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  1. 117 経済学研究科・経済学部
  2. Working Papers on Central Bank Communication
  1. 0 資料タイプ別
  2. 60 レポート類
  3. 063 ワーキングペーパー

How Large is the Demand for Money at the ZLB? Evidence from Japan

http://hdl.handle.net/2261/00078529
http://hdl.handle.net/2261/00078529
f0f9ec35-a127-4238-844f-e57d81d1e5f5
名前 / ファイル ライセンス アクション
cb-wp013.pdf cb-wp013.pdf (485.4 kB)
Item type テクニカルレポート / Technical Report(1)
公開日 2019-09-24
タイトル
タイトル How Large is the Demand for Money at the ZLB? Evidence from Japan
言語
言語 eng
キーワード
主題Scheme Other
主題 money demand function
キーワード
主題Scheme Other
主題 cointegration
キーワード
主題Scheme Other
主題 structural breaks
キーワード
主題Scheme Other
主題 zero lower bound
キーワード
主題Scheme Other
主題 welfare cost of inflation
キーワード
主題Scheme Other
主題 log-log form
キーワード
主題Scheme Other
主題 semi-log form
キーワード
主題Scheme Other
主題 interest elasticity of money demand
資源タイプ
資源 http://purl.org/coar/resource_type/c_18gh
タイプ technical report
著者 Watanabe, Tsutomu

× Watanabe, Tsutomu

WEKO 158588

Watanabe, Tsutomu

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Yabu, Tomoyoshi

× Yabu, Tomoyoshi

WEKO 158589

Yabu, Tomoyoshi

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著者所属
著者所属 Graduate School of Economics, University of Tokyo
著者所属
著者所属 Faculty of Business and Commerce, Keio University
抄録
内容記述タイプ Abstract
内容記述 This paper estimates a money demand function using Japanese data from 1985 to 2017, which includes the period of near-zero interest rates over the last two decades. We compare a log-log specification and a semi-log specification by employing the methodology proposed by Kejriwal and Perron (2010) on cointegrating relationships with structural breaks. Our main finding is that there exists a cointegrating relationship with a single break between the money-income ratio and the interest rate in the case of the log-log form but not in the case of the semi-log form. More specifically, we show that the substantial increase in the money-income ratio during the period of near-zero interest rates is well captured by the log-log form but not by the semi-log form. We also show that the demand for money did not decline in 2006 when the Bank of Japan terminated quantitative easing and started to raise the policy rate, suggesting that there was an upward shift in the money demand schedule. Finally, we find that the welfare gain from moving from 2 percent inflation to price stability is 0.10 percent of nominal GDP, which is more than six times as large as the corresponding estimate for the United States.
内容記述
内容記述タイプ Other
内容記述 Publisher's another name: JSPS Grants-in-Aid for Scientific Research (S) Central Bank Communication Design
内容記述
内容記述タイプ Other
内容記述 JEL Classification Numbers: C22; C52; E31; E41; E43; E52
書誌情報 Working Papers on Central Bank Communication

巻 013, 発行日 2019-09-20
著者版フラグ
値 publisher
出版者
出版者 Research Project on Central Bank Communication
関係URI
識別子タイプ URI
関連識別子 http://www.centralbank.e.u-tokyo.ac.jp/en/category/research-data/
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