Money demand in Japan and nonlinear cointegration

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

21 Scopus Citations
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Detail(s)

Original languageEnglish
Pages (from-to)1659-1667
Journal / PublicationJournal of Money, Credit and Banking
Volume38
Issue number6
Publication statusPublished - Sept 2006

Abstract

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. Copyright 2006 by The Ohio State University.

Research Area(s)

  • Liquidity trap, Money demand, Nonlinear cointegration

Citation Format(s)

Money demand in Japan and nonlinear cointegration. / Bae, Youngsoo; Kakkar, Vikas; Ogaki, Masao.
In: Journal of Money, Credit and Banking, Vol. 38, No. 6, 09.2006, p. 1659-1667.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review