoshi and Kashyap (2010), Reinhart and Rogoff (2011) . -2 0 2 4 6 8 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 %
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The red dashed line is the point estimate of the coefficient when the dummy variable is constructed based on Reinhart and Rogoff (2011). 3. The shaded areas in panels (2) and (3) show the range of distribution where the 25-75th percentile of response of sampled banks and industry groups fall. The blue solid line and red dashed line show the median of impulse responses of lending among banks when either of the two dummy variables is used.
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