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1、RYUZOMIYAOTheEffectsofMonetaryPolicyinJapanThisarticleititerpretstimeseriesfactsregardingthesourcesofbusinessfluctuationsinJapanandattemptstouncoverpossiblecharacteristicsoftheeffectsofmonetarypolicyoverthelasttwodecades.ItarguesthatgiventheinstitutionalfeaturesoftheBanko
2、fJapan'soperatingprocedures,asimplerecursivevectorautore-gressive(VAR)modelthatconsistsofinterestrates,money,stockprices,andoutput,allinfirstdifferences,mayserveasausefulbenchmarkforJapan.Themainfindingisthatmonetarypolicyshocksinfacthaveapersistenteffectonrealoutputespec
3、iallyintheriseandfallofJapan's"bubbleeconomy"inthelate1980s.MEASURINGTHEEFFECTSofmonetarypolicyonaggregateactivityhaslongbeenacentralissueinquantitativemonetaryeconomics.SincetheworkofSims(1980),structuralvectorautoregressive(VAR)methodologyisdevel-opedandwidelyappliedtoa
4、ddresstheissueespeciallyintheUnitedStates,Oneofthekeyissuesintheliteratureishowtoidentifytheexogenouscomponentofmone-tarypolicy.Recentdiscussionsontheidentificationissuecanfallintotwobroadcat-egories.Thefirstcategoryemphasizestheroleofshort-terminterestratesastheindicator
5、ofmonetarypolicy(see,forexample,BernankeandBlinder1992;Sims1992),Theotherstressesmonetaryaggregatessuchasnonborrowedreserves(forex-ample,ChristianoandEichenbaum1992;Eichenbaum1992),'Inamorerecentwork,BernankeandMihov(1998)proposeanewVAR-basedmethodologyandmakestatisticalc
6、omparisonsofalternativepolicymeasuresinaunifiedframework.Thosemethodologicalandempiricalattemptsareundoubtedlyimportantcontribu-tionstotheliteratureinordertoprovideamoreaccurateassessmentoftheeffectsofmonetarypolicyontheaggregateU,S.economy.Theauthorthankstwoanonymousrefe
7、rees,ToniBraun,EtsuroShioji,ShigenoriShiratsuka,YosukeTakeda,KatsutoTanaka,TsutomuWatanabe,HiroshiYamada,andseminarparticipantsatTokyoUniver-sityforhelpfulcommentsandsuggestions.HealsothanksespeciallyLukeGower,MunehisaKasuya,EijiOgawa,AdrianPaganandMakotoSaitoforvaluabled
8、iscussionsandcriticismgiventoearlierattemptsonthesimilarsubject.HeisalsoindebtedtoNobuyukiOdafor
