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Journal Articles Journal of International Money and Finance Year : 2022

Potential growth and natural yield curve in Japan

Abstract

We estimate the yield curve gap in Japan and examine whether it has contributed to the sustained low growth and low inflation rates observed since the beginning 2000s. We use a semi-structural empirical model that generalizes Laubach and Williams’ approach, considering the entire range of maturities of the interest rates and dealing with the issue of mixed frequency sampling. An important result is that, even in the absence of a zero lower bound, monetary and fiscal policies proved ineffective in bringing the Japanese economy out of a situation of prolonged stagnation and low inflation. This happened even when the yield curve moved below its natural level.

Dates and versions

hal-03680259 , version 1 (27-05-2022)

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Gilles Dufrénot, Meryem Rhouzlane, Etienne Vaccaro-Grange. Potential growth and natural yield curve in Japan. Journal of International Money and Finance, 2022, 124, pp.102628. ⟨10.1016/j.jimonfin.2022.102628⟩. ⟨hal-03680259⟩
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