We measure the relative contribution of the deviation of real activity from its equilibrium (the gap), “supply-shock” variables, and long-horizon inflation forecasts for explaining the U.S. inflation rate in the post-war period. For alternative specifications for the inflation-driving...

This paper examines the roles played by innovations identified from a simple four-variable VAR characterized by cointegration. Using knowledge of cointegration rank and “textbook” relations that link macroeconomic aggregates, we identify distinct “real” and “nominal” innovations that...

This paper investigates the stability of M2 demand in Japan using the statistical technique recently developed by Johansen (1988) and Johansen and Juselius (1989). Long-run equilibrium money demand function is identified and estimated along with the fourvariable vector error correction model...

This study investigates the equilibrium relationship between real M1 balances, real GNP and short-term interest rates in Japan since 1955. Although each of these variables appears to be nonstationary, the evidence suggests that there exists a stable, stationary linear combination of the three...