Empirical modeling of Japan's markup and inflation, 1976-2000
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Julio J. Rotemberg & Michael Woodford, 1999.
"The Cyclical Behavior of Prices and Costs,"
NBER Working Papers
6909, National Bureau of Economic Research, Inc.
- Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November.
- Stock, J.H. & Watson, M.W., 1989.
"New Indexes Of Coincident And Leading Economic Indicators,"
178d, Harvard - J.F. Kennedy School of Government.
- James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
- Urbain, J-P., 1991.
"On Weak Exogeneity in Error Correction Models,"
9103, Liege - Centre de Recherches Economiques et Demographiques.
- Gunnar Bardsen & Eilev S. Jansen & Ragnar Nymoen, 2003.
"Econometric inflation targeting,"
Royal Economic Society, vol. 6(2), pages 430-461, December.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Hendry, David F & Doornik, Jurgen A, 1994. "Modelling Linear Dynamic Econometric Systems," Scottish Journal of Political Economy, Scottish Economic Society, vol. 41(1), pages 1-33, February.
- Bent Nielsen, 2001.
"Order determination in general vector autoregressions,"
2001-W10, Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Series Working Papers 2001-W10, University of Oxford, Department of Economics.
- Bernard, Henri J & Gerlach, Stefan, 1998.
"Does the Term Structure Predict Recessions? The International Evidence,"
CEPR Discussion Papers
1892, C.E.P.R. Discussion Papers.
- Bernard, Henri & Gerlach, Stefan, 1998. "Does the Term Structure Predict Recessions? The International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 195-215, July.
- Henri Bernard & Stefan Gerlach, 1996. "Does the term structure predict recessions? The international evidence," BIS Working Papers 37, Bank for International Settlements.
- Hibiki Ichiue, 2004. "Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model," Econometric Society 2004 Far Eastern Meetings 581, Econometric Society.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Gary Solon & Robert Barsky & Jonathan A. Parker, 1992.
"Measuring the Cyclicality of Real Wages: How Important is Composition Bias,"
NBER Working Papers
4202, National Bureau of Economic Research, Inc.
- Solon, Gary & Barsky, Robert & Parker, Jonathan A, 1994. "Measuring the Cyclicality of Real Wages: How Important Is Composition Bias?," The Quarterly Journal of Economics, MIT Press, vol. 109(1), pages 1-25, February.
- Massimiliano Marcellino & Grayham E. Mizon, 2001.
"Small-system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 16(3), pages 359-370.
- Massimiliano Marcellino & Grayham E. Mizon, . "Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994," Working Papers 188, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
- Olivier Jean Blanchard & Stanley Fischer, 1989. "Lectures on Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262022834, August.
- Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
- Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502, March.
When requesting a correction, please mention this item's handle: RePEc:eee:asieco:v:21:y:2010:i:6:p:552-563. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.