Dynamic Macroeconomic Sources of Business Fluctuations-The Case of Japan

劉育綜(Yu-Chung Liu)

《台灣金融財務季刊》 9卷2期 (2008/06) Pp. 1-30

並列摘要

This paper estimates Japan's economy by imposing contemporaneous restrictions to recover six structural shocks, oil price, deficit, aggregate supply, aggregate demand, monetary supply and exchange rate, during the period from 1973:1 to 2001:2. For variance decompositions, aggregate demand and monetary shocks dominate all output variation decomposition, which indicates that monetary policy is effective during the sampling period and overrules the hypothesis of money neutrality. For accumulated impulse response functions, price level and monetary innovations have positive effects on output in the medium and long run, which supports the notion of money illusion effect. Shocks of oil price and exchange rate decrease output only in the medium and long run and fiscal and aggregate demand innovations increase output in the short run, with mild effect, as economists might expect. The impact of oil price, fiscal, price (inflation) and aggregate demand shocks appear to negatively correlated with the Japan's currency; as most economist might expect (e.g., Japan's exchange rate policy is export oriented); whereas monetary and exchange rate shocks appreciate Japan's currency, which might attribute to hot money inflow and anticipation effect. How the oil price shocks impact the output, price level and exchange rate of Japan? This research reveals that accumulative oil price hike will not impact the economy in the short run until the oil price hikes sustain over two years, then the output will start to decrease during the long run. Also, the shocks of oil price increase price level only in the very short run amid the exchange rates depreciate over time. That may be the result that the government uses macroeconomic policies in respond to the oil price hikes.

並列關鍵字

Macroeconomics ； Structural VAR ； Structural shocks ； Impulse response functions ； Variance decompositions function

參考文獻

Ahmed, S.,R. Murthy(1994).Money, Output, and Business Cycles in a Small Open Economy.Canadian Journal of Economics.27,982-993.

Bernanke, B.(1986).Alternative Explanations of the Money-Income Correlation.Carnegie-Rochester Conference Series on Public Policy.25,49-99.

Blanchard, O. J.(1989).A Traditional Interpretation of Macroeconomic Fluctuation.American Economic Review.79,1146-1164.

Blanchard, O. J.,Watson, M.W.,Robert J. Gordon (edited)(1986).The American Business Cycle: Continuity and Change.Chicago, IL:University of Chicago Press, NBER.

Karras, G.(1993).Sources of U.S. Macroeconomic Fluctuations: 1973-1989.Journal of Macroeconomics.15,47-68.