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Monetary Factors and Inflation in Japan

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  • Katrin Assenmacher
  • Stefan Gerlach
  • Toshitaka Sekine

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.

Suggested Citation

  • Katrin Assenmacher & Stefan Gerlach & Toshitaka Sekine, 2007. "Monetary Factors and Inflation in Japan," Working Papers 2007-13, Swiss National Bank.
    • Handle: RePEc:snb:snbwpa:2007-13
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    References listed on IDEAS

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    More about this item

    Keywords

    Spectral regression; frequency domain; Phillips curve; quantity theory;
    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
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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