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Yanfeng Wei
''Commodity prices, manufactured goods prices and inflation: evidence from Japan''
( 2013, Vol. 33 No.2 )
Using the monthly Japanese data from January 1970 to December 2011, this paper analyzes the predictive power of commodity prices and manufactured goods prices for inflation. We split the full sample into the two sub-periods 1970M1-1990M12 and 1991M1-2011M12. By testing the causality at various frequencies, we provide some new insights on the informational roles of commodity prices and manufactured goods prices for forecasting inflation.
Keywords: Inflation, Commodity prices, Predictive power, Frequency domain causality
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Manuscript Received : Jan 28 2013 Manuscript Accepted : Apr 11 2013

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