Effects of unanticipated monetary policy on aggregate Japanese output : the role of positive and negative shocks

In this paper evidence is presented for Japan that an asymmetry exists between the effects of positive and negative money shocks on output. This result held over different lag lengths in the monetary variables, for different specifications of the call money rate equation, and when monetary policy was measured by the monetary base or by M2 + CD. Unanticipated money, unlike positive and negative shocks, was statistically insignificant in explaining output. Results reinforce findings for the United States that an asymmetry between the effects of unexpected expansionary and contractionary monetary policy may constitute an empirical regularity requiring further investigation.