Cointegration, real exchange rate and modelling the demand for broad money in Japan

The literature on the demand for the Japan's broad money addresses two controversial issues: the form (log level or log difference) in which variables enter the money demand function and the question of whether financial innovation and deregulation caused shift(s) in the money demand relationsh...

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Published in:Applied economics 1993-06, Vol.25 (6), p.717-726
Main Authors: Arize, Augustine C., Shwiff, Steven S.
Format: Article
Language:English
Subjects:
Demand
Demand for money
Demand models
Economic models
Exchange rates
Foreign exchange rates
Functions
Japan
Money supply
Studies
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description The literature on the demand for the Japan's broad money addresses two controversial issues: the form (log level or log difference) in which variables enter the money demand function and the question of whether financial innovation and deregulation caused shift(s) in the money demand relationship. Log-level specifications of the money demand function have been shown to exhibit large shifts, whereas log-first-differences and error-correction specifications do not. Our paper demonstrates that the appropriate specification for the Japanese money demand function is that which uses cointegration and error-correction procedures.
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source EconLit s plnými texty; EBSCOhost Business Source Ultimate; Taylor & Francis Business Management & Economics Modern Archive; International Bibliography of the Social Sciences (IBSS)
subjects Demand
Demand for money
Demand models
Economic models
Exchange rates
Foreign exchange rates
Functions
Japan
Money supply
Studies
title Cointegration, real exchange rate and modelling the demand for broad money in Japan
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