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Expected Inflation Regimes in Japan

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  • OKIMOTO, Tatsuyoshi

Abstract

This paper examines the dynamics of expected inflation regimes in Japan over the last three decades based on the smooth transition Phillips curve model. We find that there is a strong connection between the expected inflation and monetary policy regimes. The results also suggest that the introduction of the inflation targeting policy, and quantitative and qualitative easing in the beginning of 2013 have successfully escaped from the deflationary regime, but was not enough to achieve the 2% inflation target. Finally, our results indicate the significance of exchange rates in explaining the recent fluctuations of inflation, and the importance of oil and stock prices in maintaining the positive expected inflation regime.

Suggested Citation

  • OKIMOTO, Tatsuyoshi, 2017. "Expected Inflation Regimes in Japan," Discussion paper series HIAS-E-41, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    • Handle: RePEc:hit:hiasdp:hias-e-41
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/28280/070_hiasDP-E-41.pdf
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    References listed on IDEAS

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    Cited by:

    1. MIYAO Ryuzo & OKIMOTO Tatsuyoshi, 2017. "The Macroeconomic Effects of Japan's Unconventional Monetary Policies," Discussion papers 17065, Research Institute of Economy, Trade and Industry (RIETI).

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    More about this item

    Keywords

    Hybrid Phillips curve; monetary policy; inflation targeting; qualitative and quantitative easing; smooth transition model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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