2016 年 4 巻 1 号 p. 1-17
This study is the first to examine the changes in the effectiveness of Japan’s quantitative easing policy (QEP) at a monthly frequency, using time-varying parameter VAR estimation. The results are significantly different from those obtained in previous studies. First, it is shown that the QEP’s effects on the real economy have varied over time. The QEP effectively influenced production through most of the observation period, but its exact impacts varied throughout. However, with some exceptions, the QEP had limited effects on prices. Second, the QEP influenced stock price significantly all through the observation period. This result suggests that the stock price channel, might have been the effective transmission channel for the QEP.
