Papers - Fujiwara Ippei

Working Paper No. 318-Fiscal Forward Guidance: A Case for Selective Transparency-Dallas Fed

I Fujiwara, Y Waki

Federal Reserve Bank of Dallas  2017

A note on imperfect credibility

I Fujiwara, T Kam, T Sunakawa

CAMA Working Paper  2016

Declining trends in the real interest rate and inflation: The role of aging

S Fujita, I Fujiwara

FRB of Philadelphia Working Paper  2016

Aging and Deflation: A Politico-Economic Perspective

I Fujiwara, S Hori

 2016

Private News and Monetary Policy: Forward guidance or the expected virtue of ignorance

F Ippei, W Yuichiro

Research Institute of Economy, Trade and Industry (RIETI) Discussion papers  2016

Policy regime change against chronic deflation? Policy option under a long-term liquidity trap

Fujiwara Ippei, Nakazono Yoshiyuki, Ueda Kozo

Journal of the Japanese and International Economies (ACADEMIC PRESS INC ELSEVIER SCIENCE)  37   59 - 81 2015.09

ISSN  0889-1583

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<p>The policy package known as Abenomics appears to have influenced the Japanese economy drastically, in particular, in the financial markets. In this paper, focusing on the aggressive monetary easing of Abenomics, the first arrow, we evaluate its role in guiding public perceptions on monetary policy stance through the management of expectations. In order to end chronic deflation, such as that which Japan has been suffering over the last two decades, policy regime change must be perceived by economic agents. Analysis using the QUICK survey system (QSS) monthly survey data shows that monetary policy reaction to inflation rates has been in a declining trend since the mid 2000s, implying intensified forward guidance well before Abenomics. However, Japan seems to have moved closer to a long-term liquidity trap, where even long-term bond yields are constrained by the zero lower bound. Consequently, no sizable difference in perceptions has been found before and after the introduction of Abenomics. Estimated changes in perceptions are not abrupt enough to satisfy "Sargent's (1982) criteria for regime change" termed by Eggertsson (2008). This poses a serious challenge to central banks: what is an effective policy option left under the long-term liquidity trap?</p>

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Purchasing Power Parity and the Taylor Rule

Kim Hyeongwoo, Fujiwara Ippei, Hansen Bruce E., Ogaki Masao

Journal of Applied Econometrics (WILEY-BLACKWELL)  30 ( 6 ) 874 - 903 2015.09

ISSN  0883-7252

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<p>It is well known that there is a large degree of uncertainty around Rogoff's consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a system method that combines the Taylor rule and a standard exchange rate model to estimate half-lives. Further, we propose a median unbiased estimator for the system method based on the generalized method of moments with non-parametric grid bootstrap confidence intervals. Applying the method to real exchange rates of 18 developed countries against the US dollar, we find that most half-life estimates from the single equation method fall in the range of 3-5 years, with wide confidence intervals that extend to positive infinity. In contrast, the system method yields median-unbiased estimates that are typically shorter than 1 year, with much sharper 95% confidence intervals. Our Monte Carlo simulation results are consistent with an interpretation of these results that the true half-lives are short but long half-life estimates from single-equation methods are caused by the high degree of uncertainty of these methods.</p>

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SIRE DISCUSSION PAPER SIRE-DP-2015-66

Y Waki, R Dennis, I Fujiwara

 2015

Pegging the exchange rate to gain monetary policy credibility

JS Davis, I Fujiwara

 2015

Report on Ph. D. Dissertation Defence

T SONOBE, I FUJIWARA

 2015

Private news and monetary policy forward guidance or (the expected virtue of ignorance)

I Fujiwara, Y Waki

Globalization and Monetary Policy Institute Working Paper  2015

Financal frictions and policy cooperation: a case with monopolistic banking and staggered loan contracts

Y Teranishi, I Fujiwara

Federal Reserve Bank of Dallas  2015

Declining Trends in the Real Interest Rate and Inflation: Role of aging

F Shigeru, F Ippei

Research Institute of Economy, Trade and Industry (RIETI) Discussion papers  2015

