VAR VAR -
- October. FRB ECB GIIPS Greece, Ireland, Italy, Portugal, Spain QE ECB QE QE FRB S T-bill QE
QE FRB VAR VAR -
- October Okina and Shiratsuka Baba et al. Kimura and Small, a CPI VAR VAR - FRB QE QE
- Post VAR FRB QE QE GIIPS QE Fig., GDP Fig. Fig. M M Fig.,
- October (mn Yen),,,5,,, 5, BOJ Current Account (RHA) 999 4 5 6 7 8 9 Source: Bank of Japan Quan ta ve Easing Monetary Base (LHA) Comprehensive Monetary Easing Quan ta ve & Qualita ve Easing(right) (million Yen),, 8, 6, 4,, (%) (y/y, %).6 6.4 4 Lending(RHA) -. -4 (LHA) -6. -8 999 5 7 9 Sources: Bank of Japan, Interna onal Financial Sta s cs database (IMF) (%, GDP) 5 5 5 (Japan) Reserve(Japan) (US) Reserve(US) 999 5 7 9 Note: Fiscal Year (Japan) and Calendar year (USA) Sources: Bank of Japan, Cabinet O ce of Japan, Federal Reserve Board, BEA (USA)
(y/y, %) (y/y, %) 6 5 4 - - - Monetary Base(LHA) M(RHA) 999 5 7 9 Sources: Bank of Japan, Interna onal Financial Sta s cs (IFS) database (IMF) 5 4 (million Yen),7,,5,,, Produc on (RHA),, 9, Monetary Base(LHA) 7, Lehman Shock 5, 999 5 7 Sources: Bank of Japan, Interna onal Financial Sta s cs (IFS) database (IMF) 9 (5=) 9 8 7 6 (5=) (y/y, %) 6 Produc on(lha) 5 4 9 8 M(RHA) 7 6 999 5 7 9 Source: Bank of Japan, Interna onal Financial Sta s cs (IFS) database (IMF)
- October - Fig. (million Yen) (=),, 8, 6, 4, Quan ta ve Easing Comprehensive Monetary Easing (RHA) Quan ta ve & Qualita ve Easing(right) 4, BOJ Current Account(LHA) 8 6 999 Source: Bank of Japan 4 5 6 7 8 9 - M M Fig. M
(Trilion yen ) (y/y, %) 8, 5 Capital Flows (LHA) 6, M(RHA) 4 4,, -, -4, -6, 999 5 7 9 Source: Bank of Japan, terna onal Financial Sta s cs (IFS) database (IMF) M VAR FDI Portfolio Other FDI VAR VAR [Bank of Japan Account] BOJ
- October AC Monetary Base, Call Rate FDI Portfolio investment Other investment M Yield Nikkei, Prod...... QE.. Source BOJ AC Monetary Base () FDI, Portfolio, Other BIS effective exchange rate indices M Yield International Financial Statistics (IFS) database (IMF) Nikkei Production (Prod) 5 IFS database (IMF) VAR Yt = c + A Yt- + A Yt- + + AlYt-l + B t c At n n t n B t n l utut =B t
FDI,Portfolio, Other Capital Flows [FDI / Portfolio / Other], [or or [Intrate] Capital Flows[FDI / Portfolio / Other], M Yield Stock Prices Nikkei Production Prod ADF FDI Portfolio Other Table FDI M Nikkei Yield Production, Prod
- October -6 ADF t-adf p-value lag significance model ADF t-adf p-value lag significance model level -.4.5 intercept st diff. -.996.4 7 *** intercept (log) -.4.844 *** intercept, trend -4.55 4 7 *** intercept, trend Monetary Base level -5.8 7 *** intercept st diff. -4.95 5 *** intercept (log) -.6.55 7 intercept, trend -.869.55 9 *** intercept, trend level -.894.5 * intercept st diff. -7.8 *** intercept -.94.6 intercept, trend -4. 