Examination of policy effect using calculated inflation ......relation to inflation; price...

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Examination of policy effect using calculated inflation expectation by Inflation-indexed bonds1

Yasuyuki Komaki2，

Abstract After return to power on fall 2012 in Japan, Prime Minister Abe has argued that we

adopt a three-pronged strategy consisting of bold monetary policy, flexible fiscal policy and a growth strategy that promotes private investment in order to slough off deflation economy in Japan. We call a series of policy as Abenomics. In this study, we estimate the effect of Abenomics using expected inflation rate (hereafter BEI) which we calculate from Inflation-indexed bonds.

We confirm Abenomics make expected inflation climb significantly. But we find the effect of easing policy under previous administration is larger than Abenomics.

We suppose the rise of expected inflation in Abenomics is caused by our expectation affected by the change of government mainly. We put our hopes to previous administration too much. After change from Democratic Party Government on Sept 2009, we expected that Japanese old system was improved and economy recovered immediately. But we disappointed the Democratic Party Government largely. So we desire that return to power lead to better situation than previous. At the moment, we come out of wildly excitement for Abenomics. In fact, after May 2013, expected inflation level off or is rather decline.

But we have only 20% of outstanding in the current market. We should pay attention to use BEI as the expected inflation, as it is not possible fully to make the adequate price formation. JEL Classification：E31，E52，E62 Key words: Expected inflation rate, inflation-indexed bond, Abenomics

1 We thank Takahiro Niimi (NLI research) for providing basic data of Inflation-indexed bonds to me in this study. This work is supported by Grants-in-Aid for Scientific Research (22530281). 2 Nihon University, College of Economics. 1-3-2，Misaki-cho, Chiyoda-ku, Tokyo, Japan E-mail; [email protected], Phone; +81-3-3219-3410

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1 Introduction After the change of government on fall 2012 in Japan, Prime Minister Abe

has argued that we adopt a three-pronged strategy consisting of bold monetary policy, flexible fiscal policy and a growth strategy that promotes private investment in order to slough off deflation economy in Japan. We call a series of policy as Abenomics. Especially, we pay attention to whether deflation economy will be slough off after bold monetary policy on April 2013. Bank of Japan (hereafter BOJ) set our objective to raise CPI in order to achieve the "price stability target" of 2 percent at the earliest possible time.

We estimate the expected inflation rate in order to judge whether monetary policy gives rise to around 2% inflation using break even inflation (BEI) rate calculated by Inflation-indexed bonds and nominal government bond. We take three points into account in order to examine the effect of Abenomics.

First, we use BEI rate because BEI is daily data. There are many indexes in relation to inflation; price expectation in Consumer Confidence Survey, price forecast of ESP and Tankan. But these indexes are quarterly or monthly statistics. We are not able to distinguish the effect of monetary policy only into other factors such as supply shock, when expected inflation rate raise in case of quarterly or monthly statistics. When we use daily BEI rate, we estimate the effect of change in monetary policy and in financial market.

Second, we compare the estimation of Abenomics easing monetary policy with of Democratic Party administration3 (hereafter previous administration) because both previous administration and Abenomics adapted the similar powerful easing monetary policy, as the following.

In previous administration, zero interest rate and quantity easing policy had adopted again on Oct 2010 as a comprehensive monetary easing policy composed of establishing, as a temporary measure, a program on its balance sheet to purchase various financial assets, such as government securities, commercial paper (CP), corporate bonds, exchange-traded funds (ETFs), and Japan real estate investment trusts (J-REITs) and to conduct the fixed-rate funds-supplying operation. And BOJ introduced a kind of inflation targeting policy on Feb 2012. In the concrete, BOJ judges "the price stability goal in the medium to long term" to be within a positive range of 2 percent or lower in terms of the year-on-year rate of change in the CPI and, more pacifically, sets a goal at 1 percent for the time being. 3 Democratic administration is from Sep 16, 2009 to Dec 25, 2012.

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In case of Abenomics, BOJ adopted bold quantity easing and inflation targeting policy clearly in order to achieve the price stability target of 2 percent in terms of the year-on-year rate of change in the consumer price index (CPI) at the earliest possible time, with a time horizon of about two years. And bold quantity easing will double the monetary base.

At last, we will distinguish three components in Abenomics. Abenomics consist of three components; bold monetary policy, flexible fiscal policy and a growth strategy. The expected inflation rate seems to be affected by all Abenomics policy. Especially, we also examine why stock price and foreign exchange rate reached peak after May 2013.

The rest of this paper is organized as follows. Section 2 shows the state of price indexed bond and we explain the Abenomics in section 3. We use BEI rate in Section 4 to examine the effect of the expected inflation for Abenomics and the previous administration. Section 5 concludes. 2．The state of Inflation-indexed bonds

Inflation-indexed bonds are able to reduce the inflation risk, as the principal and coupon increase according to inflation.UK have issued this bond since 1981. In Japan this bond has been issued 16 times until Aug 2008. After Lehman shock (Bankruptcy of Lehman Brothers), this bond suspended temporally because financial market got worse. But Inflation-indexed bonds have reopened since Oct 2013 as financial markets improve. We regard the difference which we calculate from Inflation-indexed bonds and nominal government bonds as the expected inflation rate4.

We find BEI has upward trend from around 0.9% on early 2013 to around 2.0% on May 2013 after Abenomics has attracted a great deal of public attention. But we also find BEI has already risen from around -0.3% on Aug 2011 to around 0.7% on May 2012 under previous administration (see Figure 1).

As redemption of Inflation-indexed bonds is made by bringing the redemption date forward or retirement by purchase, we have only 20% of outstanding in the current market. We should pay attention to use BEI as the expected inflation, as it is not adequate fully to make the price formation (see Table 1). We use the bond which issued after 6 times bond in this study.

4 BEI is not necessarily actual inflation rate because BEI include inflation risk premium. In this study, we take no account of risk premium.

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3. Abenomics We regard Abenomics as the rehabilitation plan for Japanese economy

which have suffered from deflation for a long time. Abenomics consist of three components; bold monetary policy, flexible fiscal policy and a growth strategy that promotes private investment in order to slough off deflation economy in Japan. Though the starting point of Abenomics is the presidential election of Liberal Democratic Party, we assume the starting points is the question time which former prime minster Noda insist on dissolution of the lower house of parliament on Nov 14, 2012 in this study (see Table 2). 3.1 Bold Monetary Policy

“We need bold monetary policy in order to slough off the deflation” Mr. Abe Shinzou spoke on Nov 15 2012. At that time, we demanded a quite different policy for developing economy. Mr. Kuroda Haruhiko took office as president of BOJ on March, 20 2013 and he introduced "Quantitative and Qualitative Monetary Easing" for his first monetary policy meeting on April 4, 2013.

The special feature of "Quantitative and Qualitative Monetary Easing" is the following.

1) The introduction of inflation targeting policy with clear target, deadline. BOJ decided to triple 2 goals. BOJ will supply double the monetary base in order to achieve the price stability target of 2 percent in terms of the year-on-year rate of change in the consumer price index within 2 years.

2) The temporary suspension of the "banknote principle". BOJ will temporarily suspend the so-called banknote principle. This principle indicates that the purchases of JGBs conducted for facilitating money market operations are subject to the limitation that the outstanding amount of long-term government bonds effectively held by BOJ be kept below the outstanding balance of banknotes issued. It was decided at the Monetary Policy Meeting held on March 19, 2001.

But this policy is a quite new and different policy? It is possible to regard

this policy as almost similar policy at previous administration. In previous administration, zero interest rate and quantity easing policy had adopted again on Oct 5, 2010 as a comprehensive monetary easing policy composed of establishing, as a temporary measure, a program on its balance sheet to purchase various financial assets, such as government securities, commercial

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paper (CP), corporate bonds, exchange-traded funds (ETFs), and Japan real estate investment trusts (J-REITs) and to conduct the fixed-rate funds-supplying operation. And BOJ introduced a kind of inflation targeting policy on Feb 14, 2012. In the concrete, BOJ judges "the price stability goal in the medium to long term" to be within a positive range of 2 percent or lower in terms of the year-on-year rate of change in the CPI and, more specifically, sets a goal at 1 percent for the time being.

Compared policy between previous and Abenomics, we find BOJ shows volition to archive the goals by all means such as unlimited monetary base. Based on such recognition, we estimate the policy on two periods in this study (see Table 3). 3.2 Flexible Fiscal Policy

After The Junichi Koizumi administration on April 2001, public investment had decreased largely (see Figure 2). But taking opportunity of huge earthquake on March 2011 and tunnel collapse on Dec 2012, we re-recognize the necessity of public investment in order to protect disaster and maintain the public stock.

The Abe administration concluded Building National Resilience Law and made the positive budget. The budget of public investment was organized on large scale especially such as 20.2 trillion yen Emergency Economic package on Jan 11, 2013.

