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Commodity prices, manufactured goods prices and inflation: evidence from Japan

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  • Yanfeng Wei

    (Graduate School of Social Sciences, Hiroshima University, Japan)

Abstract

Using the monthly Japanese data from January 1970 to December 2011, this paper analyzes the predictive power of commodity prices and manufactured goods prices for inflation. We split the full sample into the two sub-periods 1970M1-1990M12 and 1991M1-2011M12. By testing the causality at various frequencies, we provide some new insights on the informational roles of commodity prices and manufactured goods prices for forecasting inflation.

Suggested Citation

  • Yanfeng Wei, 2013. "Commodity prices, manufactured goods prices and inflation: evidence from Japan," Economics Bulletin, AccessEcon, vol. 33(2), pages 986-992.
    • Handle: RePEc:ebl:ecbull:eb-13-00078
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    File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I2-P94.pdf
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    References listed on IDEAS

    as
    1. Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka, 2008. "Monetary factors and inflation in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 22(3), pages 343-363, September.
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    Cited by:

    1. Jair N. Ojeda-Joya & Oscar Jaulin-Mendez & Juan C. Bustos-Peláez, 2019. "The Interdependence Between Commodity-Price and GDP Cycles: A Frequency-Domain Approach," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 47(3), pages 275-292, September.
    2. Fernando Delbianco & Andrés Fioriti, 2018. "External cycles and commodities in Latin America and the Caribbean: a cointegration analysis with breaks," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 88, pages 51-76, Enero - J.
    3. Wei, Yanfeng & Guo, Xiaoying, 2016. "An empirical analysis of the relationship between oil prices and the Chinese macro-economy," Energy Economics, Elsevier, vol. 56(C), pages 88-100.
    4. Wei Yanfeng, 2013. "The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 57-67, May.

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    More about this item

    Keywords

    Inflation; Commodity prices; Predictive power; Frequency domain causality;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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