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The time-frequency analysis of conventional and unconventional monetary policy: Evidence from Japan
Japan and the World Economy ( IF 1.703 ) Pub Date : 2021-06-19 , DOI: 10.1016/j.japwor.2021.101089
Xiangcai Meng , Chia-Hsing Huang

The effects of monetary policy on the aggregate economy is an important issue that has been addressed mainly in the time domain, and relatively little is known about how monetary policy affects the macroeconomy in the time-frequency space. With a continuous wavelet multiple coherency and partial coherency approach, this paper contributes to the literature by characterizing the macroeconomic effects of monetary policy across frequencies and over time using a monthly dataset from Japan, which is in the vanguard in the practice of unconventional monetary policy. The empirical results show that: First, interest rate changes could be largely captured by inflation fluctuations across frequencies before 1999 but only at low frequencies after 1999. Second, movements of M1 could well reflect the variations of industrial production at the scale of 2–4 years before 1999, but this relationship was reversed at the same scale after 1999. Third, changes in M2 could roughly mirror the fluctuations of inflation at the scale of 3–4 years between 1966 and 1969, and this relationship was reversed at the scale of 1–3 years between 2003 and 2007. This study indicates that in Japan conventional and unconventional monetary policy generate heterogeneous effects on the aggregate economy and the level of heterogeneity partially depends on the chosen instrument.



中文翻译:

常规和非常规货币政策的时频分析:来自日本的证据

货币政策对经济总量的影响是一个主要在时域上研究的重要问题,对货币政策如何在时频空间影响宏观经济的了解相对较少。本文采用连续小波多重相干和部分相干方法,通过使用来自日本的月度数据集来表征货币政策在不同频率和时间上的宏观经济影响,从而为文献做出贡献,日本是非常规货币政策实践的先锋。实证结果表明:第一,利率变化在很大程度上可以通过 1999 年之前跨频率的通货膨胀波动来捕捉,但只能在 1999 年之后的低频率上体现。第二,

更新日期:2021-06-22
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