Central bank information effects in Japan
The role of uncertainty channel
Bibliographic Data
| ID | 21541996 |
|---|---|
| Authors | Hiroshi Morita (0000-0003-3967-7388, Tokyo Institute of Technology, corresponding author), Ryo Matsumoto (0000-0002-1890-6658, Hitotsubashi University), Taiki Ono (Bank of Japan) |
| Year | 2025 |
| Volume | 68 |
| Issue | 2 |
| Pages | 855-877 |
| Publication date | 2025-02-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-024-02656-2 |
| OpenAlex | W4401891272 |
| Language | EN |
| Citations received | 1 |
| References cited | 25 |
This study identifies central bank information shocks and pure monetary policy shocks for Japan by combining high-frequency identification with sign restrictions. The empirical findings provide robust evidence of the central bank information effect in Japan. Specifically, the central bank’s optimistic outlook, conveyed through contractionary monetary actions, reduces economic uncertainty and leads to increases in stock prices and output. Additionally, changes in uncertainty play a significant role in the transmission of the central bank’s information effect. The overall impact of monetary policy and information shocks, as identified through our method, is found to be larger than that identified using conventional techniques such as Cholesky decomposition
Central bank · Econometrics · Economics · Monetary economics · Monetary policy · Telecommunications · Computer Science · Global Financial Crisis and Policies · Market Dynamics and Volatility · Monetary Policy and Economic Impact
| Citations per year | 1 |
|---|---|
| Citation span | 2026 - 2026 (1) |
| Highly cited | No |