Breitung and Candelon (2006) in <italic>Journal of Econometrics</italic> proposed a simple statistical testing procedure for the noncausality hypothesis at a given frequency. In their paper, however, they reported some theoretical results indicating that their test severely suffers from quite low power when the...

This paper investigates the dynamic relationships between oil prices and the Japanese economy from a frequency domain perspective. Both the frequency domain causality test of Breitung and Candelon (2006) and the frequency dependent regression method developed by Ashley and Verbrugge (2009) are...

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...