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The information role of commodity prices in formulating monetary policy: some evidence from Japan

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  • Shigeyuki Hamori

    ()
    (Kobe University)

Abstract

This paper uses the BOJ index published by the Bank of Japan to empirically analyze the relationship between the commodity price index and macroeconomic variables in Japan. The BOJ index was found to be valid as a leading indicator of the consumer price index before the zero interest policy was introduced. Afterwards, however, this relationship ceased to exist.

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File URL: http://www.accessecon.com/pubs/EB/2007/Volume5/EB-06E30010A.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 5 (2007)
Issue (Month): 13 ()
Pages: 1-7

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Handle: RePEc:ebl:ecbull:eb-06e30010

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Keywords: causality;

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  1. Hua, Ping, 1998. "On Primary Commodity Prices: The Impact of Macroeconomic/Monetary Shocks," Journal of Policy Modeling, Elsevier, vol. 20(6), pages 767-790, December.
  2. Garner, C Alan, 1989. "Commodity Prices: Policy Target or Information Variable? A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(4), pages 508-14, November.
  3. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
  4. Sephton, Peter S, 1991. "Commodity Prices: Policy Target or Information Variable: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 260-66, May.
  5. Awokuse, Titus O. & Yang, Jian, 2002. "The Informational Role Of Commodity Prices In Formulating Monetary Policy: A Reexamination," Staff Papers 15834, University of Delaware, Department of Food and Resource Economics.
  6. Cody, Brian J & Mills, Leonard O, 1991. "The Role of Commodity Prices in Formulating Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 358-65, May.
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Cited by:
  1. A.F.M. Kamrul Hassan & Ruhul A. Salim, 2011. "Is there any Link Between Commodity Price and Monetary Policy? Evidence from Australia," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 41(3), pages 205-216, December.
  2. Ano Sujithan, Kuhanathan & Koliai, Lyes & Avouyi-Dovi, Sanvi, 2013. "Does Monetary Policy Respond to Commodity Price Shocks?," Economics Papers from University Paris Dauphine 123456789/11718, Paris Dauphine University.
  3. Go Tamakoshi & Shigeyuki Hamori, 2012. "Informational roles of commodity prices for monetary policy: evidence from the Euro area," Economics Bulletin, AccessEcon, vol. 32(2), pages 1282-1290.

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