Taking thought of huge budget deficit in Japan, we suppose budget state grow more serious. 3.3 Growth Strategy

In order for Japan’s economy to achieve more than a recovery and continue stable, long-term growth, it is essential to strengthen Japan’s growth potential by implementing a growth strategy that promotes private investment and increasing labor productivity, while also bringing to the surface potential domestic and overseas demand. In this time, the plan of growth strategy open to public such as inflection of female labor, reform of agriculture system and deregulation.

But these plans are similar with former plans and concrete plans of growth strategy don’t show up to now. 4．Influence for expected inflation in Abenomics

We estimate the effect of Abenomics using the expected inflation rate. As we,

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market participants and policy maker such as BOJ, recognize the rise of expected inflation rate indicates not only real interest decline but also good economic activity, we attach great important to change in expected inflation rate.

As earlier studies mentioned, change in price is caused by several factors such as output gap, supply shock and monetary policy (Higo and Kuroda [2000], Takeda and Yajima [2004]). In this study, we use event-study method and daily data in order to extract the effect of monetary policy only from several factors in price. 4.1 Model and Data

We estimate fluctuation factor in the expected inflation (BEI) rate using autoregressive and several market variables, as the factors of fluctuation in BEI include policy variables, market variables such as stock price and foreign exchange rate. As above mentioned, Abenomics consists of fiscal policy and growth strategy also. So we use market variables as control variables in order to get rid of news about Abenomics such as short-term rate (TIBOR 3ms) rate, stock price (Nikkei 225) and foreign exchange rate (FOX). We use inflation-indexed bond after 6 issue number, so estimation period is from each Inflation-indexed bonds issue date to Sept 10. 2013.

Regarding to the direct effect of Abenomics, we use dummy variables which put on 1 after just news release affected by Abenomics, and which put on zero before release including articles in newspapers (see Table 2, Table 3). We use logarithmic conversion data with 5 days lag, as the data in estimation equation are checked by unit-root test and AIC test.

We estimate BEI equation as follow; log(BEIt) = Constant

+�αjDjt +�βlog(Tibor3mst) + �γlog(Nikke225t)j

+�δlog(Foxt)

where Dji are dummy variables which put on 1 after just news release day t = j affected by Abenomics (see Table 4).

Whether this equation meets the conditions, we examine Breusch-Godfrey Serial Correlation LM Test for serial correlation and Breusch-Pagan-Godfrey test for heterogeneous dispersion. 4.2 Effect of Monetary Policy

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We find around 1.4～1.7% (1.1～1.6% in case of including call rate) in expected inflation rate was climbed by monetary policy under previous administration in all unexpectedly. But we also check the decline of expected inflation immediately after policy change. It is possible to insist that policy change run counter to our expectations (see Table 5 and Table 7).

On the other hand, after Abenomics, around 0.9～1.5% (0.9～1.3% in case of including call rate) in expected inflation rate was climbed in all unexpectedly. But when we estimate until April 2013, we find the effect of monetary policy is larger than previous. Expected inflation rate rose around 1.1～1.9%. After May 2013, the effect diminished because we disappointed to Abenomics little by little (see Table 8). 4.3 Other Abenomics effect

We find it is largest for expected inflation to be affected by the change of government. And among Abenomics, monetary policy leads to raise expected inflation largely. But fiscal policy and growth strategy make expected inflation decline because of reflecting our disappointment to Abenomics, we suppose (see Table 6 and Table 9). 5. Brief remarks

We confirm Abenomics make expected inflation climb significantly. But we find the effect of easing policy under previous administration is larger than Abenomics. We suppose this reason is caused by our expectation affected by the change of government mainly.

We put our hopes to previous administration too much. After change from Liberal Democratic Party Government on Sept 2009, we expected that Japanese old system was improved and economy recovered immediately. But we disappointed the Democratic Party Government largely. So we desire that return to power lead to better situation than previous. At the moment, we come out of wildly excitement for Abenomics. In fact, after May 2013, expected inflation level off or is rather decline.

As section 2 mentioned, we have only 20% of outstanding in the current market. We should pay attention to use BEI as the expected inflation, as it is not adequate fully to make the price formation.

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Reference 1. Bureau of Economic Analysis, 2011, “Concepts and Methods of the U.S. National

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4. Eurostat, 2005, “New reference year 2005=100 for Harmonized Indices of Consumer Prices”, News release, 146/2005, Nov 16, 2005.

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11. Mishkin, Frederic S, 2007, “Headline versus Core Inflation in the Conduct of Monetary Policy,” Speech presented at the Business Cycles, International Transmission and Macroeconomic Policies Conference, HEC Montreal, Montreal, Canada, October 20, 2007.

12. Miwa. H and Maruyama. Y, 2011, “The possibility of added easing Monetary Policy”, Economic Monitor, No.2010-008. (in Japanese)

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Index”, Dec 2007. (in Japanese) 15. Office for National statistics (ONS), 2005, “Consumer Prices Index to be rebased

in February”, News Release, Dec 13, 2005.

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17. Statistics Canada, 2011, “Detailed information for December 2011”. 18. Statistics Sweden, 2006, “Index numbers with two decimals from 2006”,

2006-02-14.

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Figure 1: Break Even inflation rate of each issue number

Figure 2: Public investment as percentage of nominal GDP

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

Break Even inflation rate of each issue number

BEI1 BEI2 BEI3 BEI4 BEI5 BEI6

BEI7 BEI8 BEI9 BEI10 BEI11 BEI12

BEI13 BEI14 BEI15 BEI16

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

5502 5904 6402 6804 7302 7704 8202 8604 9102 9504 200002 200404 200902 201304（Quarterly）

Public Investment as a percentage of nominal GDP

USA

JPN

Note: JPN data is 68SNA base before 1979, after 1980 93SNA base

Source: JPN Cabinet "Syatem of National Accounts", USA Bureau of Economic Analysis

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Table 1: History of Inflation-indexed bonds（at Oct 2013）

（Hundred million yen）

outstanding in financial market

issue

number

Maturity

Date

year until

maturity

Date

ratio of market

outstanding

1 Mar 10 2014 0.44 998 3 272 723 72.4%

2 Jun 10 2014 0.69 2995 90 2473 432 14.4%

3 Dec 10 2014 1.19 5004 435 3674 895 17.9%

4 Jun 10 2015 1.69 5282 567 3969 746 14.1%

5 Sep 10 2015 1.95 5435 244 4364 827 15.2%

6 Dec 10 2015 2.19 5084 699 3643 742 14.6%

7 Mar 10 2016 2.44 4997 341 3984 672 13.4%

8 Jun 10 2016 2.70 9996 1532 7161 1303 13.0%

9 Sep 10 2016 2.95 4997 590 3126 1281 25.6%

10 Dec 10 2016 3.20 10334 1430 7188 1716 16.6%

11 Mar 10 2017 3.44 5044 522 3476 1046 20.7%

12 Jun 10 2017 3.70 10254 1444 7192 1618 15.8%

13 Sep 10 2017 3.95 5005 302 3762 941 18.8%

14 Dec 10 2017 4.20 10133 2003 6105 2025 20.0%

15 Mar 10 2018 4.44 5395 532 3908 955 17.7%

16 Jun 10 2018 4.70 10493 1230 5687 3576 34.1%

17 Sep 10 2023 9.95 3437

104883 11964 69984 19498 18.6%

Security

amount of

issue

oustanding

by BOJ

retirement by

purchase

Total

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Table 2: Abenomics and Dummy variables

Abenomics Monetary policy

D11 A11 Nov 15 2012 Mr.Abe, "We need bold monetary policy in order to slough off the deflation"

Nov 16 2012 Mr.Abe, "We need to examine the revision of BOJ law"

D12 A12 Dec 18 2012 Mr.Abe have a talk with President of BOJ about inflation targeting

Dec 20 2012 Shirakawa BOJ president, "Respond to Mr.Abe's request"

D13 A13 Jan 22 2013 BOJ release, "we set 2% of CPI in inflation targeting"

Feb 5 2013 Shirakawa BOJ president express resignation of president.

D14 A14 Feb 25 2013 Unofficial decision for BOJ president, Mr.Kuroda will take office.

A15 Mar 4 2013 Mr.Kuroda, "Whatever we can do it in order to slough off deflation"

D15 A16 Apr 4 2013 BOJ introduced "Quantitative and Qualitative Monetary Easing"

A17 Apr 26 2013 BOJ will continue with same policy

A18 May 22 2013 BOJ will continue with same policy

A19 Jun 11 2013 BOJ will continue with same policy

A20 Jul 11 2013 BOJ will continue with same policy

A21 Aug 8 2013 BOJ will continue with same policy

A22 Sep 5 2013 BOJ will continue with same policy

Nov 21 2012 Release public commitment of The LDP

D21 Dec 19 2012 Draw up a plan of 10 trillion yen Supplementary Budget

D22 Dec 26 2012 Start Abe cabinet, he express development of Building National Resilience

D23 Jan 15 2013 Decision 13.1 trillion yen Supplementary Budget

D24 May 20 2013 Submit a bill of Building National Resilience Law

D25 Jun 7 2013 Postpone finance reform plan in Japan Revitalization Strategy

Aug 27 2013 Increase Public investment on pretext for disaster prevention

D31 Jan 11 2013 20.2 trillion yen Emergency Economic package released

D32 Mar 15 2013 Prime minister Abe express "Get to the negotiating table on TPP"

Apr 17 2013 To step up Special Economic Zones as Abenomics

D33 Apr 19 2013 First Growth strategy; inflection of female labor

D34 May 17 2013 Second Growth strategy; reform of agriculture system

D35 Jun 5 2013 Third Growth strategy; deregulation

D36 Jun 14 2013 Prime minister Abe express Basic policies foreconomic reform.

