Details of a Researcher - Fujiwara Ippei

Papers - Fujiwara Ippei

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Summary of the 2008 International Conference

I Fujiwara, K Fukuda, I Muto, Y Shigemi, W Takahashi

Monetary and Economic Studies 26, 1-24 2008

Expectation shock simulation with dynare

I Fujiwara, H Kang

Quantitative Macroeconomics & Real Business Cycles 2008

Expectation Shock Simulation with DYNARE: Mark II

I Fujiwara, H Kang

Dynare Notes 2008

Frontiers in Monetary Theory and Policy: Summary of the 2008 International Conference Organized by the Institute for Monetary and Economic Studies of the Bank of Japan

I Fujiwara, K Fukuda, I Muto, Y Shigemi, W Takahashi

IMES Discussion Paper Series 2008

Expectations Shock Simulation with DYNARE: Mark II

I Fujiwara, H Kang

Dynare Notes 2008

Is there a direct effect of money?. Money's role in an estimated monetary business cycle model of the Japanese economy

Fujiwara Ippei

Japan and the World Economy 19 ( 3 ) 329 - 337 2007.08

ISSN 0922-1425

In this paper, to study the alternative monetary transmission mechanism to the traditional interest rate channel which may even work under zero nominal interest rates, we estimate the monetary business cycle model of the Japanese economy that incorporates the direct role of money. Estimation is conducted on the system of equations in a state-space form via maximum likelihood estimation. We, however, find that the direct effect of money is extremely small in Japan. This finding is the same as those obtained for the U.S. in Ireland [Ireland, P., 2004. Money's role in the monetary business cycle. Journal of Money, Credit and Banking 36, 969-984] and the Euro area in Andres et al. [Andres, J., Lopez-Salido, D., Valles, J., 2001. Money in an Estimated Business Cycle Model of the Euro area. Working Paper 121, Bank of Spain].

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Is there a direct effect of money ? Money's role in an estimated monetary business cycle model of the Japanese economy

Fujiwara, Ippei

JAPAN AND THE WORLD ECONOMY 19 ( 3 ) 329 - 337 2007.08

Research paper (scientific journal), ISSN 0922-1425

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Is there a direct effect of money?: Money’s role in an estimated monetary business cycle model of the Japanese economy

I Fujiwara

Japan and the World Economy 19 (3), 329-337 2007

Re-thinking Price Stability in an Economy with Endogenous Firm Entry: Real Imperfections under Product Variety

I Fujiwara

Bank of Japan 2007

Japanese Monetary Policy during the Collapse of the Bubble Economy: A View of Policy-making under Uncertainty

I Fujiwara, N Hara, N Hirakata, T Kimura, S Watanabe

IMES 2007

Monetary policy at the zero interest bound

Fujiwara Ippei, McAdam Peter, Roberts John M.

Journal of the Japanese and International Economies 20 ( 3 ) 305 - 313 2006.09

ISSN 0889-1583

In this paper, we summarize the findings from zero-interest-bound simulation exercises conducted on the policy/forecasting models of the three major central banks. After imposing a fixed-period zero-interest-bound episode on each model, we consider common variations in the monetary-policy reaction function to minimize the macro-economic consequences of such a deflationary regime. Although there is some heterogeneity in the ranking of these remedial policies, reflecting the different properties of the models, we find that more aggressive policy rules and price-targeting rules are potentially candidates for robust monetary strategies. J. Japanese Int. Economies 20 (3) (2006) 305-313.

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Effectiveness of state-contingent monetary policy under a liquidity trap

Fujiwara, Ippei, Hara, Naoko, Yoshimura, Kentaro

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES (ACADEMIC PRESS INC ELSEVIER SCIENCE) 20 ( 3 ) 364 - 379 2006.09

Research paper (scientific journal), ISSN 0889-1583

Recent economic developments in Japan suggest that there is a growing interest in how monetary policy should be conducted under low inflation and nominal interest rates. In this paper, we first confirm the effectiveness of conventional wisdom against a liquidity trap, namely taking aggressive responses around the zero bound and variant of price level targeting so that it can intensify the policy duration effect, in the large scale dynamic general equilibrium model, the JEM (Japanese Economic Model). We then show that the optimal tangible policy rules around the zero bound are possibly state-contingent at the same time.

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Monetary policy at the zero interest bound: A model comparison exercise

Fujiwara, Ippei, McAdam, Peter, Roberts, John M.

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES 20 ( 3 ) 305 - 313 2006.09

Research paper (scientific journal), ISSN 0889-1583

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Evaluating monetary policy when nominal interest rates are almost zero

Fujiwara, Ippei

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES (ACADEMIC PRESS INC ELSEVIER SCIENCE) 20 ( 3 ) 434 - 453 2006.09

Research paper (scientific journal), ISSN 0889-1583

The non-negativity constraint on nominal interest rates may have been a major factor behind a putative structural break in the effectiveness of monetary policy. To check for the existence of such a break without making prior assumptions about timing, and to enable comparison between pre- and post-break monetary policy, we employ an identified Markov switching VAR framework. Estimation results support the existence of a structural break around the time when the de facto zero nominal interest rate policy was resumed and the effectiveness of monetary policy is seen to weaken since then although slightly positive effects from monetary easing still exist.

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The Bubble, Overinvestment, Reduction in Working Hours, and the Lost Decade

LJ Christiano, I Fujiwara

Bank of Japan Working Papers Series 2006

Special Section on Foundations of Computer Science

A Fujiwara

IEICE-Transactions on Information and Systems 89 (2), 743-743 (SIAM PUBLICATIONS) 39 ( 2 ) 545 - 545 2006

ISSN 0097-5397

Modelling Oil Prices in a Dynamic General Equilibrium Model with Free Entry

I Fujiwara, N Hirakata

Bank of Japan 2006

Modelling Oil Prices in a Dynamic General Equilibrium Model with Free Entry [VERY PRELIMINARY]

I Fujiwara, N Hirakata

2006

Bubble, Excess Investment, Shorter Work Hours and the Lost Decade

LJ Christiano, I Fujiwara

Bank of Japan Working Paper Series, 08 2006

Monetary policy in a liquidity trap

Fujiwara Ippei, Hara Naoko, Hirakata Naohisa, Watanabe Shinichiro, Yoshimura Kentaro

International Finance (International Finance) 8 ( 3 ) 471 - 508 2005.12

ISSN 1367-0271

Reflecting recent economic developments in Japan, there is a growing interest in how monetary policy should be conducted under low inflation and nominal interest rates. Among several proposed solutions, the conventional wisdom seems to be to commit to lower future short-term nominal interest rates through some variation on price-level targeting. We confirm the effectiveness of such a policy in a large-scale dynamic general equilibrium model: the Japanese Economic Model. However, uncertainty - which affects how monetary policy should be conducted - increases in the presence of the zero bound on nominal interest rates. We posit that the increased uncertainty may explain why the central bank cannot fully commit to a certain fully specified policy scheme far into the future when the economy is caught in a liquidity trap. © Blackwell Publishing Ltd. 2005.

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