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Policy Uncertainty in Japan.

By: Material type: TextTextSeries: IMF Working PapersPublication details: Washington, D.C., UNITED STATES : INTERNATIONAL MONETARY FUND, 2017.Description: 1 online resource (49)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 1484302443
  • 9781484302446
ISSN:
  • 1018-5941
Subject(s): Genre/Form: Additional physical formats: Print version:: Policy Uncertainty in JapanDDC classification:
  • 330.95204 23
LOC classification:
  • HC462.8
Online resources:
Contents:
Cover; Contents; I. INTRODUCTION; II. RELATED LITERATURE; III. MEASURING ECONOMIC POLICY UNCERTAINTY IN JAPAN; IV. POLICY UNCERTAINTY AND AGGREGATE ECONOMIC PERFORMANCE; V. CONCLUDING REMARKS; REFERENCES; Figures; 1. Japan Economic Policy Uncertainty Index (1987M1-2017M3); 2. Fiscal Policy Uncertainty Index (1987M1-2017M3); 3. Monetary Policy Uncertainty Index (1987M1-2017M3); 4. Fiscal Policy Uncertainty Indices for Japan and the United States; 5. Monetary Policy Uncertainty Indices for Japan and the United States; 6. Trade Policy Uncertainty Index (1987M1-2017M3).
7. Exchange Rate Policy Uncertainty Index (1987M1-2017M3)8. Japan EPU Index and Option-Implied Volatility of Nikkei Equity Index; 9. Our Fiscal Policy Uncertainty Index Compared to Ito's Political Uncertainty Index; 10. Proximate Sources of Economic Policy Uncertainty; 11. Impulse Responses to Unit Standard Deviation EPU Innovation, Monthly Data; 12. Impulse Responses to Unit Standard Deviation EPU Innovation, Quarterly Data; 13. Historical Contribution of Japan EPU Shocks to GDP and Investment Fluctuations.
14. Robustness to Alternative VAR Specifications with Quarterly Data: GDP Impulse Responses to a Unit Standard Deviation Japan EPU InnovationTables; 1. Term Sets for the Overall Japan EPU Index; 2. Term Sets for Policy Category Uncertainty Indices; 3. Correlation of Japan EPU Indices with Other Uncertainty Measures; Appendix; Additional Information about our Japan Economic Policy Uncertainty Indices.
Abstract: 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. Our overall EPU index co-varies positively with implied volatilities for Japanese equities, exchange rates and interest rates and with a survey-based measure of political uncertainty. The EPU index rises around contested national elections and major leadership transitions in Japan, during the Asian Financial Crisis and in reaction to the Lehman Brothers failure, U.S. debt downgrade in 2011, Brexit referendum, and Japan's recent decision to defer a consumption tax hike. Our uncertainty indices for fiscal, monetary, trade and exchange rate policy co-vary positively but also display distinct dynamics. VAR models imply that upward EPU innovations foreshadow deteriorations in Japan's macroeconomic performance, as reflected by impulse response functions for investment, employment and output. Our study adds to evidence that credible policy plans and strong policy frameworks can favorably influence macroeconomic performance by, in part, reducing policy uncertainty.
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Print version record.

Cover; Contents; I. INTRODUCTION; II. RELATED LITERATURE; III. MEASURING ECONOMIC POLICY UNCERTAINTY IN JAPAN; IV. POLICY UNCERTAINTY AND AGGREGATE ECONOMIC PERFORMANCE; V. CONCLUDING REMARKS; REFERENCES; Figures; 1. Japan Economic Policy Uncertainty Index (1987M1-2017M3); 2. Fiscal Policy Uncertainty Index (1987M1-2017M3); 3. Monetary Policy Uncertainty Index (1987M1-2017M3); 4. Fiscal Policy Uncertainty Indices for Japan and the United States; 5. Monetary Policy Uncertainty Indices for Japan and the United States; 6. Trade Policy Uncertainty Index (1987M1-2017M3).

7. Exchange Rate Policy Uncertainty Index (1987M1-2017M3)8. Japan EPU Index and Option-Implied Volatility of Nikkei Equity Index; 9. Our Fiscal Policy Uncertainty Index Compared to Ito's Political Uncertainty Index; 10. Proximate Sources of Economic Policy Uncertainty; 11. Impulse Responses to Unit Standard Deviation EPU Innovation, Monthly Data; 12. Impulse Responses to Unit Standard Deviation EPU Innovation, Quarterly Data; 13. Historical Contribution of Japan EPU Shocks to GDP and Investment Fluctuations.

14. Robustness to Alternative VAR Specifications with Quarterly Data: GDP Impulse Responses to a Unit Standard Deviation Japan EPU InnovationTables; 1. Term Sets for the Overall Japan EPU Index; 2. Term Sets for Policy Category Uncertainty Indices; 3. Correlation of Japan EPU Indices with Other Uncertainty Measures; Appendix; Additional Information about our Japan Economic Policy Uncertainty Indices.

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. Our overall EPU index co-varies positively with implied volatilities for Japanese equities, exchange rates and interest rates and with a survey-based measure of political uncertainty. The EPU index rises around contested national elections and major leadership transitions in Japan, during the Asian Financial Crisis and in reaction to the Lehman Brothers failure, U.S. debt downgrade in 2011, Brexit referendum, and Japan's recent decision to defer a consumption tax hike. Our uncertainty indices for fiscal, monetary, trade and exchange rate policy co-vary positively but also display distinct dynamics. VAR models imply that upward EPU innovations foreshadow deteriorations in Japan's macroeconomic performance, as reflected by impulse response functions for investment, employment and output. Our study adds to evidence that credible policy plans and strong policy frameworks can favorably influence macroeconomic performance by, in part, reducing policy uncertainty.

Added to collection customer.56279.3 - Master record variable field(s) change: 072, 650, 651

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