Jun 19 2013 Prime minister Abe lecture on new growth strategy

Aug 1 2013 Release the essential features of medium-term fiscal plan

D37 Aug 30 2013 Release the largest request of the budget of FY2014

D41 Sep 12 2012 Mr. Abe declaration of candidacy for the leader of the LDP

D42 Sep 26 2012 Mr.Abe was inaugurated as leader of the LDP

D43 Nov 14 2012 Prime Minister Noda said Dissolution of the House of Representatives

D44 Nov 16 2012 Dissolution of the House of Representatives

D45 Dec 16 2012 Election of the House of Representatives

D46 Jul 21 2013 Election of the House of Councilors

Date News

Moneta

ry P

olic

yG

row

th s

trate

gy

Politic

sFis

cal P

olic

y

Dummy Variables

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Table 3: Previous administration (Democratic Party Gov) and Dummy variables

Table 4: Each estimation periods

Abenomics Monetary policy

M11 Aug 30 2010 Enhancement of Easy Monetary Conditions

M12 Oct 5 2010 Return to zero interest rate and quantity easing policy

M13 Mar 14 2011Decision to increase the amount of the Asset Purchase Program to 40

trillion yen

M14 Jun 14 2011 Establishment of New Line of Credit

M15 Aug 4 2011Decision to increase the amount of the Asset Purchase Program to 50

trillion yen

M16 Oct 27 2011Decision to increase the amount of the Asset Purchase Program to 55

trillion yen

M17 Feb 14 2012Publishment of the price stability goal in the medium to long term, Decision

to increase the amount of the Asset Purchase Program to 65 trillion yen

M18 Mar 13 2012 New Arrangement for Loans for Small-Lot Investments and Loans

M19 Apr 27 2012Decision to increase the amount of the Asset Purchase Program to 70

trillion yen

M20 Sep 19 2012Decision to increase the amount of the Asset Purchase Program to 80

trillion yen

M21 Oct 30 2012Release accord between Government and BOJ, Decision to increase the

amount of the Asset Purchase Program to 91 trillion yen

M22 Dec 20 2012Decision to increase the amount of the Asset Purchase Program to 101

trillion yen

Dummy Variables Date News

issue number of

inflation-indexed

bonds

estimation period

1 Jan 4, 2005～Sept 10, 2013

2 Jan 4, 2005～Sept 10, 2013

3 Jan 4, 2005～Sept 10, 2013

4 Jun 23, 2005～Sept 10, 2013

5 Sept 26, 2005～Sept 10, 2013

6 Dec 26, 2005～Sept 10, 2013

7 March 24, 2006～Sept 10, 2013

8 Jun 7, 2006～Sept 10, 2013

9 Oct 6, 2006～Sept 10, 2013

10 Dec 8, 2006～Sept 10, 2013

11 April 6, 2007～Sept 10, 2013

12 Jun 8, 2007～Sept 10, 2013

13 Oct 5, 2007～Sept 10, 2013

14 Dec 7, 2007～Sept 10, 2013

15 April 4, 2008～Sept 10, 2013

16 Jun 6, 2008～Sept 10, 2013

17 -

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Table 5: Estimation results for Abenomics and previous administration (summary)

Table 6: Estimation results for Abenomics separately (summary)

issue number 6 7 8 9 10 11 12 13 14 15 16

（Abenomics）

Total effects 0.94% 1.11% 1.22% 0.98% 1.13% 1.17% 1.30% 1.48% 1.30% 1.47% 1.31%

Before quantity policy 1.13% 1.23% 1.81% 1.62% 1.70% 1.70% 1.81% 1.93% 1.75% 1.87% 1.70%

After quantity policy -0.19% -0.12% -0.59% -0.64% -0.57% -0.53% -0.51% -0.45% -0.45% -0.40% -0.39%

（previous administration）

Total effects 1.40% 1.42% 1.75% 1.51% 1.61% 1.68% 1.54% 1.56% 1.53% 1.46% 1.48%

Before inflation target 1.06% 0.94% 1.24% 0.88% 1.03% 1.05% 0.82% 1.08% 1.08% 1.25% 1.19%

After inflation target 0.34% 0.48% 0.51% 0.62% 0.59% 0.62% 0.72% 0.49% 0.45% 0.20% 0.30%

Note; This figure is calculated by amount of estimated parameter of dummy variables in each issue number.

issue number 6 7 8 9 10 11 12 13 14 15 16

Total effects 0.94% 0.98% 1.00% 1.14% 1.30% 1.42% 1.38% 1.19% 1.22% 1.08% 1.48%

Monetary policy 0.20% 0.17% 0.30% 0.47% 0.50% 0.43% 0.34% 0.27% 0.34% 0.24% 0.27%

Before quantity policy 1.07% 1.07% 1.50% 1.66% 1.80% 1.89% 1.80% 1.59% 1.53% 1.41% 1.63%

After quantity policy -0.13% -0.09% -0.50% -0.51% -0.50% -0.47% -0.42% -0.41% -0.31% -0.33% -0.15%

Fiscal policy -0.26% -0.11% -0.23% -0.06% 0.24% 0.08% 0.06% -0.01% -0.17% 0.20% 0.04%

Growth strategy -0.11% -0.27% -0.47% -0.53% -0.81% -0.42% -0.37% -0.30% -0.06% -0.27% -0.08%

Politics 1.10% 1.20% 1.41% 1.26% 1.37% 1.33% 1.35% 1.23% 1.10% 0.89% 1.24%

Note; This figure is calculated by amount of estimated parameter of dummy variables in each issue number.

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Table 7: Estimation results for previous administration monetary policy (Detail)

issue number

（Arch） Coefficient Std. Error z-Statistic Prob. Coefficient Std. Error z-Statistic Prob. Coefficient Std. Error z-Statistic Prob. Coefficient Std. Error z-Statistic Prob.

Constant -0.296 0.001 -391.415 0.000 -0.289 0.001 -398.521 0.000 -0.292 0.001 -324.696 0.000 -0.236 0.001 -315.187 0.000

one-day-old Tibor 3ms 0.020 0.005 3.833 0.000 0.008 0.000 35.239 0.000 0.001 0.006 0.199 0.843 0.012 0.006 2.065 0.039

two-day-old Tibor 3ms -0.004 0.007 -0.578 0.563 0.014 0.004 3.180 0.002 0.013 0.009 1.485 0.138 0.017 0.011 1.540 0.124

three-day-old Tibor 3ms -0.016 0.003 -4.930 0.000 -0.007 0.003 -2.357 0.018 -0.007 0.006 -1.350 0.177 -0.007 0.007 -1.105 0.269

four-day-old Tibor 3ms -0.015 0.002 -6.550 0.000 -0.013 0.005 -2.792 0.005 -0.018 0.002 -8.278 0.000 -0.021 0.002 -8.729 0.000

fivw-day-old Tibor 3ms 0.005 0.002 2.540 0.011 -0.010 0.003 -3.065 0.002 0.005 0.001 3.362 0.001 0.002 0.002 1.052 0.293

one-day-old Nikkei 225 0.008 0.001 11.917 0.000 0.007 0.001 10.882 0.000 0.006 0.000 555.960 0.000 0.008 0.001 10.755 0.000

two-day-old Nikkei 225 0.005 0.001 5.323 0.000 0.005 0.000 27.114 0.000 0.004 0.001 4.799 0.000 0.007 0.001 6.575 0.000

three-day-old Nikkei 225 0.005 0.001 4.380 0.000 0.008 0.001 11.636 0.000 0.003 0.000 335.042 0.000 0.004 0.001 3.812 0.000

four-day-old Nikkei 225 0.007 0.001 7.699 0.000 0.006 0.000 13.976 0.000 0.004 0.001 5.436 0.000 0.006 0.001 6.311 0.000

fivw-day-old Nikkei 225 0.014 0.001 19.723 0.000 0.013 0.000 65.730 0.000 0.019 0.001 23.703 0.000 0.019 0.000 39.673 0.000

one-day-old FOX 0.002 0.002 1.264 0.206 0.004 0.001 3.098 0.002 0.003 0.002 1.301 0.193 -0.002 0.002 -1.558 0.119

two-day-old FOX 0.000 0.002 0.036 0.972 0.000 0.000 -58.678 0.000 -0.001 0.002 -0.615 0.539 -0.006 0.002 -2.855 0.004

three-day-old FOX -0.001 0.003 -0.271 0.786 -0.006 0.001 -6.691 0.000 0.008 0.002 3.435 0.001 -0.001 0.002 -0.409 0.682

four-day-old FOX -0.002 0.003 -0.904 0.366 -0.007 0.000 -76.277 0.000 -0.001 0.001 -1.134 0.257 -0.007 0.003 -2.555 0.011

fivw-day-old FOX -0.014 0.002 -7.657 0.000 -0.009 0.001 -16.902 0.000 -0.018 0.002 -9.080 0.000 -0.024 0.002 -12.905 0.000

