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Long-Run Determinants of Japanese Import Flows from USA and China : A Sectoral Approach


  • Serge REY
  • Jacques JAUSSAUD


We analyze the determinants of the sectoral Japanese imports from her two main partners, China and the USA over the period 1971-2007. We estimate cointegration relationships with breaks, using the Saikkonen-Lütkepohl method. For six sectors: foods, raw materials, textile, mineral fuel, chemicals and machinery and equipment, we show that if the domestic demand affects positively the imports, the impact of prices changes can be different whether we retain the relative prices (homogeneity hypothesis) or we consider both domestic and import, while when we decompose the relative prices between imports prices and domestic (corporate) prices, except in one case (textile imports from the USA), we can reject the homogeneity hypothesis. A possible explanation is the greater volatility of import prices compared to domestic prices which leads importers to wait when import prices change, insofar as they don't if these changes are temporary or permanent.

Suggested Citation

  • Serge REY & Jacques JAUSSAUD, 2009. "Long-Run Determinants of Japanese Import Flows from USA and China : A Sectoral Approach," Working Papers 8, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Nov 2009.
  • Handle: RePEc:tac:wpaper:8

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    References listed on IDEAS

    1. Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009. "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 414-435, November.
    2. Saikkonen, Pentti & L tkepohl, Helmut, 2000. "Testing For The Cointegrating Rank Of A Var Process With An Intercept," Econometric Theory, Cambridge University Press, vol. 16(03), pages 373-406, June.
    3. Petoussis, E, 1985. "The Aggregate Import Equation: Price Homogeneity and Monetary Effects," Empirical Economics, Springer, vol. 10(2), pages 91-101.
    4. Saikkonen, Pentti & L tkepohl, Helmut, 2002. "Testing For A Unit Root In A Time Series With A Level Shift At Unknown Time," Econometric Theory, Cambridge University Press, vol. 18(02), pages 313-348, April.
    5. Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 1999. "Comparison of unit root tests for time series with level shifts," SFB 373 Discussion Papers 1999,88, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    6. A. C. Arize & S. S. Shwiff, 1998. "Does exchange-rate volatility affect import flows in G-7 Countries? Evidence from cointegration models," Applied Economics, Taylor & Francis Journals, vol. 30(10), pages 1269-1276.
    7. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, June.
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    More about this item


    Exchange rate; Yen; Imports; International Trade; Japan; Long-run relationships;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F39 - International Economics - - International Finance - - - Other

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