Modeling and Forecasting Inflation in Japan

 
Author/Editor: Sekine, Toshitaka
 
Publication Date: June 01, 2001
 
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Summary: 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.
 
Series: Working Paper No. 01/82
Subject(s): Inflation | Japan | Economic forecasting | Forecasting models

Author's Keyword(s): inflation | forecast | Japan
 
English
Publication Date: June 01, 2001
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA0822001 Pages: 35
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