The presence of seasonal integration in Japanese macro data is tested. The targeted variables are real values and deflators for GDP, consumption, investment, government expenditure, exports, and imports. First, with respect to seasonality, an entirely different conclusion is obtained for the...

The stability of the Japanese money demand function is empirically analysed employing the notion of seasonal cointegration. It is found that money balances, interest rates, and real GDP have unit roots in different cycles. The seasonal cointegration tests reveals that seasonal cointegration is...

This alternative method of analysis applies the generalized method of moments developed by Hansen to the conditional restrictions implied by the Fisher effect. This approach has some advantages, i.e. it is robust to the non-normality of the error term, it is unnecessary to formulate the expected...