Authorship：Corresponding author  

DOI： 10.1016/j.japwor.2022.101174

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Authorship：Corresponding author  

DOI： 10.1016/j.jjie.2021.101149

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Authorship：Lead author,　Corresponding author  

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Authorship：Corresponding author   Publishing type：Research paper (scientific journal)   Publisher：Elsevier BV  

DOI： 10.1016/j.jjie.2019.101053

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Language：English   Publishing type：Research paper (scientific journal)   Publisher：ACADEMIC PRESS INC ELSEVIER SCIENCE  

A number of previous studies suggest that inflation expectations are important in considering the effectiveness of monetary policy in a liquidity trap. However, the role of inflation expectations can be very different, depending on the type of monetary policy that a central bank implements. This paper reveals how a private agent forms inflation expectation affects the effectiveness of monetary policy under the optimal commitment policy, the Taylor rule, and a simple rule with price-level targeting. We examine two expectation formations: (i) different degrees of anchoring, and (ii) different degrees of forward-lookingness. We show that how to form inflation expectations is less relevant when a central bank implements the optimal commitment policy, while it is critical when the central bank adopts the Taylor rule or a simple rule with price-level targeting. Even for the Japanese economy, the effects of monetary policy on economic dynamics significantly change according to expectation formations under rules other than the optimal commitment policy.

DOI： 10.1016/j.jjie.2018.12.004

Web of Science

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Authorship：Lead author   Language：English   Publishing type：Research paper (scientific journal)   Publisher：WILEY-BLACKWELL  

This paper evaluates the effects of unconventional monetary policies adopted by the Bank of Japan from the year 2001 to 2006. A new measure is proposed to identify a nontraditional monetary policy shock from policy packages under the zero lower bound of short-term nominal interest rates during the quantitative easing period, using data on intraday 3-month Euroyen futures rates. We find that stock markets do not react to a policy surprise in an expected manner and negatively respond to a monetary easing surprise. Moreover, we find an asymmetric response during a boom and a recession and a nonlinear reaction because of increasing uncertainty concerning future inflation dynamics and the enhancement of monetary policy transparency. Our result suggests that it is difficult to implement unconventional monetary policy to manage agents' expectations and a 'lean against the wind' policy to prevent asset bubbles, particularly at the zero bound.

DOI： 10.1111/1468-0106.12158

Web of Science

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Language：English   Publishing type：Research paper (scientific journal)   Publisher：ACADEMIC PRESS INC ELSEVIER SCIENCE  

The policy package known as Abenomics appears to have influenced the Japanese economy drastically, in particular, in the financial markets. In this paper, focusing on the aggressive monetary easing of Abenomics, the first arrow, we evaluate its role in guiding public perceptions on monetary policy stance through the management of expectations. In order to end chronic deflation, such as that which Japan has been suffering over the last two decades, policy regime change must be perceived by economic agents. Analysis using the QUICK survey system (QSS) monthly survey data shows that monetary policy reaction to inflation rates has been in a declining trend since the mid 2000s, implying intensified forward guidance well before Abenomics. However, Japan seems to have moved closer to a long-term liquidity trap, where even long-term bond yields are constrained by the zero lower bound. Consequently, no sizable difference in perceptions has been found before and after the introduction of Abenomics. Estimated changes in perceptions are not abrupt enough to satisfy "Sargent's (1982) criteria for regime change" termed by Eggertsson (2008). This poses a serious challenge to central banks: what is an effective policy option left under the long-term liquidity trap? RIM, Japan; Keio University, Japan; Australian National University, Australia; Yokohama City University, Japan; Waseda University, Japan. (C) 2015 Elsevier Inc. All rights reserved.

DOI： 10.1016/j.jjie.2015.05.005

Web of Science

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Language：English  

CiNii Books

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Language：English   Publishing type：Research paper (scientific journal)   Publisher：ELSEVIER SCIENCE BV  

In this paper, we use panel data to test whether Federal Open Market Committee (FOMC) board members' forecasts are rational. Rationality is rejected in the sense that forecasts by members are heavily dependent on previous own forecasts and last consensus made in FOMC. Furthermore, we reveal the strategic behavior of FOMC board members. Forecasts by governors, who always have voting rights, agree much with the previous consensus of FOMC members' forecasts. In contrast, non-governors, who rotate voting rights, exaggerate their forecasts: they aggressively deviate their forecasts from previous consensus. The former is herding behavior and the latter is anti-herding behavior. Our results imply that individual members behave strategically: governors want to present policy-consistent forecasts to the Congress and non-governors utilize their forecasts to influence decision making in FOMC. (C) 2013 Elsevier B.V. All rights reserved.

