Money, exchange rates and international business cycle between Japan and the United States

Shigeyuki Hamori

Applied Economics Letters, 1998, vol. 5, issue 1, 31-35

Abstract: This paper focuses on the international business cycle repercussions between Japan and the United States based on the vector error correction model. The results of the analysis are as follows: first, the effect of economic fluctuations between Japan and the United States is asymmetric; whereas fluctuations in the United States economy exert a great influence on Japan, the converse is not true. Secondly, it should be noted that there is a great difference between the two nations with regard to fluctuations in money supply; whereas they exhibit strong exogeneity in the United States, they react to exchange rates to a great extent in Japan. This may reflect differences in the policy reaction functions of the two nations' financial policy authorities.

Date: 1998
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DOI: 10.1080/758540122

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