{
  "title": "Policy Uncertainty in Japan",
  "publication": "IMF Working Papers, May 30, 2017",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915",
  "canonical": "https://www.imf.org/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915",
  "overlayPath": "/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915/index.md",
  "summary": "We develop new economic policy uncertainty (EPU) indices for Japan from January 1987 onwards building on the approach of Baker, Bloom and Davis (2016). Each index reflects the frequency of newspaper articles that contain certain terms pertaining to the economy, policy matters and uncertainty.",
  "sections": [
    {
      "heading": "Overview",
      "content": "- Title: Policy Uncertainty in Japan\n- Authors: Elif C Arbatli Saxegaard, Steven J Davis, Arata Ito, Naoko Miake, Ikuo Saito\n- Date: May 30, 2017\n- Publication: IMF Working Papers, Working Paper No. 2017/128\n- Pages: 48\n- Volume: 2017\n- Issue: 128\n- DOI: https://doi.org/10.5089/9781484300671.001\n- ISBN: 9781484300671\n- ISSN: 1018-5941"
    },
    {
      "heading": "Methodology",
      "content": "- Constructed new economic policy uncertainty (EPU) indices for Japan from January 1987 onwards.\n- Approach builds on Baker, Bloom and Davis (2016).\n- Each index measures the frequency of newspaper articles containing specified terms related to: the economy, policy matters, and uncertainty.\n- Separate indices developed for: fiscal policy, monetary policy, trade policy, and exchange rate policy."
    },
    {
      "heading": "Key empirical relationships and co-movements",
      "content": "- The overall Japan EPU index co-varies positively with:\n  - implied volatilities for Japanese equities,\n  - implied volatilities for exchange rates,\n  - implied volatilities for interest rates,\n  - a survey-based measure of political uncertainty.\n- The EPU index shows increases around specific events:\n  - contested national elections and major leadership transitions in Japan,\n  - the Asian Financial Crisis,\n  - the Lehman Brothers failure,\n  - U.S. debt downgrade in 2011,\n  - Brexit referendum,\n  - Japan’s decision to defer a consumption tax hike.\n- The policy-specific uncertainty indices (fiscal, monetary, trade, exchange rate) co-vary positively with each other but exhibit distinct dynamics."
    },
    {
      "heading": "Econometric findings",
      "content": "- Vector autoregression (VAR) models are used to analyze macroeconomic effects.\n- Upward EPU innovations in VAR models foreshadow deteriorations in macroeconomic performance, as shown by impulse response functions for:\n  - investment,\n  - employment,\n  - output."
    },
    {
      "heading": "Policy implications and recommendations",
      "content": "- Evidence suggests credible policy plans and strong policy frameworks can favorably influence macroeconomic performance.\n- Reducing policy uncertainty is a channel through which credible policy and strong frameworks improve macroeconomic outcomes."
    },
    {
      "heading": "Subject areas and keywords",
      "content": "- Subjects: Exchange rate policy, Financial crises, Fiscal policy, Foreign exchange, Global financial crisis of 2008-2009, Public debt, Trade policy\n- Keywords: aggregate investment, EPU innovation, Europe, exchange rate, Exchange rate policy, fiscal policy index, Global, Global financial crisis of 2008-2009, Japan, Japan EPU index, policy uncertainty, uncertainty index, WP\n\nIMF Working Paper: \"Policy Uncertainty in Japan\", May 30, 2017, Working Paper No. 2017/128\n\n---\n\n Content in this bundle\n\n- Policy Uncertainty in Japan; IMF working paper WP/17/128; May, 2017\n  - Policy Uncertainty in Japan; IMF working paper WP/17/128; May, 2017 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Policy Uncertainty in Japan; IMF working paper WP/17/128; May, 2017 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915"
    }
  ],
  "bullets": [
    "[Markdown version](/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915/index.md)",
    "[Structured JSON version](/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915/index.json)",
    "[Bundle manifest](/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915/bundle-manifest.json)",
    "Authors: Elif C Arbatli Saxegaard, Steven J Davis, Arata Ito, Naoko Miake, Ikuo Saito",
    "Published: May 30, 2017",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781484300671.001",
    "Title: Policy Uncertainty in Japan",
    "Authors: Elif C Arbatli Saxegaard, Steven J Davis, Arata Ito, Naoko Miake, Ikuo Saito",
    "Date: May 30, 2017",
    "Publication: IMF Working Papers, Working Paper No. 2017/128",
    "Pages: 48",
    "Volume: 2017",
    "Issue: 128",
    "DOI: https://doi.org/10.5089/9781484300671.001",
    "ISBN: 9781484300671",
    "ISSN: 1018-5941",
    "Constructed new economic policy uncertainty (EPU) indices for Japan from January 1987 onwards.",
    "Approach builds on Baker, Bloom and Davis (2016).",
    "Each index measures the frequency of newspaper articles containing specified terms related to: the economy, policy matters, and uncertainty.",
    "Separate indices developed for: fiscal policy, monetary policy, trade policy, and exchange rate policy.",
    "The overall Japan EPU index co-varies positively with:",
    "The EPU index shows increases around specific events:",
    "The policy-specific uncertainty indices (fiscal, monetary, trade, exchange rate) co-vary positively with each other but exhibit distinct dynamics.",
    "Vector autoregression (VAR) models are used to analyze macroeconomic effects.",
    "Upward EPU innovations in VAR models foreshadow deteriorations in macroeconomic performance, as shown by impulse response functions for:",
    "Evidence suggests credible policy plans and strong policy frameworks can favorably influence macroeconomic performance.",
    "Reducing policy uncertainty is a channel through which credible policy and strong frameworks improve macroeconomic outcomes.",
    "Subjects: Exchange rate policy, Financial crises, Fiscal policy, Foreign exchange, Global financial crisis of 2008-2009, Public debt, Trade policy",
    "Keywords: aggregate investment, EPU innovation, Europe, exchange rate, Exchange rate policy, fiscal policy index, Global, Global financial crisis of 2008-2009, Japan, Japan EPU index, policy uncertainty, uncertainty index, WP",
    "**Policy Uncertainty in Japan; IMF working paper WP/17/128; May, 2017**"
  ],
  "related": [
    {
      "title": "Policy Uncertainty in Japan; IMF working paper WP/17/128; May, 2017",
      "role": "document",
      "sourceUrl": "https://www.imf.org/-/media/files/publications/wp/2017/wp17128.pdf",
      "summary": {
        "path": "/-/media/files/publications/wp/2017/wp17128.pdf.md",
        "mime": "text/markdown"
      },
      "binary": {
        "path": "/-/media/files/publications/wp/2017/wp17128.pdf",
        "mime": "application/pdf"
      }
    }
  ],
  "alternates": {
    "markdown": "/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915/index.md",
    "json": "/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915/index.json",
    "bundleManifest": "/en/publications/wp/issues/2017/05/30/policy-uncertainty-in-japan-44915/bundle-manifest.json"
  },
  "generatedAtUtc": "2026-09-18T11:42:55.357Z"
}