Departmental Bulletin Paper 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─
VAR Analysis of Effects of Financial Quantitative Easing Policy by the Bank of Japan : 2009~2014

前川,功一  ,  小村,衆統  ,  永田,修一

38 ( 2 )  , pp.1 - 20 , 2015-09-30 , 広島経済大学経済学会
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:
1.はじめに 2.VARモデル分析 2.1VARモデル 2.2採用系列について 2.3VAR分析1 2.4VAR分析2 3.日本銀行の金融緩和政策 3.1日本銀行の金融緩和政策(2009年-2012年) 3.2‌日本銀行の金融緩和政策(2013年-2014年) 4.むすび 補論Aクルーグマン・モデルの概略 補論B予想インフレ率の計算法 補論C実質金利差と実質為替レート 参考文献

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