Dummy M11 0.003 0.000 16.139 0.000 0.003 0.000 29.285 0.000 0.002 0.000 14.232 0.000 0.000 0.000 0.047 0.962

Dummy M12 0.000 0.000 2.570 0.010 0.000 0.000 -4.782 0.000 0.000 0.000 0.821 0.412 0.000 0.000 -0.688 0.492

Dummy M13 0.005 0.000 59.112 0.000 0.004 0.000 68.230 0.000 0.005 0.000 61.286 0.000 0.005 0.000 77.765 0.000

Dummy M14 0.001 0.000 8.823 0.000 0.001 0.000 6.923 0.000 0.002 0.000 10.382 0.000 0.001 0.000 8.690 0.000

Dummy M15 0.001 0.000 6.445 0.000 0.001 0.000 8.084 0.000 0.000 0.000 0.913 0.361 0.001 0.000 4.765 0.000

Dummy M16 0.001 0.000 7.099 0.000 0.001 0.000 9.339 0.000 0.004 0.000 30.384 0.000 0.002 0.000 24.542 0.000

Dummy M17 -0.003 0.000 -25.473 0.000 -0.003 0.000 -26.615 0.000 -0.002 0.000 -18.203 0.000 -0.001 0.000 -12.445 0.000

Dummy M18 -0.001 0.000 -4.878 0.000 0.000 0.000 -4.083 0.000 0.001 0.000 6.700 0.000 0.000 0.000 3.437 0.001

Dummy M19 0.009 0.000 86.439 0.000 0.010 0.000 106.984 0.000 0.008 0.000 105.821 0.000 0.008 0.000 72.912 0.000

Dummy M20 0.002 0.000 14.302 0.000 0.003 0.000 21.123 0.000 0.002 0.000 12.398 0.000 0.001 0.000 12.729 0.000

Dummy M21 0.000 0.000 -0.253 0.800 0.000 0.000 3.020 0.003 0.000 0.000 2.905 0.004 0.001 0.000 3.663 0.000

Dummy M22 -0.003 0.000 -30.046 0.000 -0.005 0.000 -56.941 0.000 -0.004 0.000 -30.461 0.000 -0.003 0.000 -25.352 0.000

Total effects 0.014 0.014 0.017 0.015

Before inflation target 0.011 0.009 0.012 0.009

After inflation target 0.003 0.005 0.005 0.006

Observation 1895.000 1835 1785 1700

R^Square 0.909 0.909 0.911 0.923

Arch test 0.069 0.060 0.044 0.120

6 7 8 9

issue number（Arch） Coefficient Std. Error z-Statistic Prob. Coefficient Std. Error z-Statistic Prob. Coefficient Std. Error z-Statistic Prob. Coefficient Std. Error z-Statistic Prob.

Constant -0.252 0.001 -285.950 0.000 -0.237 0.001 -225.655 0.000 -0.220 0.001 -157.646 0.000 -0.273 0.002 -128.529 0.000


two-day-old Tibor 3ms 0.017 0.009 1.931 0.054 0.014 0.003 4.262 0.000 0.016 0.009 1.856 0.064 0.016 0.012 1.390 0.165



fivw-day-old Tibor 3ms 0.005 0.002 2.678 0.007 0.007 0.004 1.568 0.117 0.002 0.002 0.691 0.490 -0.006 0.003 -2.000 0.046






one-day-old FOX -0.001 0.001 -0.835 0.404 -0.004 0.001 -2.884 0.004 -0.004 0.002 -1.793 0.073 -0.006 0.002 -2.783 0.005

two-day-old FOX -0.007 0.002 -3.313 0.001 -0.004 0.001 -5.990 0.000 -0.005 0.003 -1.666 0.096 -0.004 0.003 -1.544 0.123

three-day-old FOX -0.001 0.002 -0.475 0.635 -0.001 0.000 -3.212 0.001 -0.004 0.002 -1.545 0.122 -0.005 0.003 -1.927 0.054

four-day-old FOX -0.004 0.000 -10.913 0.000 -0.006 0.001 -5.079 0.000 -0.007 0.002 -3.032 0.002 0.000 0.003 -0.179 0.858

fivw-day-old FOX -0.020 0.000 -1429.602 0.000 -0.021 0.000 -828.144 0.000 -0.022 0.002 -10.440 0.000 -0.009 0.002 -3.843 0.000

Dummy M11 0.003 0.000 25.294 0.000 0.002 0.000 10.057 0.000 0.000 0.000 -1.922 0.055 0.003 0.000 21.961 0.000

Dummy M12 -0.002 0.000 -15.133 0.000 0.000 0.000 -2.186 0.029 0.000 0.000 -0.217 0.828 -0.002 0.000 -11.108 0.000

Dummy M13 0.005 0.000 64.163 0.000 0.006 0.000 56.724 0.000 0.006 0.000 68.164 0.000 0.004 0.000 53.625 0.000

Dummy M14 0.001 0.000 6.868 0.000 0.001 0.000 7.243 0.000 0.000 0.000 1.337 0.181 0.001 0.000 8.287 0.000

Dummy M15 -0.001 0.000 -5.105 0.000 0.000 0.000 1.085 0.278 0.000 0.000 2.397 0.017 0.001 0.000 4.366 0.000

Dummy M16 0.004 0.000 32.372 0.000 0.002 0.000 28.685 0.000 0.002 0.000 29.842 0.000 0.003 0.000 34.104 0.000

Dummy M17 -0.002 0.000 -13.423 0.000 -0.001 0.000 -10.859 0.000 -0.001 0.000 -10.598 0.000 -0.001 0.000 -16.171 0.000

Dummy M18 0.000 0.000 2.468 0.014 0.000 0.000 2.922 0.004 0.000 0.000 3.418 0.001 0.000 0.000 1.006 0.315

Dummy M19 0.009 0.000 70.883 0.000 0.008 0.000 65.404 0.000 0.008 0.000 64.445 0.000 0.008 0.000 54.185 0.000

Dummy M20 0.001 0.000 10.729 0.000 0.001 0.000 9.330 0.000 0.001 0.000 7.998 0.000 0.001 0.000 5.648 0.000

Dummy M21 0.001 0.000 3.796 0.000 0.001 0.000 3.404 0.001 0.001 0.000 3.530 0.000 0.000 0.000 2.811 0.005

Dummy M22 -0.003 0.000 -26.904 0.000 -0.003 0.000 -21.704 0.000 -0.002 0.000 -14.011 0.000 -0.003 0.000 -20.269 0.000

Total effects 0.016 0.017 0.015 0.016

Before inflation target 0.010 0.011 0.008 0.011

After inflation target 0.006 0.006 0.007 0.005

Observation 1658.000 1579 1537 1455

R^Square 0.932 0.931 0.922 0.922

Arch test 0.015 0.267 0.015 0.011

10 11 12 13

issue number（Arch） Coefficient Std. Error z-Statistic Prob. Coefficient Std. Error z-Statistic Prob. Coefficient Std. Error z-Statistic Prob.

Constant -0.302 0.002 -132.321 0.000 -0.318 0.003 -125.657 0.000 -0.331 0.003 -128.416 0.000

one-day-old Tibor 3ms 0.011 0.008 1.285 0.199 0.014 0.010 1.409 0.159 0.020 0.005 4.133 0.000

two-day-old Tibor 3ms 0.016 0.012 1.347 0.178 0.018 0.014 1.289 0.197 0.016 0.003 5.003 0.000

three-day-old Tibor 3ms -0.005 0.005 -0.963 0.336 -0.004 0.012 -0.351 0.726 0.000 0.004 -0.054 0.957

four-day-old Tibor 3ms -0.017 0.003 -5.491 0.000 -0.029 0.006 -4.452 0.000 -0.026 0.006 -4.506 0.000

fivw-day-old Tibor 3ms -0.003 0.003 -1.113 0.266 0.002 0.004 0.532 0.595 -0.007 0.004 -1.833 0.067

one-day-old Nikkei 225 0.008 0.001 7.885 0.000 0.009 0.001 8.505 0.000 0.009 0.001 9.722 0.000

two-day-old Nikkei 225 0.007 0.001 7.385 0.000 0.008 0.001 7.002 0.000 0.006 0.001 6.538 0.000

three-day-old Nikkei 225 0.006 0.000 45.102 0.000 0.003 0.001 2.783 0.005 0.006 0.001 6.721 0.000

four-day-old Nikkei 225 0.006 0.000 13.756 0.000 0.005 0.001 4.301 0.000 0.004 0.001 4.939 0.000

fivw-day-old Nikkei 225 0.013 0.000 237.504 0.000 0.016 0.001 20.463 0.000 0.014 0.000 76.002 0.000

one-day-old FOX -0.005 0.002 -2.541 0.011 0.005 0.002 2.900 0.004 0.000 0.001 -0.489 0.625

two-day-old FOX 0.000 0.002 -0.058 0.954 -0.002 0.002 -1.141 0.254 -0.004 0.001 -3.208 0.001

three-day-old FOX -0.004 0.000 -32.371 0.000 0.000 0.002 -0.125 0.900 0.006 0.000 30.328 0.000

four-day-old FOX -0.002 0.000 -4.649 0.000 -0.002 0.003 -0.852 0.394 0.001 0.002 0.664 0.507

fivw-day-old FOX -0.007 0.000 -117.523 0.000 -0.013 0.002 -6.430 0.000 -0.012 0.000 -243.162 0.000

