Template-type: ReDIF-Paper 1.0
Author-Name: Katrin Assenmacher
Author-Name-First: Katrin
Author-Name-Last: Assenmacher
Author-Person: pwe101
Author-Name: Stefan Gerlach
Author-Name-First: Stefan
Author-Name-Last: Gerlach
Author-Person: pge41
Author-Name: Toshitaka Sekine
Author-Name-First: Toshitaka
Author-Name-Last: Sekine
Title: Monetary Factors and Inflation in Japan
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.
Length: 35 pages
Creation-Date: 2007
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2007/working_paper_2007_13
File-Format: text/html
Number: 2007-13
Classification-JEL: C22, E3, E5
Keywords: Spectral regression, frequency domain, Phillips curve, quantity theory
Handle: RePEc:snb:snbwpa:2007-13