سیاست های پولی بانک مرکزی ژاپن: هدفگذاری تورم در مقابل هدفگذاری نرخ ارز

This paper reviews the empirical evidence on the monetary policy of the Bank of Japan (BOJ). The main findings confirm [McKinnon, R., Ohno, K., Dollar and Yen, Resolving Economic Conflict between the United States and Japan. MIT Press, Cambridge, MA, USA, 1997] thesis that the BOJ has tried to stabilize exchange rate. The interest rate is counter-cyclical to the exchange rate and the coefficient of inflation, which is not weakly exogenous, is significantly smaller than 1. Impulse response analysis confirms the BOJ’s sensitivity not only to inflation and output gap but also to exchange rate. Finally, historical decomposition reveals a major role for exchange rate in explaining cyclical patterns of the interest rate, especially during the bubble period.

The interest rate has been recognized as the main instrument of monetary policy of most Central Banks to reach inflation stability, output stability and maybe exchange rate stability. The main objective of this paper is to identify the targets of the monetary policy conducted by the Bank of Japan (BOJ). There is a proposition among Japanese scholars that the BOJ has given a major emphasis on exchange rate targeting instead of inflation rate targeting. The empirical works of Hutchison (1988), Okabe (1995) and McKinnon and Ohno (1997) are good examples of this line of research. Their results point to a minor role for output gap and a major role for exchange rate deviations on the monetary policy of the BOJ. McKinnon and Ohno’s argument is that exchange rate is a forcing variable and the domestic prices level an adjusting variable. Accordingly, stabilization of the exchange rate may lead to stabilization of the price level in the long run. Taking an alternative view, Chinn and Dooley (1997) and Clarida et al. (1998) present new evidences in favor of the inflation targeting approach. Chinn and Dooley (1997) estimate an interest rate reaction function, using as targets the forecasts of inflation and output gap obtained from a structural VAR of the main economic aggregates that are related to monetary policy, as suggested by Clarida and Gertler (1996). Their findings indicate the relevance of inflation and output stabilization to the BOJ policy. They observe that the inclusion of real exchange rate deviations is not statistically significant to explain the behavior of the interest rate. Much stronger evidence in favor of inflation targeting regime is found in Clarida et al. (1998). They estimate a reaction function using a forward-looking framework, where the arguments of the function are deviations of inflation and output gap in relation to their target values. Their results would be consistent with the view that exchange rate contains all the information on future inflation, as suggested by McKinnon and Ohno. Their empirical analysis, however, did not consider adequately the properties of the time series. They use non-stationary series, or integrated of first order, in a GMM model without testing for the possibility of cointegration among them. This procedure limits seriously the results of the asymptotic theory and may invalidate their estimation process (e.g., Davidson and Mackinnon, 1993). This paper aims to identify the behavior of the BOJ in the management of the monetary policy using the methodology of cointegration analysis, impulse response functions, and historical decomposition of the residuals during the cyclical movements of the nominal interest rate. The period of the analysis is the same as the one considered by Clarida et al. (1998).

The paper adds new evidences on the debate on the main objectives of the monetary policy followed by the BOJ. The empirical analysis here presented shows that the exchange rate has been an important variable to explain the behavior of the BOJ. The econometrics modeling, through a cointegration analysis, suggests that the reaction function of the BOJ is counter cyclical in relation to exchange rate deviations from its parity value. This means that the nominal interest rate decreases each time that the exchange rate overvalues in relation to its parity value and it is tightened otherwise. The role of the inflation rate as a target variable is questionable, given that its coefficient in the estimated reaction function is significantly less than one and it is not weakly exogenous in the model. The impulse response functions, obtained from a structural VEC, indicate the dynamics of the reaction of the BOJ to different shocks and confirm the presence of the exchange rate among the main target variables. The effect of the interest rate on the output gap is rather weak or not significant and does not offset the expansion of the output gap due to exchange rate devaluations. Finally the history decomposition analysis reveals that, in most of the major interest rate cycles in the recent period, exchange rate has played a major role to explain those cycles, particularly during the bubble period. The output gap has shown a minor role. On the other hand the inflation rate has not revealed sensible importance to explain the interest rate cycles. The new empirical evidence brought by this analysis supports strongly McKinnon and Ohno thesis that the BOJ has followed a flexible exchange-rate-targeting kind of monetary policy. This does not mean that the BOJ does not aim price stabilization nor that it pursues exchange rate target in an explicit way.7 It means only that the BOJ does not aim price stabilization per se. This result may be consistent with the findings of Clarida et al. (1998) as long as expected inflation depends on current exchange rate.