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The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?
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Frédérique Bec
Veröffentlicht/Copyright:
7. Dezember 2007
Despite expansionary fiscal and monetary policies, the Japanese real economy has been stagnating since the bubble bursting in the early nineties. Within a multivariate setup, this paper proposes to test for and date a possible structural shift in the response of Japanese macroeconomic fluctuations to aggregate supply and aggregate demand shocks. The econometric methodology directly derives from Andrews (1993) and Bai, Lumsdaine and Stock (1998) theoretical results. Our empirical study from monthly post-1980 observations reveals i) a significant structural break in the end of 1991, and ii) a sharp decrease in the influence of demand shocks on Japanese output fluctuations after this date.
Published Online: 2007-12-7
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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- The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?
Artikel in diesem Heft
- Article
- Movements in the Equity Premium: Evidence from a Time-Varying VAR
- Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
- Jump-and-Rest Effect of U.S. Business Cycles
- Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models
- The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?
