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Investigating time series properties of a dynamic system for Japan's import demand

Author

Listed:
  • Takamitsu Kurita

    (Faculty of Economics, Fukuoka University)

Abstract

This note aims to investigate time series properties of a dynamic system for Japan's aggregate import demand. A multivariate cointegration analysis of Japanese data reveals a stable economic linkage interpretable as a long-run import demand function. A vector equilibrium correction system is then estimated, which exhibits short-run and long-run interdependent relationships between aggregate import demand and the ratio of import price to domestic price level.

Suggested Citation

  • Takamitsu Kurita, 2010. "Investigating time series properties of a dynamic system for Japan's import demand," Economics Bulletin, AccessEcon, vol. 30(1), pages 450-460.
    • Handle: RePEc:ebl:ecbull:eb-09-00759
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I1-P40.pdf
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    References listed on IDEAS

    as
    1. Tuck Cheong Tang, 2003. "Cointegration analysis for Japanese import demand: revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 905-908.
    2. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
    3. Hamori, Shigeyuki & Matsubayashi, Yoichi, 2001. "An empirical analysis on the stability of Japan's aggregate import demand function," Japan and the World Economy, Elsevier, vol. 13(2), pages 135-144, April.
    4. Soren Johansen, 2002. "A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model," Econometrica, Econometric Society, vol. 70(5), pages 1929-1961, September.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    6. Tang, Tuck Cheong, 2003. "Japanese aggregate import demand function: reassessment from the 'bounds' testing approach," Japan and the World Economy, Elsevier, vol. 15(4), pages 419-436, December.
    7. 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.
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    More about this item

    Keywords

    Aggregate Import Demand; Cointegration; Vector Equilibrium Correction System.;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • F0 - International Economics - - General

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