Global commodity prices have been on an increasing trend since 2009, while their correlation with stock prices has risen. This paper attempts to identify the main causes of fluctuations in global commodity markets, by using the historical decomposition of VAR models. It then provides...

Recent empirical literature suggests that the degree of nominal rigidities varies over monetary policy regimes. This implies that monetary policy analysis with exogenously given nominal rigidities is subject to the Lucas critique. In a Calvo-style sticky price model, we endogenize nominal...

We analyse the interaction between private agents' uncertainty about inflation target and the central bank's data uncertainty. In our model, private agents update their perceived inflation target and the central bank estimates unobservable economic shocks as well as the perceived inflation...

Using a model of island economy where financial markets aggregate dispersed information of the public, we analyze how two-way communication between the central bank and the public affects inflation dynamics. When inflation target is observable and credible to the public, markets provide the bank...

In Japan, like many other industrialized countries, output volatility declined dramatically in the 1980s. In order to investigate the cause of this decline, we decompose the variance of output growth by frequency. Our important findings are: (1) The total variance of output growth decreased,...

Using the FRB/Global model on Japanese monetary policy in the early 1990s, Ahearne et al. (2002) argued that deflation could have been avoided in Japan if the BOJ had lowered short-term interest rates by a further 250 basis points at any time between 1991 and early-1995 as "insurance against...

There is a positive cross-country correlation between money growth and inflation rate, and both money growth and inflation rate of Japan are lower than those of other advanced countries. In the"Money view" based on the quantity theory of money, it can be interpreted that Japan's low inflation...

This paper analyzes whether or not Japanese nominal wages are rigid downward. By using time series cross section data on wages from the Japanese Wage Census, we find that wages do not exhibit serious downward rigidity. They do decline when macro labor market conditions worsen even in periods of...

This paper empirically examines the impact of financial constraints on Japanese firms' pricing behavior. In spite of a large swing in demand in the bubble era and the lost decade, aggregate prices did not fluctuate much in these periods. Such price rigidity can be explained by customer market...

Funding conditions in global money markets have tightened since August 2007. In various currency-denominated money markets, term funding rates have come under upward pressure because of heightened concerns about counterparty credit and liquidity risks. Although the magnitude of upward pressure...