Indeterminacy and Forecastability

Fujiwara, Ippei, Hirose, Yasuo

JOURNAL OF MONEY CREDIT AND BANKING 46 ( 1 ) 243 - 251 2014.02

Research paper (scientific journal),  ISSN  0022-2879

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Optimal monetary policy with endogenous entry and product variety

Florin O. Bilbiie; Ippei Fujiwara; Fabio Ghironi

Journal of Monetary Economics (ELSEVIER SCIENCE BV)  64   1 - 20 2014.01

Research paper (scientific journal),  ISSN  03043932

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Deviations from long-run price stability are optimal in the presence of endogenous entry and product variety in a sticky-price model in which price stability would be optimal otherwise Long-run inflation (deflation) is optimal when the benefit of variety to consumers falls short of (exceeds) the market incentive for creating that variety the desired markup; Price indexation exacerbates this mechanism. Plausible preference specifications and parameter values justify positive long-run inflation rates. However, short-run price stability (around this non-zero trend) is close to optimal, even in the presence of endogenously time-varying desired markups that distort the intertemporal allocation of resources. (C) 2014 Elsevier B.V. All rights reserved.

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Comments on Michael Devereux and James Yetman’s paper

I Fujiwara

Frank Packer and Aaron Mehrotra, 119  2014

Policy Regime Change against Chronic Deflation? Policy option under long-term liquidity trap

K Ueda, Y Nakazono, I Fujiwara

AJRC Working Papers  2014

Global liquidity trap

Fujiwara, Ippei, Nakajima, Tomoyuki, Sudo, Nao, Teranishi, Yuki

JOURNAL OF MONETARY ECONOMICS (ELSEVIER SCIENCE BV)  60 ( 8 ) 936 - 949 2013.11

Research paper (scientific journal),  ISSN  0304-3932

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How should monetary policy respond to a "global liquidity trap," where the two countries may fall into a liquidity trap simultaneously? Using a two-country New Open Economy Macroeconomics model, we first characterize optimal monetary policy, and show that the optimal rate of inflation in one country is affected by whether or not the other country is in a liquidity trap. We next examine how well the optimal monetary policy is approximated by relatively simple monetary policy rules. The interest-rate rule targeting the producer price index performs well in this respect. (C) 2013 Elsevier B.V. All rights reserved.

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Asymmetry in government bond returns

Fujiwara, Ippei, Koerber, Lena Mareen, Nagakura, Daisuke

JOURNAL OF BANKING &amp; FINANCE (Journal of Banking and Finance)  37 ( 8 ) 3218 - 3226 2013.08

Research paper (scientific journal),  ISSN  0378-4266

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Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This finding has important implications for modeling and forecasting government bond returns. For example, widely used models for yield curve analysis such as the affine term structure model assume symmetrically distributed innovations. To answer the second question, we find that liquidity in government bond markets predicts the coefficient of skewness with a positive sign, meaning that the probability of a large and negative excess return is more likely in a less liquid market. In addition, a positive realized return is associated with a negative coefficient of skewness, or a small probability of a large and negative return in the future. © 2013 Elsevier B.V.

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The fiscal multiplier and spillover in a global liquidity trap

Fujiwara, Ippei, Ueda, Kozo

JOURNAL OF ECONOMIC DYNAMICS &amp; CONTROL (ELSEVIER SCIENCE BV)  37 ( 7 ) 1264 - 1283 2013.07

Research paper (scientific journal),  ISSN  0165-1889

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We consider the fiscal multiplier and spillover-the extent to which one country's government expenditure increases production at home and also in another foreign country, when the two countries are caught simultaneously in a liquidity trap. Using a standard new open economy macroeconomics (NOEM) model, we show that the fiscal multiplier and spillover are contrary to textbook economics. For the country where government expenditure takes place, the fiscal multiplier exceeds one, the currency depreciates, and the terms of trade worsen. The fiscal spillover is negative if the intertemporal elasticity of substitution in consumption is less than one, and positive if it is greater than one. Incomplete stabilization of marginal costs due to the existence of the zero lower bound is critical in understanding the effects of fiscal policy in open economies. These results remain unchanged even if we incorporate incomplete markets or endogenous capital into the model, but local currency pricing yields positive fiscal spillover irrespective of the size of the intertemporal elasticity of substitution. (C) 2013 Elsevier B.V. All rights reserved.

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