AN INVESTIGATION ON QUANTITATIVE EASING MONETARY POLICY: EXPERIANCE OF JAPAN

Yıl 2015, Cilt: 33 Sayı: 3, 99 - 130, 02.01.2016

Güller Şahin , İrfan Kalaycı

https://doi.org/10.17065/huniibf.103774

Öz

The aim
of this study is to analyze the effects of the monetary policy implemented by
the Central Bank of Japan on the country’s economy and the relationship between
long-term depression trend the economy entered into. In this
respect, the possible effects on the aggregate demand of quantitative easing
monetary policies which are applied by Central Bank of Japan in 2001Q1–2013Q3 sample period are investigated. Econometric time series model is
carried out with Johansen cointegration estimation method using real national
income, monetary base, interest rate, stock index and yen/dollar parity
internal variables. Analysis findings –under the statistical significance of all
coefficients of variables– show that a 1% increase occuring in the monetary base and the stock
index causes to while a %1 decrease in interest rates has a positive effect on
real national income, a 1% increase in yen/dollar parity has a negative effect
on real national income. The study supports the inference belongs to basic descriptive features of
Japan’s economy in the long-term perspective, however, a negative relationship
between real national income and exchange rate does not
support our forecast findings.

Anahtar Kelimeler

Bank of Japan, quantitative easing monetary policy, cointegration

NİCELİKSEL GEVŞEME PARA POLİTİKASI ÜZERİNE BİR İNCELEME: JAPONYA DENEYİMİ

Öz

Bu çalışmanın amacı, Japonya Merkez
Bankası’nın uyguladığı para politalarının
ülke ekonomisi üzerindeki etkilerini ve bu
politikaların, ekonominin içerisine girmiş
olduğu uzun süreli depresyonist eğilim ile
ilişkisini çözümlemektir. Buna göre, Japonya Merkez
Bankası tarafından 2001Q1–2013Q3 örneklem dönemi
içerisinde uygulanan niceliksel gevşeme para
politikalarının derneşik talep üzerindeki olası etkileri
araştırılmıştır. Ekonometrik zaman serisi modeli reel
milli gelir, parasal taban, faiz oranı, borsa endeksi ve
yen/dolar paritesi içsel değişkenleri kullanılarak
Johansen eşbütünleşme tahmin yöntemiyle ortaya
konulmuştur. Çözümleme bulguları –değişkenlere ait
bütün katsayıların istatistiksel anlamlılığı altında–
parasal tabanda ve borsa endeksinde meydana gelen
%1’lik bir artışın, faiz oranlarındaki %1’lik bir
azalışın reel milli gelir üzerinde pozitif yönlü bir
etkiye; yen/dolar paritesindeki %1’lik bir artışın ise
reel milli gelir üzerinde pozitif değil negatif bir etkiye
neden olduğunu göstermiştir. Yapılan çalışma Japonya
ekonomisinin tanımlayıcı temel özelliklerine ait
çıkarsamaları uzun dönemli bir bakış açısıyla
desteklemekle birlikte, reel milli gelir ve döviz kuru
arasındaki negatif ilişki tahmin bulgularımızı
desteklememiştir.

