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Empirical modeling of Japan's markup and inflation, 1976-2000

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  • Kurita, Takamitsu
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    Abstract

    This paper aims to pursue an empirical model of Japan's markup and inflation using historical time series data covering the last quarter of the 20th century. A multivariate cointegration analysis of Japan's macroeconomic data indicates the existence of a long-run economic linkage, which is interpreted as an empirical representation of countercyclical markup. A set of variables in the cointegrated system, apart from markup and inflation, are judged to be weakly exogenous for parameters of interest, thereby allowing us to estimate a partial model given these exogenous variables. The model reduction is then conducted so as to achieve a parsimonious representation of countercyclical markup and inflation dynamics over the sample period of interest.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Asian Economics.

    Volume (Year): 21 (2010)
    Issue (Month): 6 (December)
    Pages: 552-563

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    Handle: RePEc:eee:asieco:v:21:y:2010:i:6:p:552-563

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    Web page: http://www.elsevier.com/locate/asieco

    Related research

    Keywords: Countercyclical markup Inflation dynamics Cointegration Vector autoregressive model Weak exogeneity;

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