Dummy M11 0.004 0.000 28.427 0.000 0.005 0.000 34.095 0.000 0.004 0.000 26.168 0.000

Dummy M12 -0.002 0.000 -12.270 0.000 -0.002 0.000 -12.405 0.000 -0.002 0.000 -9.390 0.000

Dummy M13 0.004 0.000 46.853 0.000 0.006 0.000 76.715 0.000 0.004 0.000 54.991 0.000

Dummy M14 0.001 0.000 4.156 0.000 0.001 0.000 3.814 0.000 0.000 0.000 2.178 0.029

Dummy M15 0.000 0.000 0.482 0.630 0.001 0.000 7.689 0.000 0.001 0.000 4.454 0.000

Dummy M16 0.004 0.000 32.941 0.000 0.002 0.000 26.010 0.000 0.004 0.000 35.253 0.000

Dummy M17 -0.001 0.000 -12.715 0.000 -0.003 0.000 -18.758 0.000 -0.002 0.000 -16.005 0.000

Dummy M18 0.000 0.000 1.416 0.157 0.000 0.000 1.265 0.206 0.000 0.000 1.848 0.065

Dummy M19 0.008 0.000 60.828 0.000 0.008 0.000 71.334 0.000 0.009 0.000 74.800 0.000

Dummy M20 0.001 0.000 4.625 0.000 0.000 0.000 3.563 0.000 0.001 0.000 3.982 0.000

Dummy M21 0.000 0.000 2.185 0.029 0.000 0.000 3.005 0.003 0.000 0.000 2.231 0.026

Dummy M22 -0.004 0.000 -23.836 0.000 -0.005 0.000 -30.276 0.000 -0.005 0.000 -32.540 0.000

Total effects 0.015 0.015 0.015

Before inflation target 0.011 0.013 0.012

After inflation target 0.005 0.002 0.003

Observation 1412.000 1335 1293

R^Square 0.930 0.935 0.929

Arch test 0.006 0.021 0.000

14 15 16

16

Table 8: Estimation results for Abenomics monetary policy (Detail)

issue number


Constant -0.242 0.001 -303.040 0.000 -0.234 0.001 -292.883 0.000 -0.239 0.001 -264.186 0.000 -0.208 0.001 -203.863 0.000


two-day-old Tibor 3ms 0.009 0.017 0.553 0.580 -0.002 0.000 -8.760 0.000 0.013 0.016 0.828 0.408 -0.001 0.016 -0.065 0.948

three-day-old Tibor 3ms -0.007 0.017 -0.404 0.686 0.006 0.002 2.798 0.005 -0.003 0.017 -0.177 0.860 -0.006 0.017 -0.359 0.720


fivw-day-old Tibor 3ms -0.006 0.007 -0.809 0.418 -0.021 0.004 -4.697 0.000 -0.015 0.006 -2.345 0.019 -0.028 0.006 -4.578 0.000






one-day-old FOX -0.007 0.003 -2.486 0.013 -0.003 0.001 -2.757 0.006 -0.001 0.003 -0.466 0.641 -0.004 0.004 -0.987 0.323

two-day-old FOX -0.002 0.003 -0.570 0.569 -0.002 0.002 -1.399 0.162 -0.004 0.003 -1.513 0.130 -0.002 0.005 -0.392 0.695

three-day-old FOX 0.003 0.003 0.852 0.394 -0.001 0.001 -1.638 0.101 -0.002 0.003 -0.635 0.525 0.001 0.004 0.355 0.723

four-day-old FOX -0.010 0.003 -3.462 0.001 -0.011 0.001 -14.565 0.000 -0.010 0.003 -3.660 0.000 -0.012 0.004 -3.378 0.001

fivw-day-old FOX -0.042 0.002 -21.027 0.000 -0.048 0.001 -60.407 0.000 -0.047 0.002 -22.858 0.000 -0.056 0.002 -24.404 0.000

Dummy A11 0.011 0.000 80.465 0.000 0.012 0.000 79.899 0.000 0.015 0.000 97.735 0.000 0.013 0.000 76.998 0.000

Dummy A12 -0.002 0.000 -11.365 0.000 -0.002 0.000 -9.633 0.000 -0.002 0.000 -8.873 0.000 -0.002 0.000 -8.532 0.000

Dummy A13 0.001 0.000 3.986 0.000 0.001 0.000 5.308 0.000 0.001 0.000 9.644 0.000 0.002 0.000 8.496 0.000

Dummy A14 0.002 0.000 4.385 0.000 0.002 0.000 5.673 0.000 0.004 0.000 24.865 0.000 0.004 0.001 4.894 0.000

Dummy A15 0.000 0.000 0.393 0.694 0.000 0.000 1.142 0.253 0.000 0.000 2.251 0.024 0.000 0.001 0.195 0.846

Dummy A16 -0.001 0.000 -3.796 0.000 -0.001 0.000 -4.151 0.000 -0.001 0.000 -5.468 0.000 -0.001 0.000 -3.502 0.001

Dummy A17 -0.001 0.000 -6.855 0.000 -0.001 0.000 -5.126 0.000 -0.001 0.000 -6.664 0.000 -0.002 0.000 -7.434 0.000

Dummy A18 -0.001 0.000 -7.187 0.000 -0.002 0.000 -9.672 0.000 -0.003 0.000 -13.718 0.000 -0.002 0.000 -9.935 0.000

Dummy A19 0.000 0.000 -1.839 0.066 0.000 0.000 0.722 0.470 -0.001 0.000 -9.850 0.000 -0.002 0.000 -6.245 0.000

Dummy A20 -0.001 0.000 -10.000 0.000 -0.001 0.000 -6.980 0.000 -0.002 0.000 -12.249 0.000 -0.002 0.000 -6.066 0.000

Dummy A21 0.003 0.000 12.720 0.000 0.003 0.000 13.844 0.000 0.002 0.000 15.302 0.000 0.002 0.000 9.618 0.000

Dummy A22 -0.001 0.000 -1.873 0.061 0.000 0.000 -1.284 0.199 -0.001 0.000 -3.998 0.000 -0.001 0.000 -2.682 0.007

Total effects 0.009 0.011 0.012 0.010

Before quantity policy 0.011 0.012 0.018 0.016

After quantity policy -0.002 -0.001 -0.006 -0.006

Observation 1895 1835 1785 1700

R^Square 0.823 0.802 0.736 0.778

Arch test 0.000 0.001 0.000 0.000

6 7 8 9


Constant -0.209 0.001 -231.514 0.000 -0.203 0.001 -143.562 0.000 -0.169 0.002 -102.472 0.000 -0.111 0.002 -52.151 0.000


two-day-old Tibor 3ms 0.015 0.014 1.090 0.276 0.004 0.020 0.187 0.851 0.008 0.025 0.326 0.744 0.006 0.019 0.295 0.768

three-day-old Tibor 3ms -0.002 0.017 -0.136 0.892 -0.007 0.012 -0.534 0.594 0.017 0.023 0.750 0.453 0.004 0.013 0.320 0.749


fivw-day-old Tibor 3ms -0.015 0.008 -2.000 0.046 -0.018 0.004 -4.134 0.000 -0.052 0.004 -13.805 0.000 -0.014 0.003 -4.326 0.000






one-day-old FOX -0.004 0.003 -1.672 0.095 -0.003 0.003 -0.956 0.339 -0.005 0.003 -1.537 0.124 -0.008 0.003 -2.806 0.005

two-day-old FOX -0.010 0.003 -3.172 0.002 0.001 0.003 0.264 0.791 -0.008 0.003 -2.239 0.025 -0.006 0.003 -1.705 0.088

three-day-old FOX 0.000 0.003 -0.044 0.965 -0.006 0.003 -1.875 0.061 -0.001 0.004 -0.328 0.743 -0.005 0.003 -1.560 0.119

four-day-old FOX -0.014 0.003 -4.570 0.000 -0.010 0.003 -3.121 0.002 -0.008 0.004 -1.993 0.046 -0.013 0.003 -4.201 0.000

fivw-day-old FOX -0.039 0.002 -22.997 0.000 -0.049 0.002 -24.147 0.000 -0.053 0.002 -21.397 0.000 -0.043 0.002 -17.447 0.000

Dummy A11 0.014 0.000 102.826 0.000 0.014 0.000 88.436 0.000 0.013 0.000 77.265 0.000 0.012 0.000 96.204 0.000