8 9 *** intercept, trend FDI level -9.4 *** intercept st diff. -.5 *** intercept -9.55 *** intercept, trend -.49 *** intercept, trend Portfolio level -.969.99 5 intercept st diff. -9.5 4 *** intercept -.85.86 5 intercept, trend -9.66 4 *** intercept, trend Other level -.59.56 5 intercept st diff. -8.49 4 *** intercept -..46 5 intercept, trend -8.65 4 *** intercept, trend level -.9.94 intercept st diff. -6.6 *** intercept -..94 intercept, trend -6.68 *** intercept, trend M log) level -.5.646 intercept st diff. -6.996 *** intercept -.68.5 * intercept, trend (y/y) -6.96 *** intercept, trend Yield(Govt) level -.5.55 intercept st diff. -7.8 * intercept -.8.686 intercept, trend -7.76 intercept, trend Stock Price level -.4.99 intercept st diff. -5.78 *** intercept -.767.78 intercept, trend -6.4 *** intercept, trend Production level.8.96 intercept st diff. -9.799 *** intercept S.A.) -4.66. ** intercept, trend -. *** intercept, trend 6- ADF t-adf p-value lag significance model ADF t-adf p-value lag significance model level.55.988 intercept st diff. -9.947 *** intercept (log) -5 *** intercept, trend -.54 *** intercept, trend Monetary Base level.85 * intercept st diff. -.97 *** intercept (log) -.58.56 intercept, trend -8.994 *** intercept, trend level -.7.4 *** intercept st diff. -5.88 *** intercept -.95.9 ** intercept, trend -5.56 *** intercept, trend FDI level -9.4 *** none st diff. -.5 *** none -9.55 *** intercept -.49 *** intercept Portfolio level -.974.98 6 none st diff. -9.854 4 *** none -.9.5 6 intercept -5 4 *** intercept Other level -4.9 *** none st diff. -8.578 4 *** none -..4 5 intercept -8.49 4 *** intercept level -.698.49 intercept st diff. -5.95 *** intercept -.788.7 intercept, trend -5.947 *** intercept, trend M log) level.545 intercept st diff. -7.4 *** intercept -.66.66 intercept, trend (y/y) -7.9 *** intercept, trend Yield(Govt) level -.79.48 none st diff. -. *** none -4.79 intercept -.5 *** intercept Stock Price level -.57.49 intercept st diff. -9.66 *** intercept -.5.98 intercept, trend -9.6 *** intercept, trend Production level -.89.64 intercept st diff. -7.8 *** intercept S.A.) -.5.456 intercept, trend -8.87 *** intercept, trend Note: The period is from April 6 to June. Source: Author's calculation based on Bank of Japan and IFS database (IMF) Table
-6 FDI Portfolio Other M Yield Nikkei Prod FDI.86.5.8.59.8.5.765.599.88.999 Portfolio.58.758..9.578.7.55.4.575 Other.8.57.7.594.47.54.64.48.9.6.58.76.679.89 *.564 *.488.568 **.6.75 **.54..4.55.56..544.545.76.89.85.66.4..6.5.57.6.65 8.7 *.787 *.575.49.74.859.574 *.47.85.87.87 M.6 6.54 *** 5.64 ***.79 * 4.77 ***.69 *.49.95.855.59 Yield.47.5.9.4.78.654.579.65.695.97 * Nikkei.548 ** 5.7 **.4 *.967.65 *.65.4..97.794 ** Prod.76.76 *.77.56.84.98.585.4.66.44 6-8 FDI Portfolio Other M Yield Nikkei Prod FDI.94.78.54 *.5 *.7.9.69.49.689.44 