Details about Masao Ogaki

Access statistics for papers by Masao Ogaki.

Last updated 2013-04-30. Update your information in the RePEc Author Service.

Short-id: pog9

Working Papers

2013

1. Granger Causality from Exchange Rates to Fundamentals: What Does the Bootstrap Test Show Us?
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

2011

2. Purchasing Power Parity and the Taylor Rule
   Auburn Economics Working Paper Series, Department of Economics, Auburn University
   Also in Working Papers, Ohio State University, Department of Economics (2009) View citations (4)

2007

3. Long-run real exchange rate changes and the properties of the variance of k-differences
   Working Papers, Ohio State University, Department of Economics View citations (2)

2005

4. Structural Spurious Regressions and A Hausman-type Cointegration Test
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (2)

2004

5. A Spurious Regression Approach to Estimating Structural Parameters
   Working Papers, Ohio State University, Department of Economics View citations (2)
   Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (2)
6. Dynamic Seemingly Unrelated Cointegrating Regression
   Working Papers, Ohio State University, Department of Economics View citations (14)
   Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2003) View citations (11)
   See also Journal Article in Review of Economic Studies (2005)
7. Money Demand in Japan and the Liquidity Trap
   Working Papers, Ohio State University, Department of Economics
8. Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach
   Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (3)
   See also Journal Article in Monetary and Economic Studies (2004)

2003

9. A Theory of Exchange Rates and the Term Structure of Interest Rates
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (5)
   Also in Working Papers, Ohio State University, Department of Economics (1999) View citations (4)
   See also Journal Article in Review of Development Economics (2013)
10. Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (2)

2002

11. The Distortionary Effects of Inflation: An Empirical Investigation
    Working Papers, Ohio State University, Department of Economics View citations (3)

2001

12. Structural Error Correction Models: Instrumental Variables Methods and Application to an Exchange Rate Model
    Working Papers, Ohio State University, Department of Economics View citations (1)
13. The Effects of Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach
    Working Papers, Ohio State University, Department of Economics View citations (9)
    See also Journal Article in Journal of the Japanese and International Economies (2004)
14. The Gauss-Markov Theorem and Spurious Regressions
    Working Papers, Ohio State University, Department of Economics View citations (5)

2000

15. Decreasing Relative Risk Aversion and Tests of Risk Sharing
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (5)
    Also in Working Papers, Ohio State University, Department of Economics (1998) View citations (2)
    See also Journal Article in Econometrica (2001)
16. Risk Sharing in Village India: the Rule of Decreasing Relative Risk Aversion
    Working Papers, Ohio State University, Department of Economics View citations (1)

1999

17. A Empirical Investigation of Exchange Rates and the Term Structure of Interest Rates
    Working Papers, Ohio State University, Department of Economics View citations (4)
18. The Exchange Rate and the Term Structure of Interest Rates in Mexico
    Working Papers, Ohio State University, Department of Economics View citations (1)
    See also Journal Article in Journal of Development Economics (2000)

1998

19. Intertemporal substitution and durable goods: long-run data
    MPRA Paper, University Library of Munich, Germany View citations (12)
    See also Journal Article in Economics Letters (1998)

1996

20. Saving Behavior in Low- and Middle-Income Developing Countries: A Comparison
    MPRA Paper, University Library of Munich, Germany View citations (50)
    Also in IMF Working Papers, International Monetary Fund (1995) View citations (49)
    See also Journal Article in IMF Staff Papers (1996)

1995

21. Measuring Intertemporal Substitution: The Role of Durable Goods
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (15)
    Also in MPRA Paper, University Library of Munich, Germany (1995) View citations (14)
    See also Journal Article in Journal of Political Economy (1998)
22. Saving behavior in low- and middle-income developing countries
    MPRA Paper, University Library of Munich, Germany View citations (12)

1993

23. CCR: A User Guide
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (5)
24. The Rate of Time Preference, The Intertemporal Elasticity of Substitution, and the leval of Wealth
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
25. Unit Roots In Macroeconomics: A Survey
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (5)

1992

26. An Introduction to the Generalized Method of Moments
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (4)

1991

27. A Consistent Test for the Null of Stationarity Against the Alternative of Unit Root
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
    See also Journal Article in Economics Letters (1992)
28. A Time Series Analysis of Real Wages, Consumption, and Asset returns Under Optimal Libor Contrecting: A Cointegration-Euler Equation Approach
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
29. Consumption, Income, and Cointegration Further Analysis
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (5)
30. Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (20)
31. Seemingly Unrelated Canonical Cointegrating Regressions
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (14)
32. Wealth-Varying Intertemporal Elasticities of Substitution Evidence from Panel and Aggregate Data
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
    See also Journal Article in Journal of Monetary Economics (1996)

1990

33. A CHI-SQUARE TEST FOR UNIT ROOT
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (4)
    See also Journal Article in Economics Letters (1990)
34. A SPECIFICATION TEST FOR A MODEL OF ENGEL'S LAW AND SAVING
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
35. AGGREGATION OF INTRATEMPORAL PREFERENCES UNDER COMPLETE MARKET
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
36. ENGEL'S LAW AND COINTEGRATION
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
    See also Journal Article in Journal of Political Economy (1992)
37. ENGEL'S LAW AND SAVING
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

