Long-Run Determinants of Japanese Import Flows from USA and China : A Sectoral Approach
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-LÃ¼tkepohl 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.
|Date of creation:||Nov 2009|
|Date of revision:||Nov 2009|
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- Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009.
"Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term,"
Royal Economic Society, vol. 12(3), pages 414-435, November.
- Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen, 2008. "Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term," Economics Working Papers ECO2008/24, European University Institute.
- 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.
- Saikkonen, Pentti & Lütkepohl, Helmut, 1998. "Testing for the cointegrating rank of a VAR process with an intercept," SFB 373 Discussion Papers 1998,51, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
- Petoussis, E, 1985. "The Aggregate Import Equation: Price Homogeneity and Monetary Effects," Empirical Economics, Springer, vol. 10(2), pages 91-101.
- 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.
- Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Testing for a unit root in a time series with a level shift at unknown time," SFB 373 Discussion Papers 1999,72, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Helmut Luetkepohl & Pentti Saikkonen, 2000. "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Econometric Society World Congress 2000 Contributed Papers 0342, Econometric Society.
- 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.
- Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2002. "Comparison of Unit Root Tests for Time Series with Level Shifts," MPRA Paper 76035, University Library of Munich, Germany.
- 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. Full references (including those not matched with items on IDEAS)
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