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Testing the effects of the Japanese vehicle emission-control law on the international palladium futures market

Author

Listed:
  • Kentaka Aruga

    () (Ishikawa Prefectural University)

  • Shunsuke Managi

    () (Tohoku University)

Abstract

This paper tested the effects of the 2005 vehicle emission-control law issued in Japan on the market linkages between the U.S. and Japanese palladium futures markets. To determine these effects, we applied a cointegration test both with and without break points in the time series and found that the market linkages between the two countries changed after the break in October 2005. Our results show that the 2005 long-term regulation of vehicle emissions enacted in Japan influenced the international palladium futures market.

Suggested Citation

  • Kentaka Aruga & Shunsuke Managi, 2012. "Testing the effects of the Japanese vehicle emission-control law on the international palladium futures market," Economics Bulletin, AccessEcon, vol. 32(2), pages 1198-1207.
  • Handle: RePEc:ebl:ecbull:eb-11-00843
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I2-P114.pdf
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    References listed on IDEAS

    as
    1. Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2006. "Testing the Null of Cointegration with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 623-646, October.
    2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    3. Aruga, Kentaka & Managi, Shunsuke, 2011. "Testing the international linkage in the platinum-group metal futures markets," Resources Policy, Elsevier, vol. 36(4), pages 339-345.
    4. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    vehicle emission-control law; palladium futures market; cointegration test;

    JEL classification:

    • Q3 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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