The literature provides evidence that term spreads help predict output growth, inflation, and interest rates. This paper integrates and explains these predictability results by using an affine term structure model with observable macroeconomic factors for U.S. data. The results suggest that...

In this paper, we calculate the potential output and the output gap using a Bayesian-estimated DSGE model of Japan's economy. The model is a two-sector growth model that takes into account growth rate shocks including investment-goods sector-specific technological progress. For bridging the gap...

Many studies of inflation dynamics assume that in the presence of competitive labor markets firms adjust labor input only at the intensive margin. We consider labor market search and examine the role of the extensive margin for inflation dynamics by estimating three models with distinct labor...

This paper analyzes the revision to Japan's labor productivity, measured using Japan's System of National Accounts (SNA) data. We draw three main findings from our analysis. First, SNA data has been substantially revised in and after the second comprehensive revisions, as well as at the earlier...

Equilibrium nominal interest rates are useful indicators for both monetary policy authorities and market players. However, there are few studies which estimate Japan's equilibrium rate because of its persistent low interest rate. We overcome this challenge by using survey forecasts of interest...

Standard theoretical models predict that higher inflation expectations generate greater current consumer spending at the zero lower bound of interest rates. However, a recent empirical study using US micro data finds negative results for this relationship. We use micro data for Japan, which has...

Macroeconomic models are effective tools for central banks in economic projection, including risk assessment. In recent years, a multiple-model approach called the "Suite of Models" has become popular with central banks. This approach advocates the use of multiple models for several purposes,...

Economists at central banks and in academia have made various efforts to measure potential growth, something that cannot be observed directly. This review introduces some of these estimation techniques and applies them to the Japanese data. The estimates of the potential growth rate can differ...

This paper examines the determinants of long-term bond yields through a panel data analysis of forward rates in 10 developed countries. We confirm that in addition to inflation expectations and the labor productivity growth rate, which influences the natural rate of interest, fiscal conditions,...

This paper estimates an affine term structure model (ATSM) and a shadow rate model (SRM) using Japanese, US, and UK data until March 2013. These models produce very different results, which are attributable to the ATSM's neglect of the zero lower bound (ZLB). The 10-year term premium estimated...