You are not permitted to access the full text of articles.
If you have any questions about permissions,
please contact the Society.
νμλμ λ Όλ¬Έ μ΄μ© κΆνμ΄ μμ΅λλ€.
κΆν κ΄λ ¨ λ¬Έμλ ννλ‘ λΆν λλ¦½λλ€.
|[ Article ]|
|Seoul Journal of Economics - Vol. 34, No. 2, pp. 303-329|
|ISSN: 1225-0279 (Print)|
|Print publication date 30 May 2021|
|Received 16 Apr 2021 Accepted 23 Apr 2021|
|Comparing the Effectiveness of the Monetary Policies in Korea and Japan|
Sang-Kee Kim ; Geunhyung Yim
|Sang-Kee Kim, Executive Director, Korea Deposit Insurance Corporation (former Chief Representative of the Tokyo Representative Office, Bank of Korea), 30, Cheonggyecheon-ro, Jung-gu, Seoul, Korea, Tel: +82-2-758-0006 (email@example.com)|
|Geunhyung Yim, Corresponding Author, Head, Research Planning & Coordination Team, Bank of Korea, 67, Sejong-daero, Jung-gu, Seoul, Korea, Tel: +82-2-759-5436 (firstname.lastname@example.org)|
JEL Classification: E43, E52, E58
This study conducts a comparative analysis of the monetary policy transmission channels and their effects in Korea and Japan using a sign restriction VAR model to determine whether a Japanese-style monetary policy can be implemented in Korea. Results indicate considerable differences between Korea and Japan in their monetary policy transmission channels. Conventional monetary policy transmission channels, such as the exchange rate channel, asset price channel, and bank lending channel, works relatively well in Japan. However, in Korea, the interest rate channel is effective but has only a short-term effect on the exchange rate, and the effects on asset prices and bank lending are hard to expect in general. Furthermore, some potential risks working through the housing market may hinder financial stability. Korea and Japan see a limited effect on production in the real sector. These results imply that Korea must be careful about implementing a similar monetary policy as Japan.
|Keywords: Monetary policy transmission channel, Unconventional monetary policy, Shadow policy rate
We would like to acknowledge Professor Hyeog Ug Kwon (Nihon University) and Seung-Gyu (Andrew) Sim (Aoyama Gakuin University) for their help in this paper. This paper contains the personal opinions of the authors and does not represent the official views of the Bank of Korea.
|1.||Bank of Korea, Monetary Policy in Korea, 2017|
|2.||Botman, D., Danninger, S., and Schiff, J. “Can Abenomics Succeed? Overcoming the Legacy of Japan’s Lost Decades.” International Monetary Fund 2015.|
|3.||Bowman, D., Cai, F., Davies, S., and Kamin, S. “Quantitative Easing and Bank Lending: Evidence from Japan.” Journal of International Money and Finance 57 (2015): 15-30.
|4.||Braun, R. A., and Shioji, E. “Monetary Policy and Economic Activity in Japan and Korea and the United States” Seoul Journal of Economics 19 (No. 1 2006): 110-146.|
|5.||Cargill, T. F. A Tale of Two Monetary Policies: Korea and Japan. FRBSF Economic Letter No. 2005-07, 2005.|
|6.||Cha. H. K. “A Monetary Policy in Korea and Japan Economy; New Keynesian Model Approach.” Journal of Knowledge Studies 11 (No. 3 2013): 221-244.|
|7.||Ha, J, and So, I. Which Monetary Shocks Matter in Small Open Economies? Evidence from SVARs. BOK Working Paper 2017-2 (2017).
|8.||Kim, D. W. and Oh, H. S. “An Analysis of the Dynamic Effect of the U.S. Yield Curve on Korean Yield Curve after the Global Financial Crisis.” Korean Journal of Economic Studies 63 (No. 2 2015).|
|9.||Kim, J. H. and Jun, S. B. “Changes and Differences in Regional Effects of Monetary Policy.” Journal of Korean Economy Studies 35 (No. 2 2017).|
|10.||Kim, S. “Effects of Monetary Policy Shocks on the Exchange Rate in the Republic of Korea: Capital Flows in Stock and Bond Market.” Asian Development Review 31 (2014): 121-135.
|11.||Kim, S. W. “Structural Changes in Monetary Policy in Korea: An Empirical Investigation Using a Time Varying Parameter VAR Model.” International Economic Journal 24 (No. 1 2018).
|12.||Kim, S., and Lim, K. “Effects of Monetary Policy Shocks on Exchange Rate in Small Open Economies.” Journal of Macroeconomics 56 (2018): 324-339.
|13.||Kim, T. W. and Yoo, J. W. “Management of the Macroeconomic Policy Under the Capital Movements Through the Stock Market.” Korean Journal of Economic Studies 49 (No. 4 2001): 279-309.|
|14.||Kwon, J. H., Kim, D. W., Ji, J. K., Kim, G., and Noh, K. S. Estimation of Korea’s Potential Growth Rate. Monthly Bulletin, Bank of Korea, 2019.|
|15.||Lee, D. W. “We can learn something from Abenomics.” Maeil Business Newspaper column, April 9, 2015.|
|16.||Lee, G. Y. “Estimations of a Small Macro Model Using Sign Restrictions: A Comparative Analysis of Korea, U.S., and Japan.” Journal of Northeast Asian Economic Studies 26 (No. 4 2014): 1-37.|
|17.||Lee, K. S. and Ryou, J. W. “Analysis of Interrelationship between Domestic and Foreign Financial Markets After the 1997 Currency Crisis.” Journal of Money & Finance 11 (No. 1 2006): 159-183.|
|18.||Montgomery, H., and Volz, U. “The Effectiveness of Unconventional Monetary Policy in Japan” Journal of Economic Issues 53 (No. 2 2019): 411-416.
|19.||Rey, H. Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence. NBER Working Paper 21162, 2015.
|20.||Sholl, A., and Uhlig, H. “New Evidence on the Puzzles: Results from Agnostic Identification on Monetary Policy and Exchange Rate.” Journal of International Economics 76 (No. 1 2008): 1-13.
|21.||Uhlig, H. “What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure.” Journal of Monetary Economics 52 (No. 2 2005): 381-419.
|22.||Wu, J. C., and Xia, F. D. “Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound” Journal of Money, Credit and Banking 48 (Nos. 2-3 2016): 253-291.
|23.||Yoo, S. D. “The Impact of Monetary Policy on the Foreign Exchange Rate: An Empirical Evidence from Korea.” International Economic Journal 17 (No. 2 2011).
|24.||Yoon, J. H. “The Japanese-style easy money policy won’t be effective in Korea.” Economy Chosun interview, May 2, 2016.|
|25.||Yoshino, N., and Taghizadeh-Hesary, F. Effectiveness of the Easing of Monetary Policy in the Japanese Economy, Incorporating Energy Prices. ADBI Working Paper Series No. 503, 2014.
Editorial Office, Seoul Journal of Economics, Institute of Economic Research, Seoul National University 599 Gwanangno, Gwanak-gu, Seoul 151-746, Korea
Tel: +82-2-880-5434 | Fax: +82-2-888-4454 | E-mail: email@example.com
Copyright (c) 2020 SJE. All rights reserved.