Monetary factors and inflation in Japan

Katrin Assenmacher, Stefan Gerlach () and Toshitaka Sekine

No 13, IMFS Working Paper Series from Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)

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: spectral regression, frequency domain, Phillips curve, quantity theory.

Keywords: asset prices; monetary policy; panel VAR (search for similar items in EconPapers)
JEL-codes: C22 E3 E5 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (14)

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Related works:
Journal Article: Monetary factors and inflation in Japan (2008)
Working Paper: Monetary Factors and Inflation in Japan (2008)
Working Paper: Monetary Factors and Inflation in Japan (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:imfswp:13

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