DOI： 10.1016/j.jebo.2013.07.013

Web of Science

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Language：English   Publishing type：Research paper (scientific journal)   Publisher：ELSEVIER SCIENCE SA  

This paper evaluates professional forecasters' behavior using a panel data of individual forecasts. We find that (i) professional forecasts are behavioral, and (ii) there exists a stock bond dissonance: the forecasting behavior seems to be stubborn in the stock market, but jumpy in the bond market Even in the same country, forecasting behavior is quite different by market. (C) 2013 Elsevier B.V. All rights reserved.

DOI： 10.1016/j.econlet.2012.12.037

Web of Science

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Authorship：Lead author   Language：English   Publishing type：Research paper (scientific journal)  

The Bank of Japan conducted its quantitative easing policy (QEP) from 2001 to 2006, with the policy commitment to maintaining its QEP until the CPI inflation rate became stably zero or higher. We evaluate its effects by using individual survey data on inflation expectations as well as interest rate expectations. Our analysis reveals a kinked relationship between interest rate expectations and inflation rate expectations at around the 0% threshold level of inflation expectations, in tune with this policy commitment. In addition, we evaluate the effects of the policy commitment on market expectations for the future path of short-term interest rates after the termination of the QEP. We find that, even when inflation expectations exceeded the threshold, interest rate expectations responded only gradually to inflation rate expectations. © 2013 Elsevier B.V.

DOI： 10.1016/j.japwor.2013.03.004

Scopus

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Language：English   Publishing type：Research paper (scientific journal)  

The motivation behind this article is to verify the efficient market hypothesis as found in traditional financial theories. Participants in Japanese stock markets tend to be heterogeneous
the types of firms to which survey respondents belong can affect the formation of expectations. Furthermore, the majority of market participants - even institutional investors who are financial market professionals - place significant weight on past forecast values, and the strength of the anchoring effects depends on the types of firms to which the respondents belong, as well as the stock market conditions. © 2012 Copyright Taylor and Francis Group, LLC.

DOI： 10.1080/09603107.2012.681025

Scopus

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Authorship：Corresponding author  

This study examines the relationship between inflation expectations and consumer spending. Using a combination of original consumer survey data on inflation expectations and scanner data on the actual expenditure, we examine whether higher inflation expectations generate greater current spending. The linked data also allows us to directly estimate the value of the elasticity of the intertemporal substitution (EIS) based on a standard macroeconomic model. We find that higher inflation expectations generate greater current spending compared with one year later. We find the value of the EIS significantly positive and approximately 0.1. On the other hand, liquidity-constrained consumers seem to decrease current expenditure in response to higher inflation expectations. This evidence implies that the impact of higher inflation expectations on consumers' intertemporal allocation may vary depending on the type of consumer.

File： e_dis353.pdf

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Authorship：Corresponding author  

Does a batting average influence the decision whether or not to swing? We examine whether the decision whether to swing is influenced by a batting average by Japanese professional baseball players using the pitch-by-pitch data. We show that when the batting average is just 0.300, the probability to swing becomes significantly lower than when it is well above or below .300. The result suggests that a .300 batting average is considered as a reference point, which plays a central role in behavioral economics, for the professional baseball players and influences their attitudes toward risk.

File： e_dis354.pdf

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Using a wide range of survey data on Japanese inflation outlook, this study examines two types of disagreements regarding inflation expectations and accordingly, presents monetary policy implications. The analysis reveals three key findings. First, information rigidities are determinants of crosssectional disagreement among not only households but also experts. Second, survey data indicate dissonance regarding the long-run forecasts of inflation rates between the central bank and economic entities, despite the adoption of a 2% inflation target in January 2013 and the introduction of an unconventional monetary policy (QQE) in April 2013. While short- and mid-term inflation forecasts by households are generally close to the 2% target rate, long-term forecasts fail to converge to the target level. Finally, under the two types of disagreements, the private sector&#039;s perception about a monetary policy stance does not significantly differ before and after the introduction of the inflation target and QQE. These findings suggest that the policy regime of the monetary policy dose not abruptly change on basis of perception; that is, there is no upheaval in the agents&#039; perception about a monetary policy stance enough to induce a regime change.<br />

File： wp16e01.pdf

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