Bank of Japan

04/30/2021 | Press release | Distributed by Public on 04/30/2021 01:06

(Research Paper) Supplementary Paper Series for the 'Assessment' (2): Estimating Effects of Expansionary Monetary Policy since the Introduction of Quantitative and Qualitative[...]

April 30, 2021
Takuji Kawamoto*1
Takashi Nakazawa*2
Yui Kishaba*3
Kohei Matsumura*4
Jouchi Nakajima*5


This paper estimates the macroeconomic effects of the Bank of Japan's expansionary monetary policies since the introduction of Quantitative and Qualitative Monetary Easing (QQE) using the Bank of Japan's large-scale macroeconomic model, Q-JEM (Quarterly Japanese Economic Model). We consider counterfactual paths of major financial variables, such as real interest rates, constructing hypothetical scenarios where the QQE and subsequent easing measures had not been introduced. We then conduct counterfactual simulations to examine how Japan's macroeconomic variables such as real GDP and CPI would have evolved under those hypothetical scenarios. In this setting, we estimate the policy effects on the macroeconomic variables as the difference between actual values and the counterfactual. Estimation results show that, on average during the period from the introduction of QQE to the July-September quarter of 2020, the policy effect on the level of real GDP is between around +0.9 and +1.3 percent and that on the year-on-year rate of change in the CPI (all items less fresh food and energy) is between around +0.6 and +0.7 percentage points.

JEL classification
C53, E37, E47, E52, E58

Monetary policy, Policy effect, Large-scale macroeconomic model,Simulation

This paper is a supplement to 'Assessment for Further Effective and Sustainable Monetary Easing' released by the Bank of Japan in March 2021.
The authors thank the staff at the Bank of Japan for their valuable comments. The authors are also grateful to Tomoaki Mikami, Hiroaki Yamagata, and Megumi Kuchiki for data assistance.

  1. *1Research and Statistics Department, Bank of Japan
    E-mail : [email protected]
  2. *2Research and Statistics Department, Bank of Japan
    E-mail : [email protected]
  3. *3Research and Statistics Department, Bank of Japan
    E-mail : [email protected]
  4. *4Research and Statistics Department, Bank of Japan
    E-mail : [email protected]
  5. *5Research and Statistics Department, Bank of Japan
    E-mail : [email protected]


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