Dummy A12 -0.002 0.000 -10.564 0.000 -0.002 0.000 -6.977 0.000 -0.001 0.000 -5.268 0.000 0.000 0.000 -2.612 0.009

Dummy A13 0.002 0.000 10.237 0.000 0.002 0.000 8.173 0.000 0.002 0.000 11.044 0.000 0.003 0.000 19.016 0.000

Dummy A14 0.003 0.000 28.396 0.000 0.004 0.001 6.886 0.000 0.004 0.000 9.749 0.000 0.003 0.000 7.809 0.000

Dummy A15 0.000 0.000 0.819 0.413 0.000 0.001 0.274 0.784 0.000 0.000 0.453 0.651 0.000 0.000 1.254 0.210

Dummy A16 -0.001 0.000 -5.357 0.000 -0.001 0.000 -4.975 0.000 0.000 0.000 -1.725 0.085 0.000 0.000 2.352 0.019

Dummy A17 -0.001 0.000 -5.847 0.000 -0.001 0.000 -5.528 0.000 -0.001 0.000 -3.851 0.000 0.000 0.000 -2.215 0.027

Dummy A18 -0.002 0.000 -10.722 0.000 -0.002 0.000 -9.482 0.000 -0.001 0.000 -6.768 0.000 -0.002 0.000 -14.411 0.000

Dummy A19 -0.002 0.000 -15.012 0.000 -0.002 0.000 -10.780 0.000 -0.003 0.000 -14.849 0.000 -0.002 0.000 -13.578 0.000

Dummy A20 -0.001 0.000 -9.833 0.000 -0.002 0.000 -13.330 0.000 -0.002 0.000 -8.117 0.000 -0.001 0.000 -8.557 0.000

Dummy A21 0.001 0.000 8.103 0.000 0.002 0.000 8.791 0.000 0.002 0.000 7.760 0.000 0.002 0.000 8.555 0.000

Dummy A22 -0.001 0.000 -3.195 0.001 -0.001 0.000 -1.659 0.097 0.000 0.000 -1.189 0.235 0.000 0.000 -1.435 0.151

Total effects 0.011 0.012 0.013 0.015



Observation 1658.000 1579 1537 1455

R^Square 0.756 0.738 0.751 0.746

Arch test 0.000 0.004 0.045 0.000

10 11 12 13


Constant -0.148 0.003 -50.731 0.000 -0.090 0.004 -25.356 0.000 -0.096 0.004 -26.326 0.000

one-day-old Tibor 3ms 0.038 0.005 7.246 0.000 0.034 0.006 5.891 0.000 0.025 0.016 1.500 0.134

two-day-old Tibor 3ms 0.005 0.000 13.549 0.000 -0.001 0.018 -0.061 0.951 -0.002 0.024 -0.064 0.949

three-day-old Tibor 3ms 0.012 0.000 70.009 0.000 0.009 0.016 0.559 0.576 0.002 0.006 0.400 0.689


fivw-day-old Tibor 3ms -0.027 0.004 -6.976 0.000 -0.009 0.013 -0.674 0.500 -0.005 0.008 -0.622 0.534



three-day-old Nikkei 225 0.004 0.001 2.690 0.007 0.006 0.002 3.723 0.000 0.002 0.002 1.196 0.232



one-day-old FOX -0.003 0.002 -1.254 0.210 -0.001 0.004 -0.237 0.813 0.009 0.003 3.050 0.002

two-day-old FOX -0.003 0.002 -1.529 0.126 -0.007 0.005 -1.423 0.155 0.004 0.004 0.996 0.319

three-day-old FOX -0.001 0.002 -0.672 0.502 -0.006 0.005 -1.331 0.183 0.000 0.005 0.074 0.941

four-day-old FOX -0.015 0.000 -41.834 0.000 -0.008 0.005 -1.521 0.128 -0.006 0.005 -1.285 0.199

fivw-day-old FOX -0.050 0.000 -138.127 0.000 -0.061 0.004 -17.114 0.000 -0.061 0.003 -18.790 0.000

Dummy A11 0.012 0.000 76.672 0.000 0.011 0.000 64.831 0.000 0.012 0.000 75.757 0.000

Dummy A12 -0.001 0.000 -4.510 0.000 0.000 0.000 -1.325 0.185 -0.001 0.000 -3.402 0.001

Dummy A13 0.003 0.000 10.602 0.000 0.004 0.000 15.866 0.000 0.002 0.000 9.151 0.000

Dummy A14 0.004 0.000 9.988 0.000 0.003 0.001 4.189 0.000 0.003 0.001 4.789 0.000

Dummy A15 0.000 0.000 0.219 0.827 0.001 0.001 0.693 0.489 0.000 0.001 0.471 0.638

Dummy A16 0.000 0.000 -0.281 0.779 0.001 0.000 3.462 0.001 0.001 0.000 2.695 0.007

Dummy A17 0.000 0.000 -0.184 0.854 0.000 0.000 1.311 0.190 0.001 0.000 2.416 0.016

Dummy A18 -0.001 0.000 -5.432 0.000 -0.001 0.000 -4.004 0.000 -0.001 0.000 -7.797 0.000

Dummy A19 -0.003 0.000 -21.625 0.000 -0.003 0.000 -17.261 0.000 -0.003 0.000 -12.585 0.000

Dummy A20 -0.002 0.000 -11.615 0.000 -0.002 0.000 -10.633 0.000 -0.001 0.000 -6.306 0.000

Dummy A21 0.002 0.000 10.867 0.000 0.002 0.000 8.250 0.000 0.001 0.000 7.481 0.000

Dummy A22 0.000 0.000 -1.461 0.144 0.000 0.000 -0.810 0.418 -0.001 0.000 -1.227 0.220

Total effects 0.013 0.015 0.013

Before quantity policy 0.017 0.019 0.017

After quantity policy -0.004 -0.004 -0.004

Observation 1412.000 1335 1293

R^Square 0.751 0.769 0.683

Arch test 0.036 0.099 0.009

14 15 16

17

Table 9: Estimation results for Abenomics (Detail)

issue number


Constant -0.147 0.001 -109.470 0.000 -0.147 0.001 -123.272 0.000 -0.111 0.002 -70.271 0.000 -0.058 0.002 -30.488 0.000

one-day-old Call rate 0.007 0.001 10.135 0.000 0.005 0.001 9.358 0.000 0.009 0.001 10.584 0.000 0.006 0.000 12.745 0.000

two-day-old Call rate 0.008 0.001 7.703 0.000 0.008 0.001 8.786 0.000 0.011 0.001 10.747 0.000 0.013 0.002 8.273 0.000

three-day-old Call rate 0.009 0.001 6.963 0.000 0.011 0.001 7.367 0.000 0.013 0.002 8.040 0.000 0.014 0.002 7.675 0.000

four-day-old Call rate 0.009 0.002 5.261 0.000 0.011 0.002 6.793 0.000 0.012 0.002 8.183 0.000 0.010 0.002 6.012 0.000

fivw-day-old Call rate 0.008 0.002 4.869 0.000 0.008 0.001 5.816 0.000 0.011 0.002 7.036 0.000 0.008 0.001 7.259 0.000

one-day-old Tibor 3ms -0.004 0.006 -0.667 0.505 0.003 0.005 0.736 0.462 -0.012 0.006 -1.997 0.046 -0.007 0.005 -1.443 0.149

two-day-old Tibor 3ms 0.009 0.007 1.199 0.231 0.005 0.006 0.819 0.413 0.006 0.008 0.769 0.442 -0.003 0.010 -0.313 0.754



fivw-day-old Tibor 3ms -0.026 0.004 -6.218 0.000 -0.019 0.004 -4.517 0.000 -0.004 0.005 -0.668 0.504 0.008 0.006 1.410 0.159






one-day-old FOX 0.004 0.002 1.776 0.076 0.006 0.002 2.855 0.004 0.005 0.002 2.311 0.021 -0.001 0.002 -0.211 0.833

two-day-old FOX -0.003 0.003 -0.874 0.382 -0.001 0.003 -0.455 0.649 -0.001 0.003 -0.419 0.675 -0.002 0.003 -0.611 0.541

three-day-old FOX -0.002 0.003 -0.675 0.499 0.002 0.003 0.584 0.559 0.000 0.003 -0.142 0.887 0.002 0.003 0.656 0.512

four-day-old FOX -0.006 0.003 -2.207 0.027 -0.006 0.003 -2.147 0.032 -0.007 0.003 -2.607 0.009 -0.007 0.003 -2.800 0.005

fivw-day-old FOX -0.028 0.002 -16.632 0.000 -0.032 0.002 -19.091 0.000 -0.028 0.002 -13.099 0.000 -0.036 0.002 -15.468 0.000

Dummy D11 0.001 0.000 3.189 0.001 0.001 0.000 2.641 0.008 0.000 0.000 -0.725 0.468 0.001 0.024 0.022 0.983

Dummy D12 0.000 0.014 -0.011 0.991 0.000 0.008 -0.026 0.979 0.000 0.003 -0.087 0.930 0.000 0.003 -0.054 0.957

