An empirical model for Japan’s business fixed investment

Takamitsu Kurita

Journal of Economics and Business, 2011, vol. 63, issue 2, 107-120

Abstract: This paper estimates a dynamic empirical model for Japan’s business fixed investment. A multivariate cointegration analysis of Japan’s time series data over the past two decades shows that the term spread (the difference between long-term and short-term interest rates) and various diffusion indices in the Bank of Japan’s business survey tend to synchronise with fixed investment. The term spread and diffusion indices are then all judged to be not only weakly exogenous but also super exogenous for parameters of interest. Thus, a single-equation equilibrium correction model for fixed investment is estimated with no loss of information and can be used for policy analysis. The equilibrium correction model sheds useful light on economic policies aimed at achieving stable investment growth in Japan.

Keywords: Business fixed investment; Term spread; Cointegration; Weak and super exogeneity; Equilibrium correction model (search for similar items in EconPapers)
JEL-codes: C32 C51 E22 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0148619510000809
Full text for ScienceDirect subscribers only

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:eee:jebusi:v:63:y:2011:i:2:p:107-120

DOI: 10.1016/j.jeconbus.2010.11.004

Access Statistics for this article

Journal of Economics and Business is currently edited by Emanuele Bajo and Moritz Ritter

More articles in Journal of Economics and Business from Elsevier
Bibliographic data for series maintained by Catherine Liu ().