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A Reexamination Of Japan'S Aggregate Import Demand Function: An Application Of The Engle And Granger Two-Step Procedure

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Author Info
AUGUSTINE C. ARIZE
JAN WALKER
Abstract

This paper reexamines the import demand function of Japan. In addition to using the relatively new procedures of cointegration and error-correction modeling, the role of effective exchange rate on Japan's import demand is considered. The empirical results suggest that the error-correction model performs very well. The estimates confirm that the omission of effective exchange rate, misspecification of the adjustment mechanism, and the use of the price-ratio format have yielded statistically insignificant or implausible results. The results suggest also that the recent appreciation of the yen has caused a structural shift in Japan's import demand behavior. [C13]

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Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 6 (1992)
Issue (Month): 2 (June)
Pages: 41-55
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Handle: RePEc:taf:intecj:v:6:y:1992:i:2:p:41-55

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Tegene, Abebayehu, 1989. "On the Effects of Relative Prices and Effective Exchange Rates on Trade Flows of LDCs," Applied Economics, Taylor and Francis Journals, vol. 21(11), pages 1447-63, November.
  2. Murray, Tracy & Ginman, Peter J, 1976. "An Empirical Examination of the Traditional Aggregate Import Demand Model," The Review of Economics and Statistics, MIT Press, vol. 58(1), pages 75-80, February. [Downloadable!] (restricted)
  3. Noland, Marcus, 1989. "Japanese Trade Elasticities and the J-Curve," The Review of Economics and Statistics, MIT Press, vol. 71(1), pages 175-79, February. [Downloadable!] (restricted)
  4. Ashley, Richard, 1984. "A Simple Test for Regression Parameter Instability," Economic Inquiry, Oxford University Press, vol. 22(2), pages 253-68, April.
  5. Warner, Dennis & Kreinin, Mordechai E, 1983. "Determinants of International Trade Flows," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 96-104, February. [Downloadable!] (restricted)
  6. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  7. Bahmani-Oskooee, Mohsen, 1986. "Determinants of international trade flows : The Case of Developing Countries," Journal of Development Economics, Elsevier, vol. 20(1), pages 107-123. [Downloadable!] (restricted)
  8. Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, vol. 88(351), pages 549-63, September. [Downloadable!] (restricted)
  9. Hendry, David F, 1983. "Econometric Modelling: The "Consumption Function" in Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 30(3), pages 193-220, November.
  10. Jenkinson, T J, 1986. "Testing Neo-Classical Theories of Labour Demand: An Application of Cointegration Techniques," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 241-51, August.
  11. Thursby, Jerry G & Thursby, Marie C, 1984. "How Reliable Are Simple, Single Equation Specifications of Import Demand?," The Review of Economics and Statistics, MIT Press, vol. 66(1), pages 120-28, February. [Downloadable!] (restricted)
  12. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
  13. Augustine C. Arize, 1990. "Effects Of Financial Innovations On The Money Demand Function: Evidence From Japan," International Economic Journal, Korean International Economic Association, vol. 4(1), pages 59-70, April. [Downloadable!] (restricted)
  14. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July. [Downloadable!] (restricted)
  15. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July. [Downloadable!] (restricted)
  16. Houthakker, Hendrik S & Magee, Stephen P, 1969. "Income and Price Elasticities in World Trade," The Review of Economics and Statistics, MIT Press, vol. 51(2), pages 111-25, May. [Downloadable!] (restricted)
  17. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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