Abstract
This study examines the macroeconomic effects of unconventional monetary policy in Japan. We apply the new identification strategy proposed by Bu et al. (2021; JME) to the Japanese case and show the macroeconomic effects of unconventional monetary policy; a contractionary monetary policy shock significantly decreases output and inflation rates even under the effective lower bound. However, because the shorter-term and longer-term nominal interest rates are already close to zero, the magnitude of monetary policy shocks on the macroeconomic variables is modest.
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