Masahiko Shibamoto

An Analysis Of Monetary Policy Shocks In Japan: A Factor Augmented Vector Autoregressive Approach

This paper analyses monetary policy shocks in Japan using a factor augmented vector autoregressive approach. There are three main findings. First, the time lags with which the monetary policy shocks are transmitted vary between the various macroeconomic time series. These include several series that have not been included thus far in standard vector autoregressive analysis, including housing starts and employment indices. Second, a coherent picture of monetary policy effects on the economy is obtained. Third, it is found that monetary policy shocks have a stronger impact on real variables, such as employment and housing starts, than industrial production.

Structural Change in Current Account and Real Exchange Rate Dynamics: Evidence from the G7 Countries

Lee and Chinn (2006) and Chinn and Lee (2009) decomposed current account and real exchange rate into temporary and permanent shocks and argued that a temporary shock creates the combination of a current account surplus (deficit) and real exchange rate depreciation (appreciation). This paper extends their framework by examining a possible structural break in current account and real exchange rate dynamics. Using G7 country data for 1980--2007, we find structural changes in two-variable dynamics for all G7 countries during the 1990s. Temporary shocks have not been the main source of fluctuation in the current account since the 1990s. Our empirical results imply that the conventional mechanism has played a limited role in explaining the dynamics of the two variables.

Identifying Unconventional Monetary Policy Shocks

This paper proposes a method for identifying quantitative and qualitative monetary policy shocks in the balance sheet operations of a central bank. The method is agnostic and flexible as it relies on no assumptions on how the size and composition of the central bank’s balance sheet will respond after the bank makes a policy decision. We identify two types of policy shocks as “anticipated�? shocks that best portend the current and future paths of these policy instruments in response to them. We obtain evidence that qualitative easing shocks have expansionary effects on the economy while quantitative easing shocks do not.

Source of Underestimation of the Monetary Policy Effect: Re-examination of the Policy Effectiveness in Japan's 1990s

This paper re-examines the empirical evidence on the potency of Japanese monetary policy in the 1990s by comparing the estimated impacts of various proxies of monetary policy shocks on the macro economy. My empirical results demonstrate that the surprise target changes as a proxy of monetary policy shocks had impacts on real output and financial variables over the period 1990–2001. I also show that the estimated effects of identified monetary policy shocks depend on whether the shocks are anticipated or not; The monetary policy effects on the economy are underestimated when the empirical models fail to control for the market expectation for monetary policy stance.

Note on the Interpretation of Convergence Speed in the Dynamic Panel Model

Studies using dynamic panel regression approach have found a high speed of income convergence among the world and the regional economies. For example, Lee et al. (1997, 1998) report 30% per annum. This note argues that their estimates of the convergence speed can be seriously overstated. Using a factor model, we show that the coefficient of the lagged income in their specification may not be the long-run convergence speed, but the adjustment speed of the short-run deviation from the long-run equilibrium path. We give an example of an empirical analysis, where the short-run adjustment speed is about 40%.

Construction and Application of Sentiment Lexicons in Finance

Thisarticleproposesanapproachtoconstructingsentimentlexiconsinthefinancialdomain.The approachtakesadvantagesofnewsbulletinsandagivenfinancialvariable,suchasstockprices,to generatecandidatesofsentimentexpressionsbyfusingthetwodatasources.Thecandidatesarethen filteredbasedontheirco-occurrenceswithfinancialseedwordsandaresubsequentlyexpandedby analogicalreasoningusingdistributedrepresentationofwords.Evaluativeexperimentsonreal-world newsandstockpricedatashowsthattheresultinglexiconsaremostlyreasonableandcapturethe characteristicsofthetargetfinancialvariables.Asapotentialapplication,tradingsimulationisalso carriedoutbasedontheresultingfinancialsentimentlexicons,demonstratingtheutilityofthelexicons. KEywoRDS Distributed Representation, Sentiment Analysis, Stock Market, Text Mining

Cross-country evidence on determinants of fiscal policy effectiveness: the role of trade and capital flows

ABSTRACT This article studies the determinants of size differentials between fiscal multipliers in countries around the world, both advanced and developing economies. We introduce variables not considered before for explaining multiplier size differentials, such as capital flows and the openness of capital markets, while controlling for domestic conditions and exchange rate regimes. We also disaggregate GDP into its main components in order to identify the channels through which external and internal factors can influence GDP after a change in fiscal policy. Our results point to the existence of a new channel through which fiscal policy effectiveness is affected. Capital flows, especially FDI flows, play an important role in determining the sizes of fiscal multipliers, and a country’s external conditions largely explain GDP changes after fiscal expenditure shocks. Our results also point towards a strong link between a country’s international position and its real economy.

Constructing Financial Sentiment Lexicons by Integrating Textual and Time-Series Data

This paper describes an approach to constructing sentiment lexicons in the financial domain. The approach takes advantages of news headlines and a given financial variable, such as stock prices, so as to generate candidates of sentiment expressions by fusing the two data resources. The candidates are then filtered based on their co-occurrences with financial seed words and are subsequently expanded by analogical reasoning by using distributed representation of words. Evaluative experiments on real-world news and stock price data show that the resulting lexicons are mostly reasonable and capture the characteristics of the target financial variables.

Risk-Taking Channel of Unconventional Monetary Policies in Bank Lending

We investigate the effects of unconventional monetary policy on bank lending, using a bank-firm loan-level matched dataset from 1999 to 2015 by extracting exogenous changes in unconventional monetary policies over the past 20 years in Japan. We find that an increase in the share of unconventional assets held by the Bank of Japan boosts lending to firms with higher credit risks from banks with lower liquidity ratios and higher risk appetites while an expansion of the monetary lending to risky firms from banks with higher leverage.

Measuring Social Change Using Text Data: A Simple Distributional Approach

This paper proposes a simple approach to measuring social change using text data. The approach is based on the idea that any significant change in a society should affect the distribution of the words used in the society. Essentially we use the total variation distance between the distributions of words in adjacent months as a measure of social change during the latter month. Based on text data from the Nikkei Newspaper from 1989 to 2015, the largest social change observed in Japan during this period took place in March 2011, the month of the Great East Japan Earthquake.