2 book conference 1990 2003 14 Repeated Cross-Section Data 1 M1,M2 M1 Sekine(1998) Repeated Cross-Section Data 1
1. (1989), Yoshida and Rasche(1990), Rasche(1990), 19921997, Fujiki and Mulligan(1996), 1996, Sekine(1998), (2001), Fujiki(2002), 2003, (2004) Bahmani-Oskooee and Shabsigh(1996), Amano and Wirjanto(2000), Bahmani-Oskooee (2001), 2001, Nagayasu(2003), Tang (2004) 1989 ECM VECM Fujiki and Mulligan(1996) M2 1.21.4-0.2-0.3 Fujiki(2002) 2004 M1 1.0 0.1 1 Mulligan and Sala-i-Martin(1992)Mankiw (1992) Mulligan and Sala-i-Martin(2000) Attanasio, Guiso and Jappelli(2002) ( ) 1990 2003 14 Repeated Cross-Section Data 2
2 3 M1 Nakashima and Saito(2002)(2004)Miyao(2003) 4 5 2. 13 4 28 1990 2003 14 1) 2 400 15 2 6000 6 7 Repeated Cross-Section Data 1 + M1 M1 M2 2000 CPI 1 M1M2 M1 3
1 1 3. 1 Sample Selection Bias (2) 4
Inverse Mill s Ratio (1) Heckman Sample Selection ln( + M i, t Pt ) = β0 + β R ln( Rt ) + β I ln( Ii, t / Pt ) + β Xj X i, t, j ui, t j (1) α 0 + α R ln( R t ) + α I ln( Ii, t / Pt ) + α Xj X i, t, j + e i, t un(0,σ) en(0,1) corr(u,e)=ρ j 0 (2) 2 M1 2 3 1990 2003 2 1.090.084 1 Fujiki(2002) 2004 M1 Rasche(1990) 1.0 2001 0.922 1 2 M1() 1 5
3 M1() 1 0.084 Rasche(1990)0.5 0.6 (2004) 0.1 20010.135 4 M2() 1 6
5 M2() 1 M2 4 5 4 1.06 Fujiki and Mulligan(1996) 1.2 1.4 Yoshida and Rasche(1990) 1.2 Bahmani-Oskooee(2001) 1.0721.174 1 M2 3 2 5 1998 2) (1)(2) 6 M1 1998 M2 1998 0.054 1998 0 7
6 1 2 M1() * 3 M2() 8
2M1 3M2 M1 0.5 1 95 0 1 M2 6 1 M1 4. 1 80 1988 19921992 1996Sekine(1998) Mankiw 1992 (1)(2) M1 7 0.41 0.096 0.1 M2 9 Sekine(1998) M2+CD 0.4 M1 0.41M2 0.21 Baumol =Tobin 9
7 M1() 2 8 M1() 2 10
9 M2() 2 10 M2() 2 2 1998 11 M1,M2 11
M1 1998 11 2 4 5 M1 M2 6 7 M1 M2 0.8 4 M1() * 12
5 M2() 6 M1() 7 M2() 5. ( ) 1990 2003 14 Fujiki and Mulligan(1996) Repeated Cross-Section Data 1 13
M1,M2 M1 Sekine(1998) M1 M2 1) 1989 2) 1998 7 1998 1996 19928 (2001) 20 1 (2004) 1990 23 3 2001 90 14
Amano, R and T.S. Wirjanto(2000), On the Stability of Long-run M2 Demand in Japan, The Japanese Economic Review Vol.51 No.4, pp.536-542 Attanasio,O.P., L.Guiso and T.Jappelli(2002), The Demand for Money, Financial Innovation and Welfare Cost of Inflation: An Aalysis with Household Data, Journal of Political Economy Vol.110 No.2, pp.317-351 Bahmani-Oskooee,M(2001), How Stable is M2 money demand function in Japan?, Japan and the World Economy13, pp.455-461 Bahmani-Oskooee,M and G. Shabsigh(1996), The Demand for Money in Japan: Evidence from Cointegration Analysis, Japan and the World Economy 8, pp.1-10 Fujiki, H., and C.B.Mulligan(1996), A Structural Analysis of Money Demand: Cross-Sectional Evidence from Japan, Monetary and Economic Studies Vol.14 No.2, pp.53-78 Fujiki, H.(2002), Money Demand near Zero Interest Rate: Evidence from Regional Data, Monetary and Economic Studies 20(2), pp.25-42 Lucas,R.E(2000), Inflation and Welfare, Econometrica, 68(2), pp.247-274 Mankiw,N.G(1992), Comments, Brookings Papers on Economic Activity 2, pp.330-334 Mulligan,C.A and X. Sala-i-Martin(1992) "U.S. monetary demand: surprising cross-sectional estimate", Brookings Papers on Economic Activity 2, pp.285-329 Mulligan,C.A and X. Sala-i-Martin(2000) "Extensive Margins and the Demand for Money at Low Interest Rate ", Journal of Political Economy Vol.108 No.5, pp.962-991 Miyao, R.(2003) Liquidity Traps and the Stability of Monetary Demand: Is Japan Really Trapped at the Zero Bound? mimeo Nagayasu, J(2003), A re-examination of the Japanese Money Demand Function and Structural Shift, Journal of Policy Modeling 25, pp.359-375 Nakashima, K. and M. Saito(2002), Strong Money Demand and Nominal Rigidity: 15
Evidence from the Japanese Money Market under the Low Interest Rate Policy, Discussion Paper No.2001-11, Graduate School of Economics, Hitotsubashi University Rasche,R.H(1990), Equilibrium Income and Interest Elasticities of the Demand for M1 in Japan Monetary and Economic Studies Vol.8 No.2, pp.31-58 Sekine,T(1998), Financial Liberalization, the Wealth Effect, and the Demand for Broad Money in Japan, Monetary and Economic Studies Vol.16 No.1, pp.365-355 Tang, T.C.(2004), Demand for Broad Money and Expenditure Components in Japan: An Empirical Study Japan and the World Economy, forthcoming Yoshida,T. and R.H.Rasche(1990), The M2 Demand in Japan: Shifted and Unstable? Monetary and Economic Studies Vol.8 No.2, pp.9-30. Mulligan and Sala-i-Martin(2000)Attanasio, Guiso and Jappelli(2002) Lucas(2000) = r η W ( r) ( ) ( ) = r η m x dx rm r µ (3) 0 1 η m M1 2 0.72 0.16895%0.0780.263 (2001) GDP 0.3 16