موردی از هدف قرار دادن سطح قیمت ها یا تورم، چگونه اثربخشی سیاست پولی در کاهش تورم ژاپن اتفاق افتاده است؟
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|26706||2009||12 صفحه PDF||سفارش دهید||10627 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Japan and the World Economy, Volume 21, Issue 3, August 2009, Pages 280–291
This paper examines whether price level or inflation targeting would have been appropriate policy choices for Japan during its disinflation and deflation period. We employ Markov switching and structural vector autoregressions, together with structural IS equations, to investigate monetary policy effectiveness during the Japanese disinflation. We find evidence of regime switching in the mid-1990s in a model including the nominal policy interest rate. When monetary policy shocks are identified by using the McCallum rule for monetary base, a monetary expansion is found to have a statistically significant impact on prices. Moreover, a lower real ex ante interest rate can still stimulate the economy despite the zero lower bound on nominal interest rates.
The protracted economic slump in Japan since the early 1990s raised the attention of economists worldwide and led to numerous policy proposals. This so-called “lost decade”, lasting much longer than a simple cyclical downturn, brought to life economic phenomena that proved a veritable challenge for policy makers. Interestingly, even though inflation was almost continuously negative during 1999–2005 and the zero interest rate policy was first initiated in 1999, the Bank of Japan (BOJ) was unwilling to adopt either an inflation or a price level targeting strategy. Admittedly, the policy of quantitative easing bears some resemblance to price level targeting, as it was to be in place until CPI inflation stays at or above zero percent for a few months—a 0 percent inflation rate effectively corresponds to a price level target. Even so, the absence of an explicit price level or inflation targeting strategy may seem surprising given the potential benefits of either of these approaches and the widespread adoption of inflation targeting by central banks worldwide. The aim of our paper is to examine whether price level or inflation targeting would have been appropriate policy choices for Japan during its disinflation and deflation period. To this aim, we employ Markov switching and structural vector autoregressions (MSVARs and structural VARs, respectively), together with structural IS equations, to investigate monetary policy effectiveness during the Japanese disinflation. If the monetary transmission mechanism had broken down in the economy, neither inflation nor price level targeting would have been feasible policy alternatives for the Bank of Japan. We find evidence of regime switching in the mid-1990s in a model including the nominal policy interest rate. A structural VAR where monetary policy shocks are identified by using a McCallum rule, is not stable over the 1990s. While expansionary policy shocks in the McCallum framework still have an impact on prices in the late 1990s, the link from monetary policy to output does not seem to function. Nevertheless, a lower real ex ante interest rate can still stimulate the economy despite the zero lower bound on nominal interest rates, providing support for price level and inflation targeting. 1 Numerous studies have been inspired by the Japanese deflation problem, covering fiscal, monetary and structural policy aspects, and Fujiwara (2006) has recently provided evidence from an MSVAR system. Our contribution to the literature is the evaluation of policy effectiveness using three different indicators for policy (nominal and real interest rates, and money supply), for comparable estimation samples. Even if the effectiveness of nominal interest rates weakens after the mid-1990s simply due to the zero bound, other indicators for policy may still show signs of potency. The importance of the real ex ante interest rate is prominently emphasized in the theoretical literature about price level targeting, while a focus on money becomes especially attractive for policy when nominal interest rates have fallen to zero bound. To our knowledge, monetary policy shocks derived from a McCallum monetary policy rule for money supply have not been previously examined in the literature for Japan. The recovery in the Japanese economy has recently lifted CPI inflation to positive territory after years of persistent deflation. Even so, the possibility of hitting the zero bound and the threat of deflation have recently been serious concerns in other big economies as well. After the Federal Funds rate was lowered to 1 percent in the US in June 2003, concerns arose about the constraint a lower bound on interest rates could pose on monetary policy. Moreover, even as the European Central Bank (ECB) has in public seemed to downplay the possibility of negative inflation rates in the euro area, it did indeed argue that the clarification in May 2003 of its inflation target of “under but close to 2 percent” was aimed at creating a sufficient safety margin against deflation (ECB, 2003). This paper is structured as follows. In the next section, we discuss some of the previous literature about the Japanese slowdown and the monetary transmission mechanism in this economy, together with theoretical considerations that are prominent to the analysis. This is followed by a presentation of the methodology of the study. In Section 4, the empirical analysis in the form of vector autoregressions is performed. Furthermore, results from structural IS equations are investigated and analysed. The final section concludes.
نتیجه گیری انگلیسی
The aim of our paper was to examine whether inflation or price level targeting would have been feasible monetary policy strategies for Japan during its disinflation and deflation period. We employed Markov switching and structural vector autoregressions, together with structural IS equations, to investigate monetary policy effectiveness during the Japanese disinflation. If the monetary transmission mechanism had broken down in the economy, neither inflation nor price level targeting would have been feasible policy alternatives for the Bank of Japan. We found evidence of regime switching in the mid-1990s in a model including the nominal policy interest rate. When monetary policy shocks are identified by using the McCallum rule, a monetary expansion is found to have a statistically significant impact on prices, but no significant effect on real output is detected in the deflation period. Importantly, evidence of regime switching in a model with the nominal policy interest rate does not imply that monetary policy is impotent. As we found that the structural IS equation holds, a lower real ex ante interest rate is sufficient to stimulate the economy in spite of the zero lower bound on nominal interest rates. The management of expectations plays a crucial role especially in a successful implementation of a price level targeting rule. It is interesting to note that the suggestions for Japan to adopt an inflation or a price level target came at a rather different time than for other economies that have introduced inflation targeting. Usually, such a policy was initiated to control runaway inflation, or after a successful disinflationary process with no threat of deflation. The apparent unwillingness by the BOJ to adopt an inflation target during the deflation period may have originated in the belief that no instruments were available to influence future prices—deeds have been thought to count more than words in the credible management of expectations. Another often-given rationale for inflation targeting, increased central bank independence, might have been less important for the BOJ; the implementation of fiscal measures in unison with monetary policy could have helped in overcoming the deflation problem. There are some reasons why the price level targeting approach (as opposed to inflation targeting) would be especially suitable for Japan. Very low positive inflation rates and deflation would necessitate a significantly positive inflation rate in the future under a price level targeting approach, as any deflationary shocks would need to be reversed. Under such a regime, any disinflationary shock is tackled immediately, more likely ensuring that the persistent deflationary era does not reappear. Moreover, with nominal rates still close to zero, a smaller variability in policy rates would lower the probability of the zero floor becoming binding again. If a price level target is eventually (significantly) overshot, contractionary monetary policy of some degree may need to be implemented, with potential costs for the economy. This, however, has to be weighed against the alternative of Japan falling back to stagnant growth and deflation. Finally, neither inflation nor price level targeting would compromise the BOJ’s ultimate goal of price stability that supports medium to long-term sustainable growth.