The time-frequency analysis of conventional and unconventional monetary policy: Evidence from Japan

•Inflation fluctuations can largely reflect interest rate movements across frequencies before 1999 but only at low frequencies after 1999.•M1 variations can well capture industrial production changes at the scale of 2–4 years under conventional monetary policy only.•M2 fluctuations could be roughly mirrored by inflation variations at the scale of 1–3 years under unconventional monetary policy only.•The macroeconomic effects of conventional and unconventional monetary policy are heterogenous in the time-frequency space.