We apply a complex Hilbert principal component analysis (CHPCA) to a set of Japanese economic data collected over the last 32 years, comprising individual price indices of middle classification level (imported goods, producer goods, consumption goods and services), Indices of Business Conditions...

Micro price data shows that individual price settings are not time-invariant as presumed in the existing literature. Furthermore, the analysis of auto-correlations shows that interactions of micro prices with leads and lags ignored in the literature play a very important role in explaining the...