J. Chu et Ra. Ratti, EFFECTS OF UNANTICIPATED MONETARY-POLICY ON AGGREGATE JAPANESE OUTPUT- THE ROLE OF POSITIVE AND NEGATIVE SHOCKS, Canadian journal of economics, 30(3), 1997, pp. 722-741
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 whe
n monetary policy was measured by the monetary base or by M2 + CD, Una
nticipated money, unlike positive and negative shocks, was statistical
ly 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 empi
rical regularity requiring further investigation.