M2 demand relation and effective exchange rate in Japan: a cointegration analysis
The paper examines whether M2 demand in Japan does not form a cointegrated system unless the effective exchange rate is included. We focus on testing statistical significance of the coefficient for the effective exchange rate in the long-run equilibrium M2 demand relation. Empirical results indicate that it is significant, which suggests that the effective exchange rate is necessary for Japanese M2 demand cointegration.
Volume (Year): 7 (2000)
Issue (Month): 4 ()
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