Dummy D13 0.000 0.000 1.109 0.268 0.000 0.000 0.729 0.466 0.000 0.000 1.736 0.083 0.000 0.000 1.704 0.088

Dummy D14 0.002 0.000 9.461 0.000 0.001 0.000 6.468 0.000 0.003 0.000 19.388 0.000 0.004 0.000 18.608 0.000

Dummy D15 0.000 0.000 -1.353 0.176 0.000 0.000 -0.562 0.574 0.000 0.000 -1.277 0.202 0.000 0.000 -0.729 0.466

Dummy D21 0.000 0.005 -0.059 0.953 0.000 0.006 -0.047 0.963 0.000 0.004 -0.055 0.956 0.000 0.001 -0.040 0.968

Dummy D22 -0.001 0.000 -1.294 0.196 -0.001 0.001 -1.254 0.210 0.000 0.001 -0.552 0.581 0.000 0.001 -0.335 0.737

Dummy D23 0.000 0.012 0.004 0.997 0.000 0.014 0.003 0.997 0.000 0.000 1.218 0.223 0.000 0.006 0.024 0.981

Dummy D24 -0.002 0.000 -7.190 0.000 -0.001 0.000 -3.667 0.000 -0.002 0.000 -12.429 0.000 -0.001 0.000 -2.834 0.005

Dummy D25 0.001 0.001 0.866 0.387 0.001 0.001 0.747 0.455 0.000 0.002 0.115 0.908 0.000 0.001 0.131 0.896

Dummy D31 0.000 0.012 -0.031 0.975 0.000 0.014 -0.031 0.975 -0.001 0.000 -1.550 0.121 0.000 0.006 0.017 0.987

Dummy D32 0.001 0.000 6.470 0.000 0.001 0.000 4.399 0.000 0.001 0.000 5.673 0.000 0.001 0.000 6.210 0.000

Dummy D33 0.000 0.000 -0.047 0.963 0.000 0.000 -0.409 0.683 0.000 0.000 -1.302 0.193 0.000 0.000 0.549 0.583

Dummy D34 0.000 0.000 1.880 0.060 -0.001 0.000 -3.909 0.000 0.001 0.000 4.410 0.000 0.000 0.000 -0.749 0.454

Dummy D35 0.000 0.001 -0.391 0.696 0.000 0.001 -0.555 0.579 -0.002 0.002 -0.958 0.338 -0.003 0.001 -4.055 0.000

Dummy D36 -0.001 0.000 -7.208 0.000 -0.001 0.000 -5.062 0.000 -0.002 0.000 -9.695 0.000 -0.002 0.000 -12.139 0.000

Dummy D37 -0.001 0.000 -3.066 0.002 0.000 0.000 -2.452 0.014 -0.001 0.000 -7.331 0.000 -0.002 0.000 -7.083 0.000

Dummy D41 0.007 0.000 61.814 0.000 0.008 0.000 112.892 0.000 0.009 0.000 74.631 0.000 0.008 0.000 84.172 0.000

Dummy D42 0.003 0.000 22.126 0.000 0.003 0.000 22.918 0.000 0.003 0.000 16.427 0.000 0.003 0.000 18.408 0.000

Dummy D43 0.001 0.000 3.057 0.002 0.000 0.000 1.595 0.111 0.000 0.000 1.090 0.276 0.000 0.024 0.013 0.990

Dummy D44 -0.002 0.000 -8.118 0.000 -0.002 0.000 -8.206 0.000 -0.001 0.000 -3.393 0.001 -0.001 0.000 -2.093 0.036

Dummy D45 0.000 0.011 -0.011 0.992 0.000 0.003 -0.014 0.989 0.000 0.001 0.137 0.891 0.000 0.002 0.009 0.993

Dummy D46 0.002 0.000 22.970 0.000 0.002 0.000 25.434 0.000 0.002 0.000 23.833 0.000 0.002 0.000 17.564 0.000

Monetary policy 0.002 0.002 0.003 0.005

Fiscal policy -0.003 -0.001 -0.002 -0.001

growth strategy in -0.001 -0.003 -0.005 -0.005

Politics 0.011 0.012 0.014 0.013



Tatal estimation 0.009 0.010 0.010 0.011

Observation 1895.000 1835.000 1785.000 1700.000

R^Square 0.886 0.878 0.842 0.865

Arch test 0.000 0.000 0.000 0.000

6 7 8 9


Constant -0.066 0.002 -40.283 0.000 -0.013 0.002 -6.506 0.000 -0.006 0.002 -2.578 0.010 -0.022 0.002 -9.321 0.000

one-day-old Call rate 0.011 0.001 9.269 0.000 0.008 0.001 10.336 0.000 0.014 0.001 16.185 0.000 0.016 0.002 8.685 0.000

two-day-old Call rate 0.013 0.001 8.498 0.000 0.010 0.001 7.903 0.000 0.014 0.001 10.676 0.000 0.017 0.002 10.497 0.000

three-day-old Call rate 0.009 0.002 5.922 0.000 0.013 0.002 7.471 0.000 0.016 0.002 7.757 0.000 0.018 0.002 9.654 0.000

four-day-old Call rate 0.007 0.001 5.153 0.000 0.012 0.002 6.899 0.000 0.010 0.002 5.507 0.000 0.009 0.003 3.668 0.000

fivw-day-old Call rate 0.004 0.001 3.658 0.000 0.012 0.001 11.491 0.000 0.009 0.002 4.467 0.000 0.003 0.002 1.652 0.099

one-day-old Tibor 3ms -0.020 0.003 -7.652 0.000 -0.035 0.010 -3.640 0.000 -0.035 0.006 -5.414 0.000 -0.027 0.005 -5.652 0.000

two-day-old Tibor 3ms 0.000 0.005 0.056 0.955 0.001 0.019 0.070 0.945 -0.024 0.015 -1.526 0.127 -0.005 0.011 -0.470 0.638



fivw-day-old Tibor 3ms 0.014 0.013 1.150 0.250 0.027 0.013 2.118 0.034 0.043 0.015 2.887 0.004 0.028 0.012 2.247 0.025



three-day-old Nikkei 225 0.004 0.001 2.748 0.006 0.001 0.002 0.419 0.676 -0.001 0.002 -0.764 0.445 -0.001 0.001 -0.812 0.417



one-day-old FOX 0.002 0.002 0.968 0.333 -0.006 0.003 -1.969 0.049 0.002 0.003 0.693 0.488 0.004 0.002 1.799 0.072

two-day-old FOX -0.002 0.003 -0.778 0.437 -0.001 0.003 -0.215 0.830 0.000 0.003 -0.093 0.926 0.001 0.003 0.347 0.729

three-day-old FOX 0.001 0.003 0.185 0.853 0.002 0.003 0.717 0.473 0.001 0.003 0.325 0.745 0.006 0.002 2.505 0.012

four-day-old FOX -0.007 0.003 -2.227 0.026 -0.007 0.003 -2.007 0.045 -0.004 0.003 -1.360 0.174 -0.006 0.003 -1.882 0.060

fivw-day-old FOX -0.040 0.002 -20.894 0.000 -0.036 0.003 -12.802 0.000 -0.037 0.002 -15.283 0.000 -0.039 0.002 -18.089 0.000

Dummy D11 0.001 0.010 0.059 0.953 0.000 0.005 0.062 0.951 0.000 0.005 0.037 0.970 0.000 0.004 0.014 0.989

Dummy D12 0.000 0.003 -0.076 0.939 0.000 0.020 -0.007 0.994 0.000 0.004 -0.034 0.973 0.000 0.044 -0.005 0.996

Dummy D13 0.001 0.000 2.736 0.006 0.001 0.000 4.977 0.000 0.001 0.000 2.889 0.004 0.001 0.000 2.358 0.018

Dummy D14 0.004 0.000 22.131 0.000 0.003 0.000 10.674 0.000 0.002 0.000 9.041 0.000 0.002 0.000 8.991 0.000

Dummy D15 0.000 0.000 0.292 0.771 0.000 0.000 1.663 0.096 0.000 0.000 1.538 0.124 0.000 0.000 1.277 0.202

Dummy D21 0.000 0.002 -0.023 0.982 0.000 0.009 -0.023 0.982 0.000 0.003 -0.037 0.971 0.000 0.036 -0.002 0.998

Dummy D22 0.000 0.001 -0.217 0.828 0.000 0.001 0.033 0.974 0.000 0.000 -0.054 0.957 0.000 0.001 -0.031 0.975

Dummy D23 0.000 0.007 0.005 0.996 0.001 0.001 1.723 0.085 0.001 0.000 1.274 0.203 0.001 0.001 2.523 0.012

Dummy D24 -0.001 0.000 -4.805 0.000 0.000 0.000 -0.710 0.478 0.000 0.001 0.159 0.874 -0.001 0.001 -1.706 0.088

Dummy D25 0.003 0.001 3.287 0.001 0.000 0.001 0.023 0.981 0.000 0.002 0.017 0.986 0.000 0.002 0.038 0.970

