Seasonal cointegration and the money demand function: some evidence from Japan

Authors
Hamori, G Tokihisa, A
Citation
G. Hamori et A. Tokihisa, Seasonal cointegration and the money demand function: some evidence from Japan, APPL ECON L, 8(5), 2001, pp. 305-310
Citations number
12
Categorie Soggetti
Economics
Journal title
APPLIED ECONOMICS LETTERS
ISSN journal
13504851 → ACNP
Volume
8
Issue
5
Year of publication
2001
Pages
305 - 310
Database
ISI
SICI code
1350-4851(200105)8:5<305:SCATMD>2.0.ZU;2-E
Abstract
The stability of the Japanese money demand function is empirically analysed employing the notion of seasonal cointegration. It is found that money bal ances, interest rates, and real GDP have unit roots in different cycles. Th e seasonal cointegration tests reveals that seasonal cointegration is rejec ted in every case. This fact indicates that no stable relationship exists b etween money supply and the real economy during the period under analysis.