Research and Studies

Home > Research and Studies > Bank of Japan Working Paper Series, Review Series, and Research Laboratory Series > Bank of Japan Working Paper Series 2021 > (Research Paper) Supplementary Paper Series for the "Assessment" (2): Estimating Effects of Expansionary Monetary Policy since the Introduction of Quantitative and Qualitative Monetary Easing (QQE) Using the Macroeconomic Model (Q-JEM)

Supplementary Paper Series for the "Assessment" (2) Estimating Effects of Expansionary Monetary Policy since the Introduction of Quantitative and Qualitative Monetary Easing (QQE) Using the Macroeconomic Model (Q-JEM)

April 30, 2021
Takuji Kawamoto*1
Takashi Nakazawa*2
Yui Kishaba*3
Kohei Matsumura*4
Jouchi Nakajima*5

Abstract

This paper estimates the macroeconomic effects of the Bank of Japan's expansionary monetary policies since the introduction of Quantitative and Qualitative Monetary Easing (QQE) using the Bank of Japan's large-scale macroeconomic model, Q-JEM (Quarterly Japanese Economic Model). We consider counterfactual paths of major financial variables, such as real interest rates, constructing hypothetical scenarios where the QQE and subsequent easing measures had not been introduced. We then conduct counterfactual simulations to examine how Japan's macroeconomic variables such as real GDP and CPI would have evolved under those hypothetical scenarios. In this setting, we estimate the policy effects on the macroeconomic variables as the difference between actual values and the counterfactual. Estimation results show that, on average during the period from the introduction of QQE to the July-September quarter of 2020, the policy effect on the level of real GDP is between around +0.9 and +1.3 percent and that on the year-on-year rate of change in the CPI (all items less fresh food and energy) is between around +0.6 and +0.7 percentage points.

JEL classification
C53, E37, E47, E52, E58

Keywords
Monetary policy, Policy effect, Large-scale macroeconomic model,Simulation

This paper is a supplement to "Assessment for Further Effective and Sustainable Monetary Easing" released by the Bank of Japan in March 2021.
The authors thank the staff at the Bank of Japan for their valuable comments. The authors are also grateful to Tomoaki Mikami, Hiroaki Yamagata, and Megumi Kuchiki for data assistance.

  1. *1Research and Statistics Department, Bank of Japan
    E-mail : takuji.kawamoto@boj.or.jp
  2. *2Research and Statistics Department, Bank of Japan
    E-mail : takashi.nakazawa@boj.or.jp
  3. *3Research and Statistics Department, Bank of Japan
    E-mail : yui.kishaba@boj.or.jp
  4. *4Research and Statistics Department, Bank of Japan
    E-mail : kouhei.matsumura@boj.or.jp
  5. *5Research and Statistics Department, Bank of Japan
    E-mail : jouchi.nakajima@boj.or.jp

Notice

Papers in the Bank of Japan Working Paper Series are circulated in order to stimulate discussion and comments.
If you have any comment or question on the working paper series, please contact each author.
When making a copy or reproduction of the content for commercial purposes, please contact the Public Relations Department (post.prd8@boj.or.jp) at the Bank in advance to request permission. When making a copy or reproduction, the source, Bank of Japan Working Paper Series, should explicitly be credited.