On Long-Run Monetary Neutrality in Japan

This paper comprehensively investigates long-run monetary neutrality in Japan, with due consideration to the order of integration of the money stock and real output, mainly using long-term time-series data retroactively available from the Meiji Period (1868-1912). The empirical results indicate little evidence against the long-run neutrality of money (especially defined as M2) with respect to real GNP. In addition, such findings are robust to a wide range of identifying assumptions.

The Decline in the Exchange Rate Pass-Through: Evidence from Japanese Import Prices

In this paper, we empirically examine the movement of the exchange rate pass-through to the aggregate import prices in Japan from the 1980s through 2001. We demonstrate that the exchange rate pass- through to Japan's import prices fell in the 1990s, and such a decline occurred mainly during the period from the late 1980s to the mid-1990s. In addition, we show that the decline came mainly from declines in the exchange rate pass-through in each product, rather than a shift of import share from raw materials to manufactured goods with a lower exchange rate pass-through. Moreover, the period of the decline in the exchange rate pass-through coincides with the period of the sharp appreciation of the yen and resultant structural changes in the economy and international trade. Although the advance in the globalization of Japanese firms is likely to reduce the exchange rate pass-through to import prices, it should be noted that the decline in the exchange rate pass-through does not necessarily imply that exchange rate fluctuations have become less important in connection with macroeconomic fluctuations.

Revisiting the Decline in the Exchange Rate Pass-Through: Further Evidence from Japan's Import Prices

Many empirical studies show common empirical findings that the exchange rate pass-through to import prices in advanced countries declined in the 1990s. Some of those studies, however, draw contrasting conclusions regarding the factors behind the decline. Campa and Goldberg (2002) point out that it comes mainly from the decrease in the import share of primary commodities, such as raw materials and fuels, while Otani, Shiratsuka, and Shirota (2003) make the case that it is mostly attributable to the decline in the exchange rate pass-through in each product category. In this paper, we empirically reexamine the validity of the contrasting hypotheses. Our empirical results demonstrate that the decline in the exchange rate pass-through to Japan's import prices excluding primary commodities is largely attributable to the decreases in the exchange rate pass-through in each product. Our empirical results also suggest the possibility that the declines in the long-term exchange rate pass-through to overall import prices are induced partly by the reduction in the import share of primary commodities. The second point, however, should be taken cautiously, because the precision of the estimates is not high enough to draw a definite conclusion.

Evaluating the Unconventional Monetary Policy in Stock Markets : A Semi-parametric Approach

This study analyzes the effect of a central bank’s intervention in stock markets, while allowing for nonlinearities and state dependencies, using a semi-parametric approach. A causal inference on such intervention is difficult because of the selfselective behavior of central banks. To address these problems, we apply the propensity score method in a time series context, exploiting stock price information of a single day. We find that first, there are demand pressure effects in stock markets if an intervention is large enough. Second, the effects are state-dependent and stronger during market downturns. Finally, a central bank’s interventions have a considerable impact on stock prices only when we take permanent demand pressure effects into consideration

What is the Major Source of Business Cycles : Spillovers from Land Prices, Investment Shocks, or Anything Else?

Some recent studies argue that spillovers from land prices into the aggregate economy are the crucial drivers of business cycles. Other studies stress the importance of investment shocks at business cycle frequencies. This study evaluates these two strands of the literature in a single unified framework by estimating a New Keynesian dynamic stochastic general equilibrium model with a collateral constraint on investment financing. The results are twofold: (i) when these features are combined, neither shocks that drives most of land-price fluctuations nor investment shocks are the primary source of U.S. business cycles; and (ii) technology shocks play an important role in business cycles

Note on alternative work arrangements, tasks, and compensations : Evidence from a quasi-natural experiment

This note estimates a Mincerial equation to disentangle the effect of alternative work arrangements on wage premiums using an anonymized microdata and a quasi-experimental event of labor market deregulation in Japan. This study focuses on tasks of workers. The estimation results indicate that (i) alternative work arrangements equalize wage premiums between major metropolitan areas and other areas, (ii) alternative work arrangements equalize negative female premiums between routine-manual tasks and other tasks, and (iii) alternative work arrangements don't affect the returns to education and work experience

Not All Exchange Rate Movements Are Alike : Exchange Rate Persistence and Pass-Through to Consumer Prices

This study develops a framework to identify persistent and transitory shocks in exchange-rate movements and to estimate the shock-specific exchange-rate pass-through to domestic prices. The framework combines a dataset of a long time series of exchange-rate forecasts since the 1980s with a range restriction that is a natural generalization of the standard sign restriction. The empirical results show that exchange rate pass-through is higher when a persistent shock dominates exchange-rate movements. The composition of persistent and transitory shocks varies over time. This study asserts that time variations of exchange rate pass-through are at least partly attributable to differences in shock-specific pass-through rates and variations in the composition of shocks over time. Applying our identification procedure to disaggregated prices of the CPI, we also find that a correlation between pass-through coefficients and frequencies of price adjustments is shock dependent. Specifically, the positive correlation, which is reported in Gopinath and Itskhoki [2010], disappears, when exchange-rate movements are transitory

Shock matters for estimating monetary policy rules

This study proposes a simple methodology to conditionally estimate monetary-policy rule parameters for underlying structural shocks. The results are summarized as follows. First, the Federal Reserve (Fed) chooses different responses to different types of shocks. Second, the long-run response of policy rates to inflation does not exceed 1 for some shocks. This result suggests that the Fed does not meet the Taylor principle for some shocks. (C) 2019 The Author(s). Published by Elsevier B.V