Monetary Factors and Inflation in Japan

Katrin Assenmacher (), Stefan Gerlach () and Toshitaka Sekine ()

No 6650, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Keywords: frequency domain; Phillips curve; quantity theory; spectral regression (search for similar items in EconPapers)
JEL-codes: C22 E3 E5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2008-01
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Journal Article: Monetary factors and inflation in Japan (2008)
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