LA-VAR Toda- Yamamoto(1995) VAR (Lag Augmented vector autoregressive model LA-VAR ) 2 2 Nordhaus(1975) 3 1 (D2)

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1 LA-VAR Toda- Yamamoto(1995) VAR (Lag Augmented vector autoregressive model LA-VAR ) 2 2 Nordhaus(1975) 3 1 (D2) b1215@yamaguchi-u.ac.jp 2 Toda, Hiro Y. and Yamamoto,T.(1995) 3 Hibbs(1977) 1

2 4 ( ) ( ) ( ) 5 Nordhaus 4 Ito-Park(1988) Ito(1990) Ito Nordhaus Ito Rogoff-Sibert(1988) Rogoff(1990) OECD 4 Alesina-Cohen-Roubini(1991) Cargill-Hutchison-Ito(1997) 5 (IS-LM ) 2

3 Alesina-Cohen-Roubini(1991) Nordhaus (1993) ( 6 ) (1983) (1990) Nordhaus Cargill-Hutchison(1991) Cargill-Hutchison-Ito(1997) (1998) VAR ( LA-VAR ) ( ) ( ) AR Ito-Park(1988) Ito(1990)

4 v03-v05 v06-v07 8 Census X-12 9 ( ) v03-v07 v01-v02 LA-VAR (1)AR VAR (2) VAR VAR (VECM) (2001) (3) VAR (VECM) LA-VAR VAR LA-VAR VAR ( ) (1998) (2001) AIC 10 y x (1997) Bureau of the Census (2000) 10 4

5 y x y + K+ b1 p y = a1 + b11 + t 1 t p c11xt 1K+ c1 pxt p + d11t + y 2 e11t 2 + K + b2 p y + c21xt 1K+ c2 p xt p + d21t e11t = a2 + b21 + t 1 t p Toda-Yamamoto(1995) d max (1998) y x y y = a1 + b11 + K+ t 1 b1 2 + t ( p 2) c11xt 1K+ c1 2 xt ( 2) + d11t + + y y = a2 + b21 + K+ t 1 b2 2 + t ( p 2) c21xt 1K+ c2 2 xt ( 2) + d21t + + e t e11t 3.3 Granger Granger x Granger y x y x y Toda-Yamamoto(1995) OLS c b = c c = = = p = b b = = = p Wald 3 Wald P 10% v02 v05 P 6.1% 11 d max 5

6 ( ) DR DC DR/DC 01 1 DR/DC DR/DC DR/DC 08 DR/DC13 ( ) ( Pass) (1998) DR DC Election 13 (1998) pp

7 5 1-1 (Busi) 6 y = a1 + b11 y + K+ b1 2 y + c11xt 1K+ c1 2 xt ( + d t + e t + f Election+ g 2 t 1 t ( 2) 2) Plaza+ 11Oil2 + i11boj + j Ji min+ k11coa + l11bubble + m11sangi + n11pass + o Busi h x = a2 + b21 y + K+ b2 2 y + c21xt 1K+ c2 2 xt ( + d t + e t + f Election+ g 2 t 1 t ( 2) 2) Plaza+ 21Oil2 + i21boj + j Jimin+ k 21Coa + l 21Bubble + m21sangi + n21pass + o Busi h Election x =v05 Election y =v02 Election 10% t Ito-Park(1988) Ito(1990) Nordhaus (Election) Y (Election) X 7 Y 7

8 8 14 DC01 DC08 X t DC08 1 t 15 4 ( )

9 (= ) ( ) ( 7 3 ) 8 16 Pr ob ( DR01t = 1) = Φ( a + bv01t + c Passt + d DC01t + e Plazat + f Boj + g Coat + h Busit) Pr ob ( DR01t = 1) = Φ( i + j v02t + k Passt + l DC01t + m Plazat + n Boj + ocoat + p Busit) t t v01 v02 8 t (Pass) (DC01) (Busi) t Pr ob ( DR01t = 1) = Φ( q + rfit v01t + sfit v02t + tres v01t + ures v02t + w Passt + x DC01t + ybusit) 9 10 t Pass DC01 16 Cargill-Hutchison-Ito(1997) pp (1998) pp t P 10% 9

10 Busi FITv01 RESv01 v01t = α + β v03t + χ v04t + δ v05t + ε v06t + φ v07t + ϕplaza + γboj + ηcoa + Busi ι FITv02 RESv02 v02t = κ + λ v03t + µ v04t + ν v05t + ο v06t + π v07t + ϖplaza + θboj + ϑcoa + ρbusi v03-v07 v01 v02 11 t = u = 0 r = s = 0 Wald 12 P P 10% Alesina,A.,Cohen,G.D. and Roubini,N. (1991), "Macroeconomic Policy and Elections in OECD Democracies," NBER Working Paper No Alesina,A. and Roubini,N. (1992), "Political Cycles in OECD Economies," Review of Economic Studies 59, pp Alesina,A. (1988), "Macroeconomics and Politics," NBER Macroeconomics Annual, pp.11-55, The MIT Press. Alesina,A. and Roubini,N. with Cohen,G.D. (1997), Political Cycles and the Macroeconomy, The MIT Press. Bureau of the Census. (2000), "X-12-ARIMA Reference Manual Version 0.2.7". Cargill, T. and Hutchison,M.M. (1991), "Political Business Cycles with Endogenous Election Timing : Evidence from Japan," Review of Economics and Statistics, 73, pp

11 Cargill, T.,Hutchison,M.M. and Ito, T. (1997), The Political Economy of Japanese Monetary Policy, The MIT Press. (1998) 40 : Greene, W.H. (2000), Econometric Analysis, 4th edition, Prentice Hall International. Grilli,V.,Masciandaro,D. and Tabellini,G. (1991), "Political and Monetary Institutions and Public Financial Policies in the Industrial Countries," Economic Policy, Vol.13, pp Hibbs,Douglas.(1977), "Political Parties and Macroeconomic Policy," American Political Science Review 71, pp (1998). (2001) : 15 : (1983). (1995). Ito,T. (1990), "The Timing of Elections and Political Business Cycles in Japan," Journal of Asian Economics 1, pp Ito,T. and Park,G.H. (1988), "Political Business Cycles in the Parliamentary System," Economics Letters 27, pp (1998) 49(4) : (1983). (1999). (1997) X-12-ARIMA 25( ) : Lachler,U. (1982), "On Political Business Cycle with Endogenous Election Dates," Journal of Public Economics 17, pp MaCallum,B. (1978), "The Political Business Cycle; An Empirical Test," Southern Economic Journal 44, pp

12 MacKinnon,J.G. (1991), "Critical Values for Cointegrating Vectors," chapter 13 in Engle, R.F. and C.W.J. Granger (eds.), Long-run Economic Relationships: Readings in Cointegration, Oxford University Press.,G.S. (1996) 2. = ( 2001) Eviews. (1999). (1997) TSP. (1990) 6 : Nordhaus,W.D. (1975), "The Political Business Cycle," Review of Economic Studies, 42, pp Rogoff,K. (1990), "Equilibrium Political Business Cycle," American Economic Review 80, pp Rogoff,K. and Sibert,A. (1988), "Elections and Macroeconomic Policy Cycles," Review of Economic Studies 55, pp (1995). Toda, Hiro Y. and Yamamoto,T. (1995), Statistical inference in vector autoregressions with possibly integrated processes, Journal of Econometrics (66)1-2, pp (1993) 22 : (1994) 80 1 : (1995) TSP ( 2 ). (1988). (1998) VAR 91 12

13 1 v01 GDP / v02 v03 v04 v05 v06 v07 2 (y) (x) v01 v03 6 v01 v04 3 v01 v05 3 v01 v06 3 v01 v07 3 v02 v03 6 v02 v04 3 v02 v05 3 v02 v06 3 v02 v

14 3 Granger Wald P v01 v v03 v v01 v v04 v v01 v v05 v v01 v v06 v v01 v v07 v v02 v v03 v v02 v v04 v v02 v v05 v v02 v v06 v v02 v v07 v

15 4 Election DR/DC01 DR/DC02 DR/DC03 DR/DC04 DR/DC05 DR/DC06 DR/DC Election DR/DC08 DR/DC09 DR/DC10 DR/DC11 DR/DC12 DR/DC

16 5 Plaza Oil2 Boj Jimin Coa Bubble Sangi Pass

17 : : : : : :1-1 Y X Y X 1975: : : : : : : : : : : : : : : : : : : : : : : : :4 1 17

18 8 1975: : V02 V05 V02 V05 Plaza Oil2 Boj Jimin Coa Bubble Sangi Busi DC Plaza [ ] [ ] [ ] [ ] Oil2 [ ] [ ] [ ] [ ] Boj [ ] [ ] [ ] [ ] Jimin [ ] [ ] [ ] [ ] Coa [ ] [ ] [ ] [ ] Bubble [ ] [ ] [ ] [ ] Sangi [ ] [ ] [ ] [ ] Busi [ ] [ ] [ ] [ ] DC08 [ ] [ ] [ ] [ ] R-squared R-squared Adj. R-squared Adj. R-squared F-statistic F-statistic Log likelihood Log likelihood Akaike AIC Akaike AIC Log Likelihood (d.f. adjusted) Log Likelihood (d.f. adjusted) Akaike Information Criteria Akaike Information Criteria [ ] t 18

19 : : : : DR DR01 t P t P C V Pass DC Plaza Boj Coa Busi Log likelihood C FITV FITV RESV RESV Pass DC Busi Log likelihood Wald 1973: : DR01 Wald P t P C V Pass DC Wald P Plaza Boj Coa Busi Log likelihood Copyright(C) 2002 Akihito Inoue. All Rights Reserved. 19

1990年代以降の日本の経済変動

1990年代以降の日本の経済変動 1990 * kenichi.sakura@boj.or.jp ** hitoshi.sasaki@boj.or.jp *** masahiro.higo@boj.or.jp No.05-J-10 2005 12 103-8660 30 * ** *** 1990 2005 12 1990 1990 1990 2005 11 2425 BIS E-mail: kenichi.sakura@boj.or.jp