LA-VAR 1 1 1973 4 2000 4 Toda- Yamamoto(1995) VAR (Lag Augmented vector autoregressive model LA-VAR ) 2 2 Nordhaus(1975) 3 1 (D2) E-mail b1215@yamaguchi-u.ac.jp 2 Toda, Hiro Y. and Yamamoto,T.(1995) 3 Hibbs(1977) 1
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
Alesina-Cohen-Roubini(1991) Nordhaus (1993) ( 6 ) (1983) (1990) Nordhaus Cargill-Hutchison(1991) Cargill-Hutchison-Ito(1997) (1998) VAR ( LA-VAR ) ( ) ( ) AR 3 1973 4 2000 4 7 1 6 Ito-Park(1988) Ito(1990) 7 13 http://www.esri.cao.go.jp/jp/stat/di/011221hiduke.html 3
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 3.1 5 2 1 10 2 VAR ( ) (1998) (2001) AIC 10 y x 8 1998 4 9 (1997) Bureau of the Census (2000) 10 4
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 2 3.2 Toda-Yamamoto(1995) d max (1998) 2 11 2 2 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 2 11 2 e11t 3.3 Granger Granger x Granger y x y x y Toda-Yamamoto(1995) OLS c b = c c = = = 11 12 1p = b b = = = 21 22 2 p 0 0 0 Wald 3 Wald P 10% v02 v05 P 6.1% 11 d max 5
( ) 3.4 3 4 DR DC 13 12 DR/DC 01 1 DR/DC 02 1 1 DR/DC 07 6 1 DR/DC 08 DR/DC13 ( ) ( Pass) (1998) 13 4 12 DR DC Election 13 (1998) pp.34-35 6
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) 11 11 11 11 Plaza+ 11Oil2 + i11boj + j Ji min+ k11coa + l11bubble + m11sangi + n11pass + o Busi h 11 11 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) 21 21 21 21 Plaza+ 21Oil2 + i21boj + j Jimin+ k 21Coa + l 21Bubble + m21sangi + n21pass + o Busi h 21 21 Election x =v05 Election y =v02 Election 10% t Ito-Park(1988) Ito(1990) Nordhaus (Election) Y (Election) X 7 Y 7
8 14 DC01 DC08 X t DC08 1 t 15 4 ( ) 5 14 15 8
(= ) 1973 1976 1980 40 ( ) ( 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 17 9 10 (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.164-167 (1998) pp.43-44 17 t P 10% 9
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.3839. Alesina,A. and Roubini,N. (1992), "Political Cycles in OECD Economies," Review of Economic Studies 59, pp.663-688. 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.733-739. 10
Cargill, T.,Hutchison,M.M. and Ito, T. (1997), The Political Economy of Japanese Monetary Policy, The MIT Press. (1998) 40 : 29-45. 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.340-392. Hibbs,Douglas.(1977), "Political Parties and Macroeconomic Policy," American Political Science Review 71, pp.1467-1487. (1998). (2001) : 15 : 41-56. (1983). (1995). Ito,T. (1990), "The Timing of Elections and Political Business Cycles in Japan," Journal of Asian Economics 1, pp.135-156. Ito,T. and Park,G.H. (1988), "Political Business Cycles in the Parliamentary System," Economics Letters 27, pp.233-238. (1998) 49(4) : 94-115. (1983). (1999). (1997) X-12-ARIMA 25( ) : 13-55. Lachler,U. (1982), "On Political Business Cycle with Endogenous Election Dates," Journal of Public Economics 17, pp.111-117. MaCallum,B. (1978), "The Political Business Cycle; An Empirical Test," Southern Economic Journal 44, pp.504-515. 11
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 :152-171. Nordhaus,W.D. (1975), "The Political Business Cycle," Review of Economic Studies, 42, pp.169-190. Rogoff,K. (1990), "Equilibrium Political Business Cycle," American Economic Review 80, pp.21-36. Rogoff,K. and Sibert,A. (1988), "Elections and Macroeconomic Policy Cycles," Review of Economic Studies 55, pp.1-16. (1995). Toda, Hiro Y. and Yamamoto,T. (1995), Statistical inference in vector autoregressions with possibly integrated processes, Journal of Econometrics (66)1-2, pp.225-250. (1993) 22 :105-111. (1994) 80 1 : 185-212. (1995) TSP ( 2 ). (1988). (1998) VAR 91 12
