Baumeister, Christiane and Luca Benati, 2011, “Unconventional Monetary Policy and the Great Recession,” Bank of Canada, Working Paper.
Berkmen, Pelin, 2011, Japan—Bank of Japan’s Monetary Easing: Is It Now More Effective? IMF Selected Issues Report No. 95/96 (Washington: International Monetary Fund).
Cochrane, John, 2011, “Understanding Fiscal and Monetary Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic,” European Economic Review, Vol. 55 (January), pp. 2–30.
D’Amico, Stefania, and Thomas B. King, 2010, “Flow and Stock Effects of Large-Scale Treasury Purchases,” Federal Reserve Board, Staff Working Papers in the Finance and Economics Discussion Series (FEDS), Vol. 2010–52.
Fujita, Kenji, Kotaro Ishi, and Mark Stone, 2011, “Should Unconventional Balance Sheet Policies be Added to the Central Bank Toolkit? A Review of the Experience So Far,” IMF Working Paper, No. 11/145 (Washington: International Monetary Fund).
Gagnon, Joseph, Matthew Raskin, Julie Remache, and Brian Sack, 2010, “Large Scale Asset Purchases by the Federal Reserve: Did They Work?” Federal Reserve Bank of New York, Staff Reports, No. 441 (March).
Kuttner, Kenneth, 2010, The Fed’s Response to the Financial Crisis: Pages from Bank of Japan Playbook, or a Whole New Ball Game?, Policy Research Institute, Ministry of Finance, Japan, Public Policy Review: Vol. 6/3 (March).
Neely, Christopher, 2010, “The Large-Scale Asset Purchases Had Large International Effects,” Federal Reserve Bank of St. Louis, Working Paper, October.
Joyce, Michael, Ana Lasaosa, Ibrahim Stevens, and Matthew Tong, 2010, “The Financial Market Impact of Quantitative Easing,” Bank of England Working Paper No. 393 (July).
Yellen, Janet, 2011, “Unconventional Monetary Policy and Central Bank Communications,” Speech at the U.S. Monetary Policy Forum, New York on February 25.
The author benefited from the discussions with Professor K. Ueda, IMF Japan team and the seminar participants in the IMF Asia Pacific Department Seminar and IMF Surveillance Meeting, and comments by the Bank of Japan. Ms. J. Lee and Ms. I. Hussiada provided research assistance.
The Bank of Japan introduced a new lending facility through the financial institutions at low cost to support the foundation of economic growth.
For instance, the Fed’s second phase of quantitative easing in November 2010 was largely anticipated by the market after Governor Bernanke’s speech at the Jackson Hole meeting in end-August.
Varying the sample period does not substantially change the standard errors in terms of statistical significance. The main results on the statistical significance of the impact of monetary easing would not change.
The daily returns of typical trading days on various financial assets cannot reject the hypothesis that those returns follow normal distributions under Shapiro-Wilk test.
The Fed announced purchases of government securities and mortgage-backed securities in December 2008. The Fed purchased securities across the yield curve, with maturities from 3 months to 30 years, but bought most heavily in 4- to 10-year maturities. The rate of purchase was broadly steady and varied with liquidity.