MONETARY TRANSMISSION MECHANISM IN THE DEFLATIONARY ECONOMY OF JAPAN

摘要

Monetary transmission mechanism in Japan is investigated in two kinds of time intervals [1981,1990] and [1992,1999] associated with the burst of the bubble economy in 1990. The VEC model is constructed for nonstationary I(1) variables (gdp, money supply, bank loans, price) combined with stationary or nonstationary real interest rate r(t). The principal line of attack is to use impulse responses in the growth rate model and accumulate them to obtain impulse responses of level variables. This accumulation gives us convergence property of level variables to non-zero asymptotic states. We can calculate contributions to the asymptotic gdp from asymptotic money supply, bank loans and price in cointegrated and/or non-cointegrated systems. We show that the money channel has a stronger influence to gdp in [1981,1990] compared with credit one, while in [1992,1999] containing the period "after the bubble" the importance of credit channel dramatically increases. Furthermore, by introducing real interest rate instead of nominal interest rate, a strange behavior of the price called "price puzzle" was resolved.