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 v07 3 13
3 Granger Wald P v01 v03 6 8 2.67985 0.8478 v03 v01 17.73171 0.0069 v01 v04 0.631563 0.8892 3 5 v04 v01 3.275673 0.3510 v01 v05 5.132805 0.1623 3 5 v05 v01 0.253506 0.9685 v01 v06 1.604383 0.6584 3 5 v06 v01 2.103234 0.5513 v01 v07 2.547091 0.4668 3 5 v07 v01 4.959727 0.1748 v02 v03 5.607209 0.4686 6 8 v03 v02 11.31507 0.0791 v02 v04 1.667694 0.6441 3 5 v04 v02 3.70562 0.2951 v02 v05 7.368356 0.0610 3 5 v05 v02 3.226656 0.3580 v02 v06 1.884716 0.5967 3 5 v06 v02 14.75618 0.0020 v02 v07 0.599132 0.8966 3 5 v07 v02 2.988504 0.3934 14
4 Election DR/DC01 DR/DC02 DR/DC03 DR/DC04 DR/DC05 DR/DC06 DR/DC07 6 0 0 0 0 0 0 1 5 0 0 0 0 0 1 1 4 0 0 0 0 1 1 1 3 0 0 0 1 1 1 1 2 0 0 1 1 1 1 1 1 0 1 1 1 1 1 1 1 1 1 1 1 1 1 Election DR/DC08 DR/DC09 DR/DC10 DR/DC11 DR/DC12 DR/DC13 0 0 0 0 0 0.142857143 0 0 0 0 0.166666667 0.285714286 0 0 0 0.2 0.333333333 0.428571429 0 0 0.25 0.4 0.5 0.571428571 0 0.333333333 0.5 0.6 0.666666667 0.714285714 0.5 0.666666667 0.75 0.8 0.833333333 0.857142857 1 1 1 1 1 1 15
5 Plaza Oil2 Boj Jimin Coa 85 3 0 1 78 4 0 1 98 1 0 1 93 3 94 2 1 0 93 2 0 1 Bubble 91 1 0 1 Sangi Pass 89 2 0 1 16
6 7 1973:4 1 1974:1 0.6 1974:2 0.2 1974:3-0.2 1974:4-0.6 1975:1-1 Y X Y X 1975:2-0.75 1975:3-0.5 1975:4-0.25 1976:1 0 1976:2 0.25 1976:3 0.5 1976:4 0.75 1977:1 1 1977:2 0.333 1977:3-0.33 1977:4-1 1997:3 0.714 1997:4 0.429 1998:1 0.143 1998:2-0.14 1998:3-0.43 1998:4-0.71 1999:1-1 1999:2-0.71 1999:3-0.43 1999:4-0.14 2000:1 0.143 2000:2 0.429 2000:3 0.714 2000:4 1 17
8 1975:01-2000:04 104 V02 V05 V02 V05 Plaza Oil2 Boj Jimin Coa Bubble Sangi Busi DC01-0.142901 0.096306 Plaza -0.142756 0.094517 [-2.67007] [ 1.02771] [-2.66402] [ 1.01018] 0.050241 0.087383 0.051354 0.090206 Oil2 [ 0.85184] [ 0.84616] [ 0.87049] [ 0.87574] 0.217411 0.152882 0.219699 0.122029 Boj [ 2.66358] [ 1.06972] [ 2.62701] [ 0.83568] -0.089262 0.045635-0.091997 0.060017 Jimin [-1.39672] [ 0.40783] [-1.41920] [ 0.53026] 0.231121 0.054368 0.234034 0.031568 Coa [ 3.05908] [ 0.41098] [ 3.03607] [ 0.23454] -0.017817 0.058362-0.016874 0.049968 Bubble [-0.30146] [ 0.56397] [-0.28407] [ 0.48177] -0.058392-0.028239-0.053827-0.0132 Sangi [-0.74604] [-0.20606] [-0.69314] [-0.09735] -0.079703-0.027981-0.0806-0.028215 Busi [-3.36150] [-0.67398] [-3.39925] [-0.68151] 0.015746 0.105036 0.00472 0.102336 DC08 [ 0.44188] [ 1.68349] [ 0.14248] [ 1.76917] R-squared 0.98962 0.885577 R-squared 0.989598 0.885974 Adj. R-squared 0.986962 0.856273 Adj. R-squared 0.986934 0.856773 F-statistic 372.2922 30.22086 F-statistic 371.4914 30.33987 Log likelihood 116.6007 58.34472 Log likelihood 116.4899 58.52576 Akaike AIC -1.819245-0.698937 Akaike AIC -1.817114-0.702418 Log Likelihood (d.f. adjusted) 150.8335 Log Likelihood (d.f. adjusted) 150.9745 Akaike Information Criteria -2.05449 Akaike Information Criteria -2.057203 [ ] t 18
9 1 11 3 1973:04-2000:04 1973:04-2000:04 109 DR01 109 DR01 t P t P C -22.78356-0.97073 0.3317 V01 1.262809 0.790792 0.4291 Pass 0.291681 3.267925 0.0011 DC01 1.641519 2.417136 0.0156 Plaza -1.189662-1.07498 0.2824 Boj -0.348012-0.390115 0.6965 Coa 0.515203 0.67416 0.5002 Busi 1.029142 2.095529 0.0361 Log likelihood -18.12106 C -11.69225-0.887369 0.3749 FITV01 0.47564 0.5141 0.6072 FITV02-0.241737-0.482337 0.6296 RESV01 23.86945 1.675258 0.0939 RESV02 1.933889 1.39948 0.1617 Pass 0.345497 3.20576 0.0013 DC01 1.572386 2.252449 0.0243 Busi 1.213162 2.164607 0.0304 Log likelihood -17.30399 10 2 12 Wald 1973:04-2000:04 109 DