Money demand in Japan and nonlinear cointegration

Youngsoo Bae, Vikas Kakkar, Masao Ogaki

研究成果: Article査読

19 被引用数 (Scopus)

抄録

We estimate the long-run Japanese money demand function in a cointegration framework with two nonlinear functional forms that allow for the liquidity trap, and compare the results with the standard log-level functional form. In addition to the conventional linear cointegration techniques, we also use a recently developed procedure for nonlinear cointegration that allows the estimation of alternative functional forms under the same assumption regarding the trend properties of the nominal interest rate. The nonlinear functional forms outperform the log-level functional form based on out-of-sample prediction performance.

本文言語English
ページ(範囲)1659-1667
ページ数9
ジャーナルJournal of Money, Credit and Banking
38
6
DOI
出版ステータスPublished - 2006 9
外部発表はい

ASJC Scopus subject areas

  • 会計
  • 財務
  • 経済学、計量経済学

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