Dummy D31 0.000 0.007 0.026 0.980 0.000 0.001 0.170 0.865 0.001 0.001 1.457 0.145 0.000 0.000 -0.439 0.661

Dummy D32 0.001 0.000 7.187 0.000 0.002 0.000 8.594 0.000 0.002 0.000 10.862 0.000 0.002 0.000 10.044 0.000

Dummy D33 0.000 0.000 -0.307 0.759 0.000 0.000 0.270 0.787 0.000 0.000 0.121 0.904 0.000 0.000 -0.001 0.999

Dummy D34 0.000 0.000 -1.293 0.196 0.000 0.000 0.358 0.721 0.000 0.001 0.513 0.608 0.002 0.001 2.517 0.012

Dummy D35 -0.005 0.001 -5.564 0.000 -0.002 0.001 -2.574 0.010 -0.003 0.002 -1.260 0.208 -0.003 0.002 -1.839 0.066

Dummy D36 -0.003 0.000 -12.768 0.000 -0.003 0.000 -8.713 0.000 -0.003 0.000 -9.098 0.000 -0.002 0.000 -16.651 0.000

Dummy D37 -0.002 0.000 -7.007 0.000 -0.001 0.000 -5.091 0.000 -0.001 0.000 -5.066 0.000 -0.001 0.000 -4.660 0.000

Dummy D41 0.009 0.000 86.176 0.000 0.009 0.000 79.182 0.000 0.009 0.000 69.087 0.000 0.009 0.000 67.221 0.000

Dummy D42 0.003 0.000 16.624 0.000 0.002 0.000 14.078 0.000 0.002 0.000 10.526 0.000 0.002 0.000 10.007 0.000

Dummy D43 0.001 0.010 0.054 0.957 0.000 0.007 0.049 0.961 0.000 0.005 0.080 0.936 0.000 0.004 0.107 0.915

Dummy D44 -0.001 0.000 -3.585 0.000 0.000 0.006 -0.047 0.963 0.000 0.009 -0.038 0.970 0.000 0.000 -1.364 0.173

Dummy D45 0.000 0.002 -0.017 0.987 0.000 0.013 0.024 0.981 0.000 0.002 0.121 0.903 0.000 0.011 0.016 0.987

Dummy D46 0.002 0.000 15.355 0.000 0.002 0.000 11.930 0.000 0.002 0.000 17.159 0.000 0.002 0.000 14.209 0.000

Monetary policy 0.005 0.004 0.003 0.003

Fiscal policy 0.002 0.001 0.001 0.000

growth strategy in -0.008 -0.004 -0.004 -0.003

Politics 0.014 0.013 0.014 0.012



Tatal estimation 0.013 0.014 0.014 0.012

Observation 1658.000 1579.000 1537.000 1455.000

R^Square 0.860 0.861 0.862 0.861

Arch test 0.000 0.000 0.083 0.000

10 11 12 13

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Constant -0.025 0.003 -9.728 0.000 0.022 0.002 10.341 0.000 -0.006 0.003 -2.356 0.019

one-day-old Call rate 0.014 0.002 7.810 0.000 0.018 0.002 10.271 0.000 0.015 0.003 5.687 0.000

two-day-old Call rate 0.019 0.002 8.744 0.000 0.018 0.002 11.492 0.000 0.015 0.002 6.568 0.000

three-day-old Call rate 0.018 0.002 8.098 0.000 0.016 0.002 7.041 0.000 0.014 0.003 4.847 0.000

four-day-old Call rate 0.008 0.003 2.924 0.004 0.009 0.002 5.180 0.000 0.009 0.003 2.594 0.010

fivw-day-old Call rate 0.003 0.002 1.466 0.143 0.009 0.002 5.213 0.000 0.007 0.003 2.272 0.023

one-day-old Tibor 3ms -0.027 0.005 -5.818 0.000 -0.041 0.008 -5.482 0.000 -0.016 0.010 -1.645 0.100

two-day-old Tibor 3ms -0.008 0.009 -0.842 0.400 -0.013 0.010 -1.313 0.189 0.007 0.020 0.376 0.707

three-day-old Tibor 3ms -0.005 0.018 -0.276 0.783 -0.006 0.018 -0.309 0.757 -0.004 0.019 -0.185 0.854


fivw-day-old Tibor 3ms 0.025 0.008 3.257 0.001 0.021 0.007 3.096 0.002 0.009 0.004 2.315 0.021



three-day-old Nikkei 225 -0.002 0.002 -0.977 0.328 -0.001 0.001 -1.139 0.255 -0.002 0.001 -1.468 0.142



one-day-old FOX 0.011 0.003 4.349 0.000 0.007 0.002 3.577 0.000 0.011 0.003 3.979 0.000

two-day-old FOX 0.001 0.003 0.471 0.637 0.002 0.003 0.623 0.533 -0.002 0.003 -0.548 0.584

three-day-old FOX 0.005 0.003 1.767 0.077 0.004 0.002 1.750 0.080 0.002 0.003 0.587 0.558

four-day-old FOX -0.004 0.003 -1.369 0.171 -0.002 0.002 -1.035 0.301 -0.004 0.003 -1.431 0.153

fivw-day-old FOX -0.040 0.003 -14.584 0.000 -0.040 0.002 -18.316 0.000 -0.037 0.002 -18.149 0.000

Dummy D11 0.000 0.003 -0.005 0.996 0.000 0.049 0.004 0.997 0.000 0.104 0.001 0.999

Dummy D12 0.001 0.002 0.434 0.665 0.000 0.014 -0.008 0.994 0.000 0.030 -0.001 0.999

Dummy D13 0.001 0.000 4.409 0.000 0.000 0.000 1.453 0.146 0.001 0.000 2.943 0.003

Dummy D14 0.002 0.000 8.582 0.000 0.001 0.000 8.763 0.000 0.003 0.000 14.841 0.000

Dummy D15 -0.001 0.000 -3.429 0.001 0.001 0.000 2.814 0.005 -0.001 0.000 -6.315 0.000

Dummy D21 0.000 0.003 -0.009 0.993 0.000 0.005 -0.014 0.989 0.000 0.022 -0.004 0.997

Dummy D22 0.000 0.000 -0.247 0.805 0.000 0.000 -0.150 0.881 0.000 0.000 0.482 0.630

Dummy D23 0.000 0.000 0.988 0.323 0.002 0.001 3.697 0.000 0.000 0.006 0.015 0.988

Dummy D24 -0.002 0.001 -3.806 0.000 0.000 0.001 0.128 0.898 0.000 0.001 0.190 0.849

Dummy D25 0.000 0.002 0.079 0.937 0.000 0.001 -0.019 0.985 0.000 0.001 0.005 0.996

Dummy D31 0.000 0.000 0.803 0.422 0.000 0.000 -0.420 0.674 0.000 0.006 0.016 0.988

Dummy D32 0.002 0.000 10.597 0.000 0.002 0.000 16.674 0.000 0.002 0.000 10.142 0.000

Dummy D33 0.001 0.000 8.339 0.000 0.001 0.000 3.446 0.001 0.003 0.000 14.436 0.000

Dummy D34 0.002 0.001 3.830 0.000 0.001 0.001 0.511 0.610 0.001 0.001 0.493 0.622

Dummy D35 -0.002 0.002 -1.284 0.199 -0.003 0.001 -2.817 0.005 -0.003 0.001 -1.965 0.049

Dummy D36 -0.002 0.000 -14.197 0.000 -0.002 0.000 -17.263 0.000 -0.002 0.000 -19.934 0.000

Dummy D37 -0.002 0.000 -5.303 0.000 -0.001 0.000 -8.787 0.000 -0.001 0.000 -6.068 0.000

Dummy D41 0.009 0.000 58.180 0.000 0.006 0.000 57.786 0.000 0.010 0.000 82.764 0.000

Dummy D42 0.001 0.000 6.909 0.000 0.001 0.000 9.090 0.000 0.001 0.000 9.381 0.000

Dummy D43 0.000 0.003 0.098 0.922 0.000 0.011 0.031 0.975 0.000 0.020 0.016 0.987

Dummy D44 0.000 0.000 -1.313 0.189 0.000 0.058 -0.006 0.995 0.000 0.115 -0.004 0.997

Dummy D45 -0.001 0.000 -6.003 0.000 0.000 0.010 0.018 0.986 0.000 0.011 0.005 0.996

Dummy D46 0.002 0.000 12.026 0.000 0.001 0.000 13.182 0.000 0.001 0.000 11.119 0.000

Monetary policy 0.003 0.002 0.003

Fiscal policy -0.002 0.002 0.000

growth strategy in -0.001 -0.003 -0.001

Politics 0.011 0.009 0.012

Before quantity policy 0.015 0.014 0.016

After quantity policy -0.003 -0.003 -0.002

Tatal estimation 0.012 0.011 0.015

Observation 1412.000 1335.000 1293.000

R^Square 0.847 0.877 0.827

Arch test 0.000 0.003 0.082

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Examination of policy effect using calculated inflation ......relation to inflation; price...

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Transcript of Examination of policy effect using calculated inflation ......relation to inflation; price...