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M2 demand relation and effective exchange rate in Japan: a cointegration analysis

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  • H. Yamada

Abstract

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.

Suggested Citation

  • H. Yamada, 2000. "M2 demand relation and effective exchange rate in Japan: a cointegration analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 7(4), pages 229-232.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:4:p:229-232
    DOI: 10.1080/135048500351564
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    Cited by:

    1. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
    2. repec:ebl:ecbull:v:3:y:2004:i:33:p:1-9 is not listed on IDEAS
    3. Sousa, Joao Miguel & Zaghini, Andrea, 2007. "Global monetary policy shocks in the G5: A SVAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 403-419, December.
    4. Calza, Alessandro & Sousa, João, 2003. "Why has broad money demand been more stable in the euro area than in other economies? A literature review," Working Paper Series 261, European Central Bank.
    5. Gholam Reza Eslami-Bidgoli & Saeed Bajalan & Mehdi Mirza Bayati, 2010. "Estimating and Forecasting Demand for Broad Money in Iran through Cointegration Analysis and Stochastic Simulation," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 15(1), pages 33-50, winter.
    6. Venus Khim-Sen Liew, 2004. "On Autoregressive Order Selection Criteria," Computational Economics 0404001, University Library of Munich, Germany.
    7. Werner, Richard A., 2011. "The unintended consequences of the debt: Will increased government expenditure hurt the economy?," CFS Working Paper Series 2011/26, Center for Financial Studies (CFS).
    8. Ge Wu, 2009. "Broad Money Demand and Asset Substitution in China," IMF Working Papers 2009/131, International Monetary Fund.

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