Modeling and Forecasting Inflation in Japan /

This paper estimates an inflation function and forecasts one-year ahead inflation for Japan. It finds that (i) markup relationships, excess money and the output gap are particularly relevant long-run determinants for an equilibrium correction model (EqCM) of inflation; (ii) with intercept correction...

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Detalhes bibliográficos
Autor principal: Sekine, Toshitaka
Formato: Periódico
Idioma:English
Publicado em: Washington, D.C. : International Monetary Fund, 2001.
coleção:IMF Working Papers; Working Paper ; No. 2001/082
Acesso em linha:Full text available on IMF
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520 3 |a This paper estimates an inflation function and forecasts one-year ahead inflation for Japan. It finds that (i) markup relationships, excess money and the output gap are particularly relevant long-run determinants for an equilibrium correction model (EqCM) of inflation; (ii) with intercept corrections, one-year ahead inflation forecast performance of the EqCM is good; and (iii) forecast accuracy can be improved by combining forecasts of the EqCM with those made by rival models. The EqCM obtained would serve for structural model-based inflation forecasting. It also highlights the importance of adjustment to a pure model-based forecast by utilizing information of alternative models. The methodology employed is applicable to a wider range of countries including some emerging market economies. 
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830 0 |a IMF Working Papers; Working Paper ;  |v No. 2001/082 
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