Money and Income Causality in Japan Under the Flexible Exchange Rate Regime: 1971-1983
1986-06
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Money and Income Causality in Japan Under the Flexible Exchange Rate Regime: 1971-1983
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1986-06
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Center for Economic Research, Department of Economics, University of Minnesota
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Working Paper
Abstract
The paper examines Granger-causal relationships between money
and income and its components in Japan under the flexible exchange
rate regime. Through Sims's test and the Granger-Sargent test, M2CD
and both GNP and real GNP appear to be in a bidirectional feedback
relationship, while the GNP deflator is unidirectionally causal to
M2CD. The findings conform to Mundell's theory and the liberalization
of financial capital flows in December 1980. Analytical
results are also confirmed with the impulse response based on the
three-variate autoregressive model.
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Previously Published Citation
Komura, C., (1986), "Money and Income Causality in Japan Under the Flexible Exchange Rate Regime: 1971-1983", Discussion Paper No. 230, Center for Economic Research, Department of Economics, University of Minnesota.
Suggested citation
Komura, Chikara. (1986). Money and Income Causality in Japan Under the Flexible Exchange Rate Regime: 1971-1983. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55500.
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