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Monetary Factors and Inflation in Japan

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Author Info
Assenmacher-Wesche, Katrin () (Swiss National Bank)
Gerlach, Stefan () (Bank for International Settlements)
Sekine, Toshitaka () (Bank of Japan)

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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 this 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.

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File URL: http://www.snb.ch/n/mmr/reference/working_paper_2007_13/source/working_paper_2007_13.n.pdf
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Publisher Info
Paper provided by Swiss National Bank in its series Working Papers with number 2007-13.

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Length: 35 pages
Date of creation: 30 Apr 2007
Date of revision:
Handle: RePEc:ris:snbwpa:2007_013

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Related research
Keywords: spectral regression; frequency domain; Phillips curve; quantity theory;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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    Other versions:
  4. 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)
  5. Toshitaka Sekine, 2001. "Modeling and Forecasting Inflation in Japan," IMF Working Papers 01/82, International Monetary Fund. [Downloadable!]
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  8. Junsoo Lee & Mark C. Strazicich, 2004. "Minimum LM Unit Root Test with One Structural Break," Working Papers 04-17, Department of Economics, Appalachian State University. [Downloadable!]
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