The causality between budget deficit and interest rates in Japan: an application of time series analysis

Benjamin Cheng

Applied Economics Letters, 1998, vol. 5, issue 7, 419-422

Abstract: Applying the Engle-Granger two-step procedure, this study finds that neither budget deficits, short-term interest rates and prices in one model nor budget deficits and longterm interest rates in the other model are cointegrated in Japan. Moreover, this study finds no causality between budget deficits and long-term interest rates but detects feedback causality between budget deficits and short-term interest rates in Japan using Hsiao's version of the Granger causality method with the aid of cointegration.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:5:y:1998:i:7:p:419-422

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/135048598354546

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().