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| Hiroshi Gunji and Kazuki Miura |
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| ''Re-examination of monetary policy using a shift-share regressor and instrumental variables'' |
| ( 2025, Vol. 45 No.1 ) |
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| This study re-examines the effects of monetary policy using Japanese data and a new approach, the shift-share regressor and instrumental variables, which has not been used in previous vector autoregression analyses. We find that consumption and investment respond negatively to interest rates, while output and employment do not respond much. Moreover, a price puzzle is observed, although this difference is not statistically significant. These results imply that the effects of monetary policy are negligible and unstable. |
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| Keywords: monetary policy, shift-share regressor, instrumental variable, Japan |
JEL: E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
C2 - Single Equation Models; Single Variables: General |
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| Manuscript Received : Jul 28 2023 | | Manuscript Accepted : Mar 30 2025 |
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