Table A 1: Data Description

No	Model Concept	Name and Definition of Indicator	Abbreviated Name	Data Proc.	FQ	Case A	Case B	Case C
1	Output	National Income (at factor cost): s.a. / GDP deflator	Output	log+HP	sensor	sensor	sensor
2	Prices	GDP deflator	Prices	Def +log + HP	APR	sensor	sensor	sensor
3	Real Wage	Nominal wage index: deflated by GDP deflator	Real Wage	HP filter	sensor	sensor	sensor
4	Investment	Real Private non-residential investment (Billion yen) : deflated by Chain-type price index (2000=100) : s.a.	Investment	log + HP	sensor	sensor	sensor
5	Consumption	Real private demand (Billion yen) : deflated by Chain-type price index (2000=100) : s.a.	Consumption	log + HP	sensor	sensor	sensor
6	Interest Rate	Call rate (Uncollateralized Overnight), Average (%)	Interest Rate	HP	APR	sensor	sensor	sensor
7	Labor	work hour index × total employment / labor population	Labor	log + HP	sensor	sensor	sensor
8	Output	Index of Industrial Production -Mining and Manufacturing : s.a.	Output 2	log + HP	sensor	sensor
9	Prices	Consumer Price Index (CPI): General,	Prices 2	Def +log + HP	APR	sensor	sensor
10	Real Wage	Real Wage Index : Contractual Cash Earnings in All Industries, 30 Employees or more: s.a.	Real Wage 2	HP	sensor	sensor
11	Investment	Business Investment - Total Amount, All industry except finance and insurance industry (million yen)	Investment 2	log + HP	sensor	sensor
12	Consumption	Consumption Expenditure - General household except Agriculture, Forestry and Fisheries household : (yen)	Consumption 2	log + HP	sensor	sensor
13	Interest Rate	Short-term Prime Lending Rate of banks (End of Month) (%)	Interest Rate 2	HP	APR	sensor	sensor
14	Labor	Index of Labor Hours : Extra Working Hours, all industries, 30 Employees or more: s.a.	Labor 2	log + HP	sensor	sensor
15	Output	Index of Industrial Production -Manufacturing: s.a.	Output 3	log + HP	sensor
16	Prices	Consumer Price Index (CPI): General excluding Fresh Food,	Prices 3	Def +log + HP	APR	sensor
17	Real Wage	Real Wage Index : Contractual Cash Earnings in Manufacturing, 30 Employees or more : s.a.	Real Wage 3	HP	sensor
18	Investment	Business Investment - Total Amount, Manufacturing, (million yen)	Investment 3	log + HP	sensor
19	Consumption	Consumption Expenditure - Worker's household except Agriculture, Forestry and Fisheries household : (yen)	Consumption 3	log + HP	sensor
20	Interest Rate	Average Contract Interest Rates on Loans and Discounts: Short-Term	Interest Rate 3	HP	APR	sensor
21	Labor	Index of Labor Hours : Extra Working Hours, Manufacturing, 30 Employees or more : s.a.	Labor 3	log + HP	sensor
22	Consumption	Real Durable goods consumption (Billion yen): s.a.	Consumption 4	log + HP	info
23	Real Semidurable Goods Consumption (Billion yen): s.a.	Consumption 5	log + HP	info
24	Real Nondurable Goods Consumption (Billion yen): s.a.	Consumption 6	log + HP	info
25	Real Service Consumption (Billion yen): s.a.	Consumption 7	log + HP	info
26	Index of Household Consumption Level - General : s.a.	Consumption 8	log + HP	info
27	Output	Index of Industrial Production -durable consumer goods : s.a.	Output 4	log + HP	info
28	Index of Industrial Production -consumer goods : s.a.	Output 5	log + HP	info
29	Index of Industrial Production -nondurable consumer goods : s.a.	Output 6	log + HP	info
30	Index of Industrial Production -producer goods : s.a.	Output 7	log + HP	info
31	Index of Industrial Production -capital goods : s.a.	Output 8	log + HP	info
32	Labor	Employment Index of Regular Workers (All industries, 30 Employees or more) : s.a.	Labor 4	log + HP	info
33	Unemployment Rate(%) : s.a.	Labor 5	log + HP	info
34	Jobs-to-Applicants Ratio : s.a.	Labor 6	log + HP	info
35	Interest Rate	Average Contract Interest Rates on Loans and Discounts: General	Interest Rate 4	HP	APR	info
36	Yields to Subscribers-Industrial Bonds AAA CLASS (12 YEARS) (%)	Interest Rate 5	HP	APR	info
37	Yields to Subscribers-Bank Bonds (5 YEARS) (%)	Interest Rate 6	HP	APR	info
38	Yields to Subscribers-Bearing Government Bond (10 years) (%)	Interest Rate 7	HP	APR	info
39	Long-term Prime Lending Rate (End of Month) (%)	Interest Rate 8	HP	APR	info
40	Prices	Domestic Wholesale Price Index - All Commodities Average, yen base	Prices 4	Def +log + HP	APR	info
41	Domestic Wholesale Price Index - Industrial Products, yen base	Prices 5	Def +log + HP	APR	info
42	Domestic Wholesale Price Index - Other Industrial Products, yen base	Prices 6	Def +log + HP	APR	info
43	Domestic Wholesale Price Index - Agriculture, forestry and fishery products, yen base	Prices 7	Def +log + HP	APR	info
44	Consumer Price Index (CPI): Food,	Prices 8	Def +log + HP	APR	info
45	Consumer Price Index (CPI): Housing,	Prices 9	Def +log + HP	APR	info
46	Consumer Price Index (CPI): Durable goods,	Prices 10	Def +log + HP	APR	info
47	Financial Markets	Nikkei Stock Average 225 Selected Stocks (End of Month) (yen)	Stock Price 1	log + HP	info
48	Nikkei Stock Average 500 Selected Stocks (End of Month) (yen)	Stock Price 2	log + HP	info
49	Tokyo Stock Price Index(TOPIX): First Section of the Tokyo Securities Exchange (End of Month) (1968=100)	Stock Price 3	log + HP	info
50	Nikkei Commodity Price Index (17 items) (End of Month)	Commodity Price 1	log + HP	info
51	Nikkei Commodity Price Index (42 items) (End of Month)	Commodity Price 2	log + HP	info
52	Money Stock	Money Stock: M2+CD (End of Month) : s.a (million yen)	Money Stock (M2+CD)	log + HP	info
53	Money Stock: M1 (End of Month) : s.a (million yen)	Money Stock (M1)	log + HP	info
54	Exchange rate	Foreign Exchange Rate: Tokyo Interbank, Market Spot rate(17h), end of month (yen/$)	Exchange Rates 1	log + HP	info
55	Foreign Effective Exchange Rate : Real, BIS method	Exchange Rates 2	log + HP	info

Notes: In term “Data Type”, classification into two types; sensor series and information series, is described in Section 2.1.4. In term “data proc”, log, HP, and Def

denote logarithm, HP filtered and differenced of Data as procedure of data transformation, respectively. In term FQ, APR is abbreviation of Annual Percent Rate.