An Investigation of the Recent Linkages of Consumer Prices in Japan

Chikashi Tsuji


This paper tests the time-series linkages of several consumer price indices (CPIs) in Japan by using the vector error correction model (VECM) approach. Our empirical tests demonstrate the interesting findings as follows. First, we clarify that 1) all the cointegrating equations of our six VECM models are statistically significant strongly. Hence our results indicate that our six combinations of the time-series of Japanese CPIs examined in this study are all much strongly cointegrated. This therefore suggests that for capturing the time-series connections of the Japanese CPIs, the VECM approach is significantly effective. Further, we also reveal that 2) as far as judging by the results of our impulse response analyses, it is understood that, in our analyzing sample period, the Japanese core CPI is not so strongly influenced by the Japanese CPI of energy, telecommunication expenses, insurance and medical expenses, or industrial goods. 3) Furthermore, our analyses of impulse responses also demonstrate that the Japanese core CPI is largely affected by both the CPIs of services and nondurable goods for Japan.

Full Text:



This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


Copyright © Sciedu Press

To make sure that you can receive messages from us, please add the '' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.