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What macro-innovation risks really are priced in Japan?

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  • Chikashi Tsuji

Abstract

This article examines whether specified macroeconomic and macro-financial market variables innovations carry risks that are rewarded in the Japanese stock market by a restricted nonlinear multivariate regression model. We find that not all macroeconomic variables priced in the United States are priced in Japan. In addition, we also find, for the first time, that two additional macro-factors, namely the innovations in money supply and in gold and foreign exchange reserves, are strongly priced in Japan. Furthermore, neither market portfolio nor oil price variables are priced separately, as with the evidence from the United States. However, differently from previous US results, we find that innovations in aggregate real per capita consumption are weakly priced in Japan.

Suggested Citation

  • Chikashi Tsuji, 2007. "What macro-innovation risks really are priced in Japan?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1085-1099.
    • Handle: RePEc:taf:apfiec:v:17:y:2007:i:13:p:1085-1099
    DOI: 10.1080/09603100600749345
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    Cited by:

    1. Koichiro Moriya & Akihiko Noda, 2023. "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," Papers 2305.05998, arXiv.org, revised Mar 2024.

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