Are there Differences in the Effectiveness of Quantitative Easing in Japan over Time?

Using a time-varying parameter vector autoregression (TVP-VAR) with
a new sign restriction framework, we study the changing
effectiveness of the Bank of Japan's Quantitative Easing policies
over time. We analyse the Zero-Interest Rate Policy from 1999 to
2000, the Quantitative Easing Policy from 2001 to 2006, and most
recently the ‘Abenomics' monetary policy easing strategy. Our
results indicate that there are important differences concerning
the effects of Quantitative Easing over time. We find a stronger
and longer lasting positive influence of QE shocks on real GDP and
CPI especially since 2013. This might reflect the influence of the
‘Abenomics' program.