文档介绍：JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES 11, 275–295 (1997)
ARTICLE NO. JJ970382
ary Policy in Japan: A Structural VAR Analysis*
Ken Kasa
Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco, California 94105
and
Helen Popper
Department of Economics, Santa Clara University, Santa Clara, California 95053
Received July 24, 1996
Kasa, Ken, and Popper, Helen—ary Policy in Japan: A Structural VAR
Analysis
This paper studies the objectives and operating procedures of the Bank of Japan
(BOJ) during the period 1975–1994. It uses a modified version of the structural
VAR of Bernanke and Mihov, which nests several alternative hypotheses concerning
central bank behavior. The approach allows for separate identification of the
anticipated and ponents of ary policy, and it is capable of
distinguishing between interest rate targeting and various types of reserve targeting.
Three main results emerge from the analysis. First, no single target can explain the
BOJ’s behavior. Instead, the BOJ appears to weight both variation in the call money
rate and variation in nonborrowed reserves, with the weight on the call money rate
increasing over time. Second, there is strong evidence that at times the BOJ has
employed ‘‘moral suasion’’ to counter shocks in the demand for borrowed reserves.
However, by the second half of the 1980s, this procedure was no longer being used.
Third, plots of the overall stance of ary policy and its ponent
clearly reveal that a sharp ary contraction occurred between early 1990 and
late 1992, with an equally sharp expansion since then. Perhaps surprisingly, both
the contraction and the subsequent expansion appear to have occurred largely in
response to prevailing economic conditions, rather than as an unanticipated change
in policy. J. Japan. Int. Econ., September 1997, 11(3), pp. 275–295. Federal Reserve
Bank, of San Francisco, 101 Market Street, San Francisco, California 94105; a