Portfolio.98.59.6 **.45.9 *.4.966.4.5.59 Other.77.57. *.8.57 *.459.8.46.48.45.78..65.64.764..647.66.57.7.78.9.9.7.6.6.4.78.655..66.65.8.4.8.774.68.8.795.6.67.77.45.7 *.45.94.69.94.86.869 M.697 4.95 ** 4.49 ** 5 5.49 **.6.89.96.44.68 Yield.546.7.9.685.59.57.47.5.56.78 Nikkei.44.9.679.7.6.4.88 *..86. Prod.8.599 **.788 **.94.64.9.995..64.4 8- FDI Portfolio Other M Yield Nikkei Prod FDI.797.548.78.57 7.6 ***.489.56.66.74.9 Portfolio.7.56 5.5 ***.8 *..5 4.68 **.54.668.44 Other.855.98 4.7 **.59 *.4 *.86.6 **.58.46.548.467.4.49.78.46.66.57. 5.64 ***.7.6.8.45.7.69.68.46.57.64 **.665.4 *.897 *.5 * 4.884 **.48.688.8.9.7 7.559 ***.498.87 **.48.6.45.9 ***.68.5.88 7.45 *** M.468.488 *.79..69.58 *.969.49.7.5 Yield.56.499.85.788.7.97 ***.96.746.74.667 Nikkei.4.44 *.5 *.77 *. 6.74 ***.5.58.99.74 * Prod.74.846 **.9 * 5.5 **.54.66 *.87.796.8.7 - FDI Portfolio Other M Yield Nikkei Prod FDI.5.64.985.667.876 *.6.59.87.5.688 Portfolio.77.54 4.5 **.4 * 4.5 **.869 4.49 **.46 **.99 *.7 Other.859..89 *.788 *.89 **.955 4.8 *. **.575 *.5.7 5.65 ** 4.8 **.468.468.4.577 *.6.9.496.687 8.98 *** 6.57 ***.459..47.99 *.97.84.4.69 7.66 *** 7.48 ***.4.545.78.485..75.59.96 *.6 * 4. **.94.4.56.687 *.8.68.75 M.7.46 ***.5 ***.447.75 *.9.98.59.65.64 Yield.847.584.75.58.648.497.75.75.989.84 Nikkei.9.4.89.6..8 5. **.5.4.748 Prod.6.9.88.88.5 5.867 ***.99.8.9.46 Note: The period is from April to March 6; April 6 to August 8; September 8 to Feburary, and March to June. Calculation based on the average of st to 4th lags of the variables. Figures are F-value. ***, **, * denotes significance at %, 5%, and %. Source: Author's calculation based on IFS database (IMF), Bank of Japan M - - - M
- October - - M - FDI Portfolio Other FDI - FDI - FDI, Portfolio, Other VAR Table BOJ AC
-6 6-8 8- - BOJ Account Period FDI CALL S.E. FDI CALL FDI CALL FDI CALL.8 99.7.55.7 78.9 7.45 9.55 9.44 9.76.57 96..69.6.6 4.8 66.4 8.9.9 6.77 8.57.6 7.7 4 8.5.49.55.599 96.5.64.79.6 4.57 65.6 8.95.899 7.95 7.6.8 6.6 4.45 8..476.77 4.6 96..65.74.6 4.45 65.8 8.9.4 7.76 7.85.9 7.465 4.5 8.6.485.89 5.6 96..65.747.6 4.44 65.5 8.9.49 8.56 7.97.89 7.586 4.5 8.6.486.8 6.6 96..65.748.6 4.4 65. 8.9.58 8.65 7.6.9 7.84 4.5 8.6.487.8 7.64 96..65.749.6 4.4 65. 8.9.57 8.9 7.8.89 7.95 4.5 8.6.487.8 8.64 96..65.749.6 4.4 65. 8.9.54 8.98 7.4.896 7.976 4.5 8.6.487.8 9.64 96..65.749.6 4.4 65. 8.9.54 9.5 7.5.895 84 4.5 8.6.487.8.64 96..65.749.6 4.4 65. 8.9.54 9.8 7.895 8.7 4.5 8.6.487.8 Period PORT CALL S.E. PORT CALL PORT CALL PORT CALL.7 99.96.5. 99.99.877 96.. 89.99. 87..694.95.6 9.8 74.8 5.875..6 65.78.688 9.7 7.5 7.7..559.74 84.87.46.8.6.9 7.57 5.998.4.4 6..79 4.7 8.56 68.87..467 4. 84.44.47.49.6 4. 69.9 5.9.4. 6.44.57 5 8.7 68.9.77.556 5.7 84.4.59.4.6 4.9 69.8 5.945.44.4 6.9.9 5.9 8.4 68..4.7 6.8 84..64.47.6 4. 69.8 5.945.44.4 6.7.9 5. 8.5 68..45.7 7.8 84..64.48.6 4. 