Japan's Stagnant Nineties: A Vector Autoregression Retrospective
April 1, 1999
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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
Pages:
22
Volume:
1999
DOI:
Issue:
045
Series:
Working Paper No. 1999/045
Stock No:
WPIEA0451999
ISBN:
9781451846454
ISSN:
1018-5941
