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Michaelis, Henrike; Watzka, Sebastian (2017): Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time? In: Journal of international Money and Finance, Vol. 70: pp. 204-233
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Abstract

Using a time-varying parameter vector autoregression (TVP-VAR) framework with a new set of sign restrictions, we study the changing effectiveness of the Bank of Japan's Quantitative Easing policies over time. We specifically analyse the so-called Zero-Interest Rate Policy from 1999 to 2000, the Quantitative Easing Policy from 2001 to 2006, and most recently the so-called 'Abenomics' strategy. Our results indicate important differences of the Quantitative Easing (QE) shocks on the Japanese economy over time. More specifically, we find important time variation in the responses of core CPI and real GDP. With regard to the different monetary policy episodes in Japan we find somewhat more pronounced effects on core CPI during 'Abenomics'. The responses of the price level are generally found to be stronger and more significant than those of real GDP. This holds particularly for the 'Abenomics' period. These results are mirrored by our variance decomposition analysis.