69.8 5.945.44.4 6.6.97 5. 8.4 68.45.75 8.8 84..64.49.6 4. 69.8 5.945.44.4 6.6.97 5. 8.4 68.46.78 9.8 84..64.49.6 4. 69.8 5.945.44.4 6.6.97 5. 8.4 68.46.77.8 84..64.49.6 4. 69.8 5.945.44.4 6.6.97 5. 8.4 68.46.78 Period OTHER CALL S.E. OTHER CALL OTHER CALL OTHER CALL.45 98.96.56.47 98.75 5.555 94.44 4.6 95.94 9 98.46.59.4.6.5 76.4.5 6.4 7. 5.46 6.484 7.55 8.76.9.6.57 98.4.5.7.64 5. 74.7.9.49 5. 69. 5.56.5 9.7 77.9..69 4.67 98.9.59.7.64 5.45 74.8.6.49 5. 68.5 5.9.85 9.7 76.74.98.4 5.7 98.8.5.7.64 5.45 74.6.7.4 8.5 6.94 5.859.69 9.68 76.5.6.6 6.7 98.8.5.7.64 5.45 74.5.8.4 8 6. 6.76.5 9.7 76.5.66.6 7.7 98.8.5.7.64 5.45 74.5.8.44 8. 6.7 6..6 9.7 76.49.66.64 8.7 98.8.5.7.64 5.45 74.5.8.44 9.5 6.47 6.88.7 9.7 76.48.67.649 9.7 98.8.5.7.64 5.45 74.5.8.44 9.5 6.4 6.9.9 9.7 76.48.67.65.7 98.8.5.7.64 5.45 74.5.8.44 9.5 6. 6.4.9 9.7 76.48.67.65 Monetary Base Period FDI CALL S.E. FDI CALL FDI CALL FDI CALL.7 7.9 5.9. 9.6 5.64 7.76.6 69.68..69 8. 4.98.56 7.48 5..44..5 47.67.5..654 67. 8.6.788 4.8 78.55 5.994.6.75 7.4 4.99.5..7 47.6 9.5.44 6.84 64.9 6.96.666 5.5 78.8 5.958.9 4.75 7.4 4.98.7..9 46.79 9.4.96 6.45 6.74 7..996 5.9 78. 5.958.94 5.76 7.4 4.98...89 46.64 9.7.97 6.588 6.49 6.9. 5.9 78. 5.959.94 6.77 7.4 4.98...88 46.6 9.6.55 6.6 6.4 6.86. 5.9 78. 5.959.94 7.77 7.4 4.98...88 46.59 9.6.7 6.76 6. 6.8. 5.9 78. 5.959.94 8.77 7.4 4.98...88 46.59 9.6.76 6.744 6.9 6.8.55 5.9 78. 5.959.94 9.77 7.4 4.98...88 46.59 9.6.77 6.77 6.6 6.8.64 5.9 78. 5.959.94.77 7.4 4.98...88 46.59 9.6.78 6.779 6.5 6.8.7 5.9 78. 5.959.94 Period PORT CALL S.E. PORT CALL PORT CALL PORT CALL 4 7.45 9.55..6 7.99 6.89.47 6.8 8.5 4.66 88.55 7.87 8.667 64.84 6..467..6 6.8 6.8.6 4.8 5.4.8.485.66 7.9 6.965.8 9.76 6.68 5.8.74..69 6.97 6.9.4 4.5 5.69 9.6 5.67.8 69.6 6.45.59 4 9.969 6.46 5.78.788..96 6.84 6.6.45 4.4 5.65 9.8 5..5 69 6.44.8 5. 6.4 5.77.8..98 6.8 6.7.46 4.48 5.6 9.76 5.4.5 68.87 6.446.8 6. 6.4 5.77.86..99 6.8 6.7.47 4.49 5.6 9.75 5.46.5 68.86 6.444.8 7. 6.4 5.77.87..99 6.8 6.7.47 4.49 5.6 9.75 5.46.5 68.85 6.44.94 8. 6.4 5.77.87..99 6.8 6.7.47 4.49 5.6 9.75 5.47.5 68.85 6.444.96 9. 6.4 5.77.87..99 6.8 6.7.47 4.49 5.6 9.75 5.47.5 68.85 6.444.96. 6.4 5.77.87..99 6.8 6.7.47 4.49 5.6 9.75 5.47.5 68.85 6.444.96 Period OTHER CALL S.E. OTHER CALL OTHER CALL OTHER CALL.766 5.9 4.84.. 74. 4.56.489 69.87 9.64.66 9.5 6..66 5.97 4.5.5. 7.4 64.4 8.66.58 56. 5.7 7.69 6.8 77.45 6.5.7.7 54.4 4..7. 7.56 6.64 8.64..5 57.48 5.4 6.777 8. 74.7 5.755.89 4.74 54.4 4..7. 7.58 6.6 8.59.. 57.66 5.6 6.856 8. 7.74 5.75.9 5.79 54. 4..7. 7.58 6.6 8.59.8.48 54.5 5.8 7.9 8.8 7.58 5.796.4 6.7 54. 4..7. 7.58 6.6 8.59..74 54.6 5.59 7.66 8. 7.56 5.795.4 7.7 54. 4..7. 7.58 6.6 8.59..8 5.9 5.65 7.6 8. 7.54 5.79.56 8.7 54. 4..7. 7.58 6.6 8.59..7 5.5 5. 7.687 8. 7.5 5.79.6 9.7 54. 4..7. 7.58 6.6 8.59. 4.48 5.77 5. 7.64 8. 7.5 5.794.6.7 54. 4..7. 7.58 6.6 8.59. 4.6 5.75 5. 7.65 8. 7.5 5.794.6 Note Standard errors are not shown in the table. Source: Author's calculation based on the data of Bank of Japan
