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Monetary factors and inflation in Japan

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Author Info
Assenmacher-Wesche, Katrin
Gerlach, Stefan
Sekine, Toshitaka

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Abstract

Recently, the Bank of Japan outlined a "two perspectives" approach to the conduct of monetary policy that focuses on risks to price stability over different time horizons. Interpreting these as pertaining to different frequency bands, we use band spectrum regression to study the determination of inflation in Japan. We find that inflation is related to money growth and real output growth at low frequencies and the output gap at higher frequencies. Moreover, this relationship reflects Granger causality from money growth and the output gap to inflation in the relevant frequency bands. J. Japanese Int. Economies 22 (3) (2008) 343-363.

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Publisher Info
Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 22 (2008)
Issue (Month): 3 (September)
Pages: 343-363
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Handle: RePEc:eee:jjieco:v:22:y:2008:i:3:p:343-363

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Web page: http://www.elsevier.com/locate/inca/622903

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  1. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May. [Downloadable!] (restricted)
  2. Paul R. Krugman, 1998. "It's Baaack: Japan's Slump and the Return of the Liquidity Trap," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(1998-2), pages 137-206. [Downloadable!]
  3. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February. [Downloadable!] (restricted)
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  4. Robert L. Hetzel, 2004. "Price stability and Japanese monetary policy," Working Paper 04-01, Federal Reserve Bank of Richmond. [Downloadable!]
  5. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July. [Downloadable!] (restricted)
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  6. Nagayasu, Jun, 2003. "A re-examination of the Japanese money demand function and structural shifts," Journal of Policy Modeling, Elsevier, vol. 25(4), pages 359-375, June. [Downloadable!] (restricted)
  7. Gauti B. Eggertsson & Michael Woodford, 2003. "The Zero Bound on Interest Rates and Optimal Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(2003-1), pages 139-235. [Downloadable!]
  8. Lars E. O. Svensson, 2003. "Escaping from a Liquidity Trap and Deflation: The Foolproof Way and Others," Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 145-166, Fall. [Downloadable!] (restricted)
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  9. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
  10. Kitamura, Tomiyuki & Koike, Ryoji, 2003. "The Effectiveness of Forecasting Methods Using Multiple Information Variables," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(1), pages 105-43, February. [Downloadable!]
  11. Lucas, Robert E, Jr, 1980. "Two Illustrations of the Quantity Theory of Money," American Economic Review, American Economic Association, vol. 70(5), pages 1005-14, December. [Downloadable!] (restricted)
  12. Ryuzo Miyao, 2005. "Use Of The Money Supply In The Conduct Of Japan'S Monetary Policy: Re-Examining The Time-Series Evidence," The Japanese Economic Review, Japanese Economic Association, vol. 56(2), pages 165-187. [Downloadable!] (restricted)
  13. Toshitaka Sekine, 2001. "Modeling and Forecasting Inflation in Japan," IMF Working Papers 01/82, International Monetary Fund. [Downloadable!]
  14. Gerlach, Stefan, 2003. "The ECB's Two Pillars," CEPR Discussion Papers 3689, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  15. Fujiwara, Ippei, 2006. "Evaluating monetary policy when nominal interest rates are almost zero," Journal of the Japanese and International Economies, Elsevier, vol. 20(3), pages 434-453, September. [Downloadable!] (restricted)
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  16. Stefan Gerlach, 2004. "The two pillars of the European Central Bank," Economic Policy, CEPR, CES, MSH, vol. 19(40), pages 389-439, October. [Downloadable!] (restricted)
  17. Sekine, Toshitaka, 1998. "Financial Liberalization, the Wealth Effect, and the Demand for Broad Money in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 16(1), pages 35-55, May. [Downloadable!]
  18. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June. [Downloadable!] (restricted)
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