Investigating time series properties of a dynamic system for Japan's import demand

This note aims to investigate time series properties of a dynamic system for Japan's aggregate import demand. A multivariate cointegration analysis of Japanese data reveals a stable economic linkage interpretable as a long-run import demand function. A vector equilibrium correction system is then estimated, which exhibits short-run and long-run interdependent relationships between aggregate import demand and the ratio of import price to domestic price level.