The information role of commodity prices in formulating monetary policy: some evidence from Japan
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.
Volume (Year): 5 (2007)
Issue (Month): 13 ()
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- 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 508-514, November.
- 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 260-266, May.
- Awokuse, Titus O. & Yang, Jian, 2002.
"The Informational Role Of Commodity Prices In Formulating Monetary Policy: A Reexamination,"
15834, University of Delaware, Department of Food and Resource Economics.
- Awokuse, Titus O. & Yang, Jian, 2003. "The informational role of commodity prices in formulating monetary policy: a reexamination," Economics Letters, Elsevier, vol. 79(2), pages 219-224, May.
- 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.
- 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 358-365, May.
- 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.
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