Anahtar Kelimeler

Japonya Merkez Bankası, Niceliksel Gevşeme Para Politikası, Eşbütünleşme

Kaynakça

• Ataman E.P. (2002), “Japonya Mali Krizi”, TBB Bankacılık ve Araştırma Grubu Bankacılar Dergisi, 40, 50–67.
• Bank of Japan (BoJ) (Japonya Merkez Bankası) https://www.boj.or.jp/en/
• Barclays (2013), Balancing Global Growth Worries and Monetary Policy Forces, Global Macro Daily.
• Çokaklı, S. (2002), Bankacılık Sektöründe Yeniden Yapılandırma: Japonya Örneği, Ankara: Bankacılık Düzenleme ve Denetleme Kurumu MSPD Çalışma Raporları No: 2002/2.
• Dickey, A.D., A.W. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with Unit Roots”, Econometrica, 49(4), 1057–1072.
• Dinler, Z. (2012), İktisada Giriş, Bursa: Ekin.
• Filardo, A., S. Grenville, (2011), Central Bank Balance Sheets and Foreign Exchange Rate Regimes: Understanding the Nexus in Asia, Draft.
• Girardin, E., Z. Moussa (2011), “Quantitave Easing Works: Lessons from the Unique Experince in Japan: 2001–2006”, Journal of International Financial Markets, Institutions and Money, 21(4), 461–495.
• Harada, Y., M. Masujima (2009), “Effectiveness and Transmission Mechanisms of Japan’s Quantitative Monetary Easing Policy”, Japanese Economy, 36(1), 48–105.
• Iwata, K., S. Takenaka (2011), Central Bank Balance Sheet Expansion: Japan’s Experience, BIS Research Conference, BIS Papers No: 66.
• Joyce, M.M., D.A. Scott, D. Vayanos (2012), “Quantitative Easing and Unconventional Monetary Policy – An introduction”, The Economic Journal, 122, 271–288.
• Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(2–3), 231–254.
• Johansen, S., K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration–with Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2), 169–210.
• Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”, Econometrica, 59(6), 1551–1580.
• Johansen, S., K. Juselius (1992), “Testing Structural Hypothesis in a Multivariate Cointegration Analysis of the PPP and UIP for the UK”, Journal of Econometrics, 53(1–13), 211–244.
• Johansen, S., K. Juselius (1994), “Identification of the Long-Run and the Short–Run Structure: An Application to the ISLM Model”, Journal of Econometrics, 63(1), 7–36.
• Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford: Oxford University Press.
• Juselius, K. (2001), “European Integration and Monetary Transmission Mechanisms: The Case of Italy”, Journal of Applied Econometrics, 16(3), 341–358.
• Kagraoka, Y., Z. Moussa (2013), “Quantitave Easing, Credibility and the Time–Varying Dynamics of the Term Structure of Interest Rate in Japan”, Journal of International Financial Markets, Institutions and Money, 25, 181–201.
• Kimura, T.K., H.J. Muranaga, H. Ugai (2003), The Effect of the Increase in Monetary Base on Japan’s Economy at Zero Interest Rates: An Empirical Analysis, in Monetary Policy in a Changing Environment, Bank for International Settlements, 119, 276–312.
• Kimura, T., D.H. Small (2006), “Quantitative Monetary Easing and Risk in Financial Asset Markets”, Journal of Macroeconomics, 6(1), 1–54.
• Kwiatkowski, D.P., C.B.P. Schmidt, Y. Shin (1992), “Testing the null Hypothesis of Stationary Against the Alternative of a Unit Root”, Journal of Econometrics, 54(1–3),159–178.
• Mackinnon, G.J., A.A. Haug, L. Michelis (1999), “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration”, Journal of Applied Econometrics, 14, 563–577.
• Moussa, Z. (2010), The Japanese Quantitative Easing Policy under Scrutiny: A Time–Varying Parameter Factor–Augmented VAR Model, Munich Personal RePEc Archive, MPRA Paper No: 29429.
• Nakaso, H. (2013), Japan’s Economy and Monetary Policy, BIS Central Bankers’ Speeches.
• Oda, N., K. Ueda (2007) “The Effects of the Bank of Japan’s Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve: A Macro–Finance Approach”, Japanese Economic Review, 58(3), 303–328.
• OECD (Ekonomik İşbirliği ve Kalkınma Örgütü) http://stats.oecd.org/
• Özel, S. (2013), “Japon Merkez Bankası Tarih Yazıyor”, Zaman Gazetesi, 10 Nisan.
• Pınar, Ö., H. Uzunoğlu (2013), Dünyada Kur Savaşları Alarmı, AR&GE Bülten.
• Romer, C. (2013), It Takes a Regime Shift: Recent Developments in Japanese Monetary Policy through the Lens of the Great Depression, NBER Annual Conference on Macroeconomics.
• Rosengren, E.S. (2013), Fulfilling the Full Employment Mandate–Monetary Policy&The Labor Market, Remarks at the Federal Reserve Bank of Boston’s, 57th Economic Conference, Boston: Massachusetts.
• Shirai, S. (2013), Japan’s Monetary Policy in a Challenging Environment, BIS Central Bankers’ Speeches.
• Shirakawa, M. (2013), “Central Banking: Before, During and After the Crisis”, International Journal of Central Banking, 9(S1), 373–387.
• Shiratsuka, S. (2010), “Size and Composition of the Central Bank Balance Sheet: Revisiting Japan’s Experience of the Quantitative Easing Policy”, Monetary and Economic Studies.
• Singleton, K. (1993), Japanese Monetary Policy, National Bureau of Economic Research.
• Smaghi, L.B. (2013), Who Killed the Inflation Target?, Centre for Economic Policy Research, ISBN: 978–1–907142–67–3 (print edition).
• Svensson, L.E.O. (2006), Monetary Policy and Japan’s Liquidity Trap, Princeton University, CEPS Working Paper No:126.
• Şahin, A. (2013), Yumuşak Geçişli Bağlaşım Modeli ile Enflasyon Belirsizliği Altında Para Talebi Fonksiyonunun Tahmini, Ankara: Gazi Üniversitesi Bağımsız Bilimsel Araştırma Projesi, No:53/2012–01. T.C. Merkez Bankası (2013), Merkez Bankası Enflasyon Raporu, 2013–II. http://www.tcmb.gov.tr
• Ugai, H. (2006), Effects of the Quantitative Easing Policy: A Survey of Empirical Analyses, Bank of Japan Working Paper Series, No: 06–E–10.
• Yamasawa, N. (2006), An Analysis: Quantitative Easing Policy Was Effective in Buoying the Japanese Economy, JCER Staff Report.