AN EXTREMELY-LOW-INTEREST-RATE POLICY AND THE SHAPE OF THE JAPANESE MONEY DEMAND FUNCTION
Kiyotaka Nakashima ()
Macroeconomic Dynamics, 2009, vol. 13, issue 5, 553-579
This paper explores the shape of the Japanese money demand function in relation to the historical path of the Bank of Japan's policy rate by employing Saikkonen and Choi's [Econometric Theory 20, 301â€“340 (2004)] cointegrating smooth transition model. The nonlinear model provides a unified econometric framework, not only for pursuing the time profile of interest elasticity, but also to test the linearity of the Japanese money demand function. The test results for the linearity of the Japanese money demand function provide evidence of nonlinearity with a semilog model and linearity with a double-log model. Using a nonlinear semilog model, the analysis also finds that Japanese money demand comprises three regimes and that the interest semielasticity began to increase in the early 1990s when the Bank of Japan set the policy rate below 3%.
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:13:y:2009:i:05:p:553-579_08
Access Statistics for this article
More articles in Macroeconomic Dynamics from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().