The M2 Demand in Japan: Shifted and Unstable?
This paper investigates the stability of M2 demand in Japan using the statistical technique recently developed by Johansen (1988) and Johansen and Juselius (1989). Long-run equilibrium money demand function is identified and estimated along with the fourvariable vector error correction model (VECM). The results strongly suggests that the function shifted upwards - while leaving the income elasticity unchanged - in mid-1985, when the interest rates on large time deposits were deregulated.
Year of publication: |
1990
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Authors: | Yoshida, Tomoo ; Rasche, Robert H. |
Published in: |
Monetary and Economic Studies. - Institute for Monetary and Economic Studies. - Vol. 8.1990, 2, p. 9-30
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Publisher: |
Institute for Monetary and Economic Studies |
Saved in:
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