VARモデルによる日本の金融緩和政策効果の検証─2009年～2014年の期間について─

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  • VAR Analysis of Effects of Financial Quantitative Easing Policy by the Bank of Japan : 2009~2014
  • VAR モデル ニ ヨル ニホン ノ キンユウ カンワ セイサク コウカ ノ ケンショウ : 2009ネン~2014ネン ノ キカン ニ ツイテ

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VAR Analysis of Effects of the Quantitative Easing Policy by the Bank of Japan for the Period 2009–2014|The purpose of this study is to analyze the effects of the quantitative easing policy by the Bank of Japan for the Period 2009–2014 using two VAR models, Model A and Model B. Model A includes the following 5 variables: Monetary base (MB), Expected inflation rate (ARINF), Total consumption index (CI), Rate of job availability (RAJ), Consumer price index (CPI). To see the effect of MB on the index of stock price in Tokyo Stock Market (TOPIX) and the exchange rate of Yen against US dollar (EXR), we construct Model B by replacing CI and RAJ in Model A with TOPIX and EXR. All data are based on monthly data for the period of 2009~2014. We calculated the impulse response function of the two models. By observing those impulse response functions we could detect possible causal orders of economic variables as follows:|From Model A: MB → ARINF → CI → RAJ → CPI|From Model B: MB → ARINF → EXR → TOPIX → CPI|However, since the impulse response of EXR against MB is weak (or weakly significant) we may exclude EXR from the second causal order above and infer the following causal order:|MB → ARINF → TOPIX → CPI

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