In this article, we examine the dynamic interdependencies among components of Japan's consumer price index (CPI) using a two-lag time-varying loading factor (TLTVLF) model. Whereas previous studies have typically decomposed CPI series into long-term trends, seasonal patterns, and cyclical...

This study enhances macroeconometric modelling by utilising an I(2) cointegration framework to analyse the dynamic link between tourism prices and inflation in Slovenia and the Eurozone. Using monthly data from 2000 to 2017, we estimate cointegrated VAR models that capture long-run equilibria,...

We study why inflation responds differently to economic activity over time. Using survey data covering the universe of Japanese firms, we show that firms are unable to perfectly distinguish aggregate from sector-specific demand changes, leading to positively correlated expectations about these...

An economy with fixed-amortization mortgages and borrowing-constrained consumers leads to the non-superneutrality of money as the level of inflation targeted has real effects on home ownership, consumption, and debt. Higher trend inflation increases nominal interest rates, which increases...

Traditional income distribution models, such as the classical lognormal, often fail to capture upper-tail behavior, a limitation that becomes more evident during periods of inflation and structural economic change. These weaknesses can lead to an underestimation of top-income concentration and...