Monetary factors and inflation in Japan
- 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. Keywords: spectral regression, frequency domain, Phillips curve, quantity theory. JEL Numbers: C22, E3, E5
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| Author: | Katrin Assenmacher-WescheORCiDGND, Stefan Gerlach, Toshitaka Sekine |
|---|---|
| URN: | urn:nbn:de:hebis:30-70439 |
| URL: | http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/Working%20Paper_2007_13_Gerlach_Assenmacher_Sekine.pdf |
| Parent Title (German): | Working paper series / Institute for Monetary and Financial Stability ; 13 |
| Series (Serial Number): | Working paper series / Institute for Monetary and Financial Stability (13) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2008 |
| Year of first Publication: | 2008 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2009/09/17 |
| Tag: | Phillips curve; frequency domain; quantity theory; spectral regression |
| GND Keyword: | Japan; Geldpolitik; Inflation |
| Note: | Published in: Journal of the Japanese and International Economies, 2008, vol. 22, pp. 343-363 |
| HeBIS-PPN: | 21858928X |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C22 Time-Series Models; Dynamic Quantile Regressions (Updated!) |
| Licence (German): |  Deutsches Urheberrecht |
