2001～2006年日本量化宽松货币政策下汇率传递效应分析

日本经济长期陷入通货紧缩和日元升值而停滞不前,2001～2006年日本开创性地实施量化宽松货币政策以实现经济复苏。研究日本量化宽松货币政策下汇率传递效应问题,对于当前实践量化宽松货币政策的国家如何完善政策协调及提高政策效果有着重要的现实意义。本文基于日本月度数据展开实证,首先运用协整技术和VEC模型分非量化宽松货币政策和量化宽松货币政策两阶段来研究日元汇率传递效应的程度和变化趋势,再运用EG两步法和OLS来估算量化货币政策与国内物价之间的相关性。结果表明,量化宽松货币政策下日元汇率传递效应大大降低,这与货币当局致力于稳定通货膨胀水平密切相关。

On the Transmission Effects of Japan('s) Quantitative Easing Policy during 2001-2006

Deflation and Yen appreciation have trapped Japanese economy in a long recession.Japan had implemented quantitative easing policy(QEP) from 2001 to 2006 in order to achieve economic recovery.Researching on the transmission effects of exchange rates under the Japanese quantitative easing policy has important implications for the improvement of policy coordination and policy effects.Using monthly data,this paper first conducts cointegration and VEC analysis on the transmission effects of Japanese Yen rates by comparing the QEP stage and the non - QEP stage;then it estimates the correlation coefficient between monetary policies and domestic prices based on the EG two - stage approach and OLS procedure.The results show that the transmission effects of Yen rates are weakened under QEP.I argue that the fact is resulted from monetary authority’s endeavor to stabilize inflation level.