104849 - Not all internationalmonetary shocks are alike for the Japanese economy.pdf (2.25 MB)
Not all international monetary shocks are alike for the Japanese economy
journal contribution
posted on 2023-05-18, 14:44 authored by Joaquin VespignaniJoaquin Vespignani, Ratti, RAThis paper examines the influence of monetary aggregates shocks in the U.S., China and the Euro area on Japan. China's monetary expansion has significant effects on Japan's economy that are quite different from those of the U.S. and Euro area. In line with the implications of the Mundell–Fleming model when there are capital controls in place, Chinese monetary expansion is found to primarily affect Japan through trade. The income absorption effect of China's monetary expansion is substantial for Japan. China's monetary expansion results in significant increases in Japan's industrial production, exports and inflation, and decreases in the trade-weighted yen. After 24 months, monetary shocks in China forecast 20% of the variation in Japan's real trade balance. In contrast, U.S. monetary expansion results in contraction in Japan's industrial production, exports and trade balance (expenditure-switching). Monetary expansion in the Euro area does not significantly affect Japan. Structural vector error correction models and a factoraugmented model are estimated to establish robustness of results.
History
Publication title
Economic ModellingVolume
52Issue
Part BPagination
822-837ISSN
0264-9993Department/School
College Office - College of Business and EconomicsPublisher
Elsevier Science BvPlace of publication
NetherlandsRights statement
© 2015 The Authors. Published by Elsevier B.V.Licensed under Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) http://creativecommons.org/licenses/by-nc-nd/4.0/Repository Status
- Open