Evidence on Structural Instability in the Japanese Money Demand Function
AbstractThe main purpose of this study is to re-investigate the long-run Japanese M2 money demand function and its stability over the period of 1970:Q1 to 2010:Q4. This study uses the bounds testing approach to cointegration within the autoregressive distributed lag (ARDL) framework to examine the presence of a cointegration relationship. The rolling regression procedure is then incorporated into the ARDL cointegration test to investigate the stability of the cointegrating relationship between money demand and its determinants in Japan. With the full sample, this study confirms that real M2 money demand, real income, real interest rates and real exchange rates are cointegrated. However, the evidence of the rolling ARDL cointegration test implies that the cointegrating relationships are not stable over time, indicating that the Japanese M2 money demand function is also unstable. In line with the rolling ARDL cointegration results, the recursive Chow breakpoint F-test and the Quandt likelihood ratio (QLR) test also suggest the same instability outcome.JEL Classification Codes: C22; E41
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by National Council of Applied Economic Research in its journal Margin: The Journal of Applied Economic Research.
Volume (Year): 7 (2013)
Issue (Month): 3 (August)
Contact details of provider:
Web page: http://www.ncaer.org/
Money Demand; Rolling Cointegration Test; Japan; Stability;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (SAGE Publications).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.