1989

38. A COINTEGRATION APPROACH TO ESTIMATING PREFERENCE PARAMETERS
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (28)
    See also Journal Article in Journal of Econometrics (1997)

Journal Articles

2013

1. A Theory of Exchange Rates and the Term Structure of Interest Rates
   Review of Development Economics, 2013, 17, (1), 74-87
   See also Working Paper (2003)

2011

2. Special Issue Editors’ Introduction
   Journal of Money, Credit and Banking, 2011, 43, 1-1

2008

3. Robust estimation for structural spurious regressions and a Hausman-type cointegration test
   Journal of Econometrics, 2008, 142, (1), 327-351 View citations (5)

2007

4. Structural Error Correction Models: A System Method for Linear Rational Expectations Models and an Application to an Exchange Rate Model
   Journal of Money, Credit and Banking, 2007, 39, (8), 2057-2075

2006

5. An Editors' Comment on "Lessons from the JMCB Archive" by B.D. McCullough, Kerry Anne McGeary, and Teresa D. Harrison
   Journal of Money, Credit and Banking, 2006, 38, (4), 1109
6. Money Demand in Japan and Nonlinear Cointegration
   Journal of Money, Credit and Banking, 2006, 38, (6), 1659-1667 View citations (5)

2005

7. Dynamic Seemingly Unrelated Cointegrating Regressions
   Review of Economic Studies, 2005, 72, (3), 797-820 View citations (5)
   See also Working Paper (2004)

2004

8. Decreasing Relative Risk Aversion, Risk Sharing, and the Permanent Income Hypothesis
   Journal of Business & Economic Statistics, 2004, 22, 421-430 View citations (7)
9. Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach
   Monetary and Economic Studies, 2004, 22, (1), 1-25 View citations (1)
   See also Working Paper (2004)
10. The effects of monetary policy shocks on exchange rates: A structural vector error correction model approach
    Journal of the Japanese and International Economies, 2004, 18, (1), 99-114 View citations (9)
    See also Working Paper (2001)

2003

11. Aggregation under Complete Markets
    Review of Economic Dynamics, 2003, 6, (4), 977-986 View citations (2)
12. The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach
    Monetary and Economic Studies, 2003, 21, (1), 1-34 View citations (2)

2001

13. Decreasing Relative Risk Aversion and Tests of Risk Sharing
    Econometrica, 2001, 69, (2), 515-26 View citations (61)
    See also Working Paper (2000)

2000

14. The exchange rate and the term structure of interest rates in Mexico
    Journal of Development Economics, 2000, 63, (1), 135-155 View citations (1)
    See also Working Paper (1999)

1999

15. Real exchange rates and nontradables: A relative price approach
    Journal of Empirical Finance, 1999, 6, (2), 193-215 View citations (24)

1998

16. Intertemporal substitution and durable goods: long-run data
    Economics Letters, 1998, 61, (1), 85-90 View citations (15)
    See also Working Paper (1998)
17. Measuring Intertemporal Substitution: The Role of Durable Goods
    Journal of Political Economy, 1998, 106, (5), 1078-1098 View citations (124)
    See also Working Paper (1995)
18. On the Granger Representation Theorem: a counter example?
    Economics Letters, 1998, 60, (1), 19-21

1997

19. A cointegration approach to estimating preference parameters
    Journal of Econometrics, 1997, 82, (1), 107-134 View citations (59)
    See also Working Paper (1989)
20. Consumption, income and cointegration
    International Review of Economics & Finance, 1997, 6, (2), 107-117 View citations (4)
21. Rate Of Time Preference, Intertemporal Elasticity Of Substitution, And Level Of Wealth
    The Review of Economics and Statistics, 1997, 79, (4), 564-572 View citations (32)

1996

22. A Time Series Analysis of Real Wages, Consumption, and Asset Returns
    Journal of Applied Econometrics, 1996, 11, (2), 119-34 View citations (27)
23. Saving Behavior in Low- and Middle-Income Developing Countries: A Comparison
    IMF Staff Papers, 1996, 43, (1), 38-71 View citations (27)
    See also Working Paper (1996)
24. Wealth-varying intertemporal elasticities of substitution: Evidence from panel and aggregate data
    Journal of Monetary Economics, 1996, 38, (3), 507-534 View citations (64)
    See also Working Paper (1991)

1993

25. Cotrending and the stationarity of the real interest rate
    Economics Letters, 1993, 42, (2-3), 133-138 View citations (5)

1992

26. A consistent test for the null of stationarity against the alternative of a unit root
    Economics Letters, 1992, 39, (1), 7-11 View citations (6)
    See also Working Paper (1991)
27. Engel's Law and Cointegration
    Journal of Political Economy, 1992, 100, (5), 1027-46 View citations (36)
    See also Working Paper (1990)
28. Growth in open economies: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1992, 36, (1), 47-56 View citations (3)

1991

29. Efficiency bound calculations for a time series model, with conditional heteroskedasticity
    Economics Letters, 1991, 35, (2), 167-171

1990

30. A chi-square test for a unit root
    Economics Letters, 1990, 34, (1), 37-42 View citations (4)
    See also Working Paper (1990)
31. The Indirect and Direct Substition Effects
    American Economic Review, 1990, 80, (5), 1271-75 View citations (5)