Japan's Stagnant Nineties: A Vector Autoregression Retrospective

April 1, 1999

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Christel Rendu, and Ramana Ramaswamy. Japan's Stagnant Nineties: A Vector Autoregression Retrospective, (USA: International Monetary Fund, 1999) accessed September 19, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper uses a vector autoregression (VAR) approach to identify the driving forces of the growth slowdown in Japan during the 1990s. Negative shocks to both residential and nonresidential investment are shown to have been important determinants of the slowdown. Despite the collapse in asset prices, negative shocks to private consumption were relatively small. A surprising conclusion is that trends in public consumption had a dampening impact on activity in the 1990s. The VAR estimations do not support the counterfactual conjecture that activity in Japan would have been significantly weaker in the absence of the expansionary shift in fiscal policy.

Subject: Econometric analysis, Expenditure, Fiscal policy, National accounts, Private consumption, Private investment, Public investment spending, Vector autoregression

Keywords: Bubble, Consumption, Contractionary monetary policy, Credit-crunch viewpoint, Expansionary monetary policy, Fiscal policy variable, Investment project, Japan, Monetary policy, Price, Private consumption, Private investment, Public investment spending, Shocks, Stage VAR, VAR approach, VAR estimation, VAR model, Vector autoregression, WP

Publication Details

Pages:

22
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1999/045
Stock No:

WPIEA0451999
ISBN:

9781451846454
ISSN:

1018-5941

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