- October - FDI FDI -. -. -. - Other.. -.. -.. FDI -. - -. FDI M&A -
[CF] FDI [Portfolio] [Other] VAR - - - - FDI FDI FDI, M, Yield Nikkei Prod FDIBOJ AC Fig. - ~ - FDI - Fig. - FDI - - Fig. -
- October Japan: Impulse Response to FDI (-6) [] FDI,,,,,,,, FDI,,,, -, -, -, -,.6.6.6.6.4..4..4..4. -. -. -. -..... 5 5 5 5-5 -5-5 -5 4 - - 4 - - 4 - - 4 - - Japan: Impulse Response to FDI (6-8) [] FDI 6, 6, 6, 6, 4, 4, 4, 4,,,,, FDI -, -, -, -, -4, -4, -4, -4,.8.8.8.8.4 -.4.4 -.4.4 -.4.4 -.4 -.8 -.8 -.8 -.8.5.5.5.5.... 5 5 5 5-5 -5-5 -5 -. -. -. -..6.6.6.6.4. -..4. -..4. -..4. -. -.4 -.4 -.4 -.4
FDI Japan: Impulse Response to FDI (8-) [] FDI 8, 8, 8, 8, 6, 6, 6, 6, 4, 4, 4, 4,,,,, -, -, -, -, -4, -4, -4, -4,.4.4.4.4.... -. -. -. -. -.4 -.4 -.4 -.4.... 5 5 5 5-5 -5-5 -5.4... -. -..4... -. -..4... -. -..4... -. -. Japan: Impulse Response to FDI (-) [] FDI 6, 6, 6, 6, 4, 4, 4, 4, FDI,,,, -, -, -, -,.8.6.4. -. -.4.8.6.4. -. -.4.8.6.4. -. -.4.8.6.4. -. -.4. Response of DLOG to DLOG........... -. -. -. -. -. -. -. -. 8 8 8 8 4-4 4-4 4-4 4-4 -8-8 -8-8
- October Japan: Impulse Response to Portfolio (-6) [] PORTFOLIO 6, 6, 6, 6, PORTFOLIO 4,, -, 4, 4, 4,,,, -, -, -, -4, -4, -4, -4,.5.4... -..5.4... -..5.4... -..5.4... -..... 8 8 8 8 4 4 4 4-4 -4-4 -4 4 - - 4 - - 4 - - 4 - - Japan: Impulse Response to Portfolio (6-8) [] PORTFOLIO 5, 5, 5, 5, PORTFOLIO, 5, -5,, 5, -5,, 5, -5,, 5, -5, -, -, -, -,.8.8.8.8.4.4.4.4 -.4 -.4 -.4 -.4 -.8 -.8 -.8 -.8.... 8 8 8 8 4 4 4 4-4 -4-4 -4-8 -8-8 -8.6.6.6.6.4. -..4. -..4. -..4. -. -.4 -.4 -.4 -.4
Japan: Impulse Response to Portfolio (8-) [] PORTFOLIO 8, 8, 8, 8, PORTFOLIO 4, -4, -8, 4, 4, 4, -4, -4, -4, -8, -8, -8,.4.4.4.4. -.. -.. -.. -. -.4 -.4 -.4 -.4 8 8 8 8 4 4 4 4-4 -4-4 -4-8 -8-8 -8.6.6.6.6.4. -..4. -..4. -..4. -. -.4 -.4 -.4 -.4 Japan: Impulse Response to Portfolio (-) [] PORTFOLIO 8, 8, 8, 8, PORTFOLIO 4, 4, 4, 4, -4, -4, -4, -4, -8, -8, -8, -8,.6.4. -. -.4 -.6.6.4. -. -.4 -.6.6.4. -. -.4 -.6.6.4. -. -.4 -.6........ -. -. -. -. -. -. -. -. 8 8 8 8 4-4 4-4 4-4 4-4 -8-8 -8-8
- October 6, Japan: Impulse Response to Other Investment (-6) [] OTHER 6, 6, 6, 4, 4, 4, 4, OTHER, -,, -,, -,, -, -4, -4, -4, -4,.6.6.6.6.4..4..4..4. -. -. -. -..... 5 5 5 5-5 -5-5 -5 4 - - 4 - - 4 - - 4 - - 8, Japan: Impulse Response to Other Investment (6-8) [] OTHER 8, 8, 8, 4, 4, 4, 4, OTHER -4, -4, -4, -4, -8, -8, -8, -8,.8.6.4. -. -.4.8.6.4. -. -.4.8.6.4. -. -.4.8.6.4. -. -.4.5.5.5.5.... 5 5 5 5-5 -5-5 -5.6.6.6.6.4. -..4. -..4. -..4. -. -.4 -.4 -.4 -.4
8, Japan: Impulse Response to Other Investment (8-) [] OTHER 8, 8, 8, OTHER 4, -4, 4, -4, 4, -4, 4, -4, -8, -8, -8, -8,.4.4.4.4.... -. -. -. -. -.4 -.4 -.4 -.4 8 8 8 8 4 4 4 4-4 -4-4 -4-8 -8-8 -8.6.6.6.6.4..4..4..4. -. -. -. -. -.4 -.4 -.4 -.4 8, Japan: Impulse Response to Other Investment (-) [] OTHER 8, 8, 8, 4, 4, 4, 4, OTHER -4, -4, -4, -4, -8, -8, -8, -8,.8.6.4. -. -.4.8.6.4. -. -.4.8.6.4. -. -.4.8.6.4. -. -.4........ -. -. -. -. 8 8 8 8 4-4 4-4 4-4 4-4 -8-8 -8-8
- October - Fig. - - - - FDI,, M yield Nikkei Prod Fig. -, -, - FDI - - - FDI M Yield Nikkei - - M M
Japan: Impulse Response to FDI (-6) [] FDI M,,,,,,,,,,,, FDI,,,,,, -, -, -, -, -, -, -, -, -, -, -, -,...... 8 4 8 4 8 4 8 4 8 4 8 4-4 -4-4 -4-4 -4 M - - - - - - - - - - - -.6..8.4 -.4 -.8.6..8.4 -.4 -.8.6..8.4 -.4 -.8.6..8.4 -.4 -.8.6..8.4 -.4 -.8.6..8.4 -.4 -.8........ -... -... -... -... -... -. -. -. -. -. -. -........8.8.8.8.8.8.4..4..4..4..4..4. -.4 -.4 -.4 -.4 -.4 -.4 -.8 -.8 -.8 -.8 -.8 -.8 Japan: Impulse Response to FDI (6-8) [] FDI M 6, 6, 6, 6, 6, 6, 4, 4, 4, 4, 4, 4, FDI,,,,,, -, -, -, -, -, -, -4, -4, -4, -4, -4, -4,...... 8 8 8 8 8 8 4 4 4 4 4 4-4 -4-4 -4-4 -4-8 -8-8 -8-8 -8 M - - - - - - - - - - - -........ -... -... -... -... -... -. -. -. -. -. -. -........ -.. -.. -.. -.. -.. -. -. -. -. -. -. -. - - - - - - - - - - - -
- October Japan: Impulse Response to FDI (8-) [] FDI M 8, 8, 8, 8, 8, 8, 4, 4, 4, 4, 4, 4, FDI -4, -4, -4, -4, -4, -4,....... -.. -.. -.. -.. -.. -. -. -. -. -. -. -. M - - - - - - - - - - - -.......8.8.8.8.8.8.4.4.4.4.4.4 -.4 -.4 -.4 -.4 -.4 -.4 -.8 -.8 -.8 -.8 -.8 -.8.4.4.4.4.4.4. -.. -.. -.. -.. -.. -. -.4 -.4 -.4 -.4 -.4 -.4 - - - - - - - - - - - - Japan: Impulse Response to FDI (-) [] FDI M 4, 4, 4, 4, 4, 4,,,,,,, FDI -, -, -, -, -, -, -4, -4, -4, -4, -4, -4,. 8 4-4 -8 -.. 8 4-4 -8 -.. 8 4-4 -8 -.. 8 4-4 -8 -.. 8 4-4 -8 -.. 8 4-4 -8 -. M - - - - - - - - - - - -.8.8.8.8.8.8.4 -.4.4 -.4.4 -.4.4 -.4.4 -.4.4 -.4 -.8 -.8 -.8 -.8 -.8 -.8.4.4.4.4.4.4. -.. -.. -.. -.. -.. -. -.4 -.4 -.4 -.4 -.4 -.4 - - - - - - - - - - - -
Japan: Impulse Response to Portfolio (-6) [] PORTFOLIO M 8, 8, 8, 8, 8, 8, PORTFOLIO 4, -4, 4, -4, 4, -4, 4, -4, 4, -4, 4, -4,...... 8 4 8 4 8 4 8 4 8 4 8 4-4 -4-4 -4-4 -4 M - - - - - - - - - - - -.6..6..6..6..6..6..8.4.8.4.8.4.8.4.8.4.8.4 -.4 -.4 -.4 -.4 -.4 -.4 -.8 -.8 -.8 -.8 -.8 -.8........ -... -... -... -... -... -. -. -. -. -. -. -........8.8.8.8.8.8.4..4..4..4..4..4. -.4 -.4 -.4 -.4 -.4 -.4 -.8 -.8 -.8 -.8 -.8 -.8 Japan: Impulse Response to Portfolio (6-8) [] PORTCFOLIO M,,,,,, PORTFOLIO 5, -5, -, 5, -5, -, 5, -5, -, 5, -5, -, 5, -5, -, 5, -5, -,...... 8 8 8 8 8 8 4 4 4 4 4 4-4 -4-4 -4-4 -4-8 -8-8 -8-8 -8 M - - - - - -........ -... -... -... -... -... -. -. -. -. -. -. -....... D. -.. -.. -.. -.. -.. -. -. -. -. -. -. -. - - - - - - - - - - - -
- October Japan: Impulse Response to Portfolio (8-) [] PORTFOLIO M,,,,,, PORTFOLIO 5, -5, -, 5, -5, -, 5, -5, -, 5, -5, -, 5, -5, -, 5, -5, -,............ -. -. -. -. -. -. M - - - - - - - - - - - -.......8.8.8.8.8.8.4.4.4.4.4.4 -.4 -.4 -.4 -.4 -.4 -.4 -.8 -.8 -.8 -.8 -.8 -.8.4.4.4.4.4.4. -.. -.. -.. -.. -.. -. -.4 -.4 -.4 -.4 -.4 -.4 - - - - - - - - - - - - - - - - - - Japan: Impulse Response to Portfolio (-) [] PORTFOLIO M PORTFOLIO 8, 4, -4, 8, 4, -4, 8, 4, -4, 8, 4, -4, 8, 4, -4, 8, 4, -4, -8, -8, -8, -8, -8, -8,...... -. -. -. -. -. -. M - - - - - - - - - - - -.8.8.8.8.8.8.4 -.4.4 -.4.4 -.4.4 -.4.4 -.4.4 -.4 -.8 -.8 -.8 -.8 -.8 -.8...... D. -. -.. -. -.. -. -.. -. -.. -. -.. -. -. -. -. -. -. -. -. - - - - - - - - - - - -
OTHER Japan: Impulse Response to Other investment (-6) [] M 8, 8, 8, 8, 8, 8, OTHER 4, -4, 4, -4, 4, -4, 4, -4, 4, -4, 4, -4, -8, -8, -8, -8, -8, -8,...... 8 8 8 8 8 8 4 4 4 4 4 4-4 -4-4 -4-4 -4 M - - - - - - - - - - - -.6.6.6.6.6.6.......8.4.8.4.8.4.8.4.8.4.8.4 -.4 -.4 -.4 -.4 -.4 -.4 -.8 -.8 -.8 -.8 -.8 -.8.................. -. -. -. -. -. -. -. -. -. -. -. -........5..5..5..5..5..5. -.5 -.5 -.5 -.5 -.5 -.5 Japan: Impulse Response to Other Investment (6-8) [] OTHER M 8, 8, 8, 8, 8, 8, 4, 4, 4, 4, 4, 4, OTHER -4, -4, -4, -4, -4, -4, -8, -8, -8, -8, -8, -8,...... 8 8 8 8 8 8 4 4 4 4 4 4-4 -4-4 -4-4 -4-8 -8-8 -8-8 -8 M - - - - - -........ -... -... -... -... -... -. -. -. -. -. -. -........ -.. -.. -.. -.. -.. -. -. -. -. -. -. -. - - - - - - - - - - - -
- October Japan: Impulse Response to Other Investment (8-) [] OTHER M,,,,,, OTHER 5, -5, 5, -5, 5, -5, 5, -5, 5, -5, 5, -5, -, -, -, -, -, -,............ -. -. -. -. -. -. M - - - - - - - - - - - -............ -. -. -. -. -. -..4.4.4.4.4.4. -.. -.. -.. -.. -.. -. -.4 -.4 -.4 -.4 -.4 -.4 - - - - - - - - - - - - - - - - - - Japan: Impulse Response to Other Investment (-) [] OTHER M 8, 8, 8, 8, 8, 8, OTHER 4, -4, 4, -4, 4, -4, 4, -4, 4, -4, 4, -4, -8, -8, -8, -8, -8, -8,. 8. 8. 8. 8. 8. 8 4-4 4-4 4-4 4-4 4-4 4-4 -8-8 -8-8 -8-8 -. -. -. -. -. -. M - - - - - - - - - - - -.8.8.8.8.8.8.4.4.4.4.4.4 -.4 -.4 -.4 -.4 -.4 -.4.4.4.4.4.4.4. -.. -.. -.. -.. -.. -. -.4 -.4 -.4 -.4 -.4 -.4 - - - - - - - - - - - -
- Fig. - - Fig. - - - M Fig. - M VAR
- October QE QE - GDP QE QE -
.... Fig. - Fig. - million Yen 8 6 4 Excess reserve(a-b, LHA) Required Amount(B, RHA) million Yen 6 Current Account (A, LHA) 5 4 Jan-5 Jan-6 Jan-7 Jan-8 Jan-9 Jan- Jan- Jan- Jan- Source: Bank of Japan
- October million Yen million Yen 4 Excess reserve(a-b)[lha] Current Account (A, LHA) 48 Required Amount(B, RHA) 4 8 Jan-5 Jan-6 Jan-7 Jan-8 Jan-9 Jan- Jan- Jan- Jan- Source: :Bank of Japan 8 QE S T-bill QE
VAR M - - QE QE QE
- October VAR T-bill QE T-Bill FRB FRB QE FRB G
b Okina and Shiratsuka, IMF GDP Economist, T-bill QE QE - b
- October - VAR, - QE QE Bloomberg QE QE
Baba, N., M.Nakashima, Y.Shigemi, and K.Ueda. The Bank of Japan s Monetary Policy and Bank Premium in the Monetary Market, International Journal of Central Banking, Vol., No., pp. - Economist, America s stockmarket: Better than the alternatives the Dow reaches a record high, March, IMF. World Economic Outlook Ch. : International Capital Flows: Reliable or Fickle?, Kimura, T., H. Kobayashi, J.Muranaga, and H. Ugai, The Effect of the Increase in the Monetary Base on Japan s Economy at Zero Interest Rates: An Empircal Analysis, in Monetary Policy I a Changing Environment, Bank for International Settlements Conference Series, No., pp. -. Kimura, T. and D. Small, Quantitative Monetary Easing and Risk in Financial Asset Markets, The B.E. Journals in Macroeconomics, Vol., Issue. Okina, Kunio. and S. Shiratsuka. Policy Commitment and Expectation Formation: Japan s Experience under Zero Interest Rates, North American Journal of Economics and Finance, Vol., No. pp. -. Reuters Reuters Weekly, http://diamond.jp/articles/-/ CARF CARF-J- h No. -J-
- October.. IMS Discussion Paper No. -J-, Stock Nikkei http://indexes.nikkei.co.jp/nkave/archives/data a b c http://diamond.jp/articles/-/ NTT pp. -. ESRI Discussion Paper Series No. pp. - Discussion Paper -, Graduate School of Economics and Osaka School of International Public Policy OSIPP, May. / / SYNODOS Academic Journalism http://synodos.jp/economy/ /..
Effects of International Capital Flows on Monetary Policy in Japan This paper examines the effectiveness of monetary policy on domestic monetary and financial markets as well as the real economy in Japan under increasing capital flows. The effects of capital flows on the domestic monetary markets and the real economy in Japan from to are analyzed by the VAR (Vetor autoregressive) model. The result shows that the monetary base (including the Bank of Japan Current Account), as well as the call rate have become increasingly influenced by capital flows recently, and that the monetary policy has become increasingly ineffective. The monetary policy has thus become less effective in controlling the domestic market, as part of the policy tools used in reviving and expanding the real economy. On the other hand, the effects of capital flows, especially portfolio and other investments, have put significant impact on the monetary stocks (M), foreign exchange rate (real effective exchange rate), as well as real economy (industrial production). It is also shown that the excess reserves of the BOJ Current Account may be utilized for financial investment by foreign banks, not for investment in the real economy. Therefore the monetary authority is expected to coordinate with the major overseas monetary authorities, especially FRB, in considering the effects of monetary policies on the global economy and markets. OHTA, Hideaki, Professor, College of International Relations, Ritsumeikan University