Center for Economic Research, Department of Economics, University of Minnesota
This paper focuses on macroeconomic behavior of the U.S. and Japan with
a special attention to characteristics of Japanese financial markets and
the pattern of Japan's trade with the rest of the world. Explanations of
observed facts summarized by vector autoregressions (VAR) are given referring
to the arrangement of Japanese financial institutions and the economic
structure with respect to foreign trade. First, interest rates do not have
any explanatory power on production in Japan, unlike in the U.S. This is
explained by strong interventions in financial markets by the Bank of Japan.
Second, stock prices in both Japan and the U.S. are exogenous. Third, bank
loans in Japan plays a similar role to that of money. Last, contrary to our
intuition, shocks from abroad in terms of import prices do not have a
strong impact of domestic prices and production. This paper, which includes
Japan, fills the lacuna in Sims' comparative study in macroeconomic behaviors
of the U.S. and the European countries.
Ito, T., (1982), "A Comparison of Japanese and U. S. Macroeconomic Behavior by a Var Model", Discussion Paper No. 162, Center for Economic Research, Department of Economics, University of Minnesota.
A Comparison of Japanese and U. S. Macroeconomic Behavior by a Var Model.
Center for Economic Research, Department of Economics, University of Minnesota.
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