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Modeling and Forecasting Inflation in Japan

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  • Toshitaka Sekine

Abstract

This paper estimates an inflation function and forecasts one-year ahead inflation for Japan. It finds that (i) markup relationships, excess money and the output gap are particularly relevant long-run determinants for an equilibrium correction model (EqCM) of inflation; (ii) with intercept corrections, one-year ahead inflation forecast performance of the EqCM is good; and (iii) forecast accuracy can be improved by combining forecasts of the EqCM with those made by rival models. The EqCM obtained would serve for structural model-based inflation forecasting. It also highlights the importance of adjustment to a pure model-based forecast by utilizing information of alternative models. The methodology employed is applicable to a wider range of countries including some emerging market economies.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 01/82.

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Length: 35
Date of creation: 01 Jun 2001
Date of revision:
Handle: RePEc:imf:imfwpa:01/82

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