Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/97769 
Year of Publication: 
2007
Series/Report no.: 
IMFS Working Paper Series No. 13
Publisher: 
Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), Frankfurt a. M.
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.
Subjects: 
asset prices
monetary policy
panel VAR
JEL: 
C22
E3
E5
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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