The changing role of the yen/dollar exchange rate for japanese monetary policy

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The changing role of the yen/dollar exchange rate for japanese monetary policy

Schnabl, Gunther; Danne, Christian
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URI: http://nbn-resolving.de/urn:nbn:de:bsz:21-opus-18197
http://hdl.handle.net/10900/47343
Dokumentart: WorkingPaper
Date: 2005
Source: Tübinger Diskussionsbeiträge der Wirtschaftswissenschaftlichen Fakultät ; 290
Language: English
Faculty: 6 Wirtschafts- und Sozialwissenschaftliche Fakultät
Department: Wirtschaftswissenschaften
DDC Classifikation: 330 - Economics
Keywords: Japan , Geldpolitik
Other Keywords:
Japan , Monetary Policy Reaction Function , Bank of Japan , Interest Rate Rules , Exchange Rates
License: http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=de http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=en
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Abstract:

This paper studies the role of the yen/dollar exchange rate in the Bank of Japan’s monetary policy reaction function. In contrast to prior estimations of reaction functions based on the Taylor-rule, we allow for regime shifts by estimating rolling coefficients from January 1974 to March 1999. The results show a temporary impact of the exchange rate on monetary policy around 1978/79 and a persistently increasing impact of the yen/dollar exchange rate after 1986. The ris ing importance of the yen/dollar exchange rate for Japanese monetary policy is in line with increasing efforts to stabilize the yen/dollar exchange rate by foreign exchange intervention after March 1999, when the nominal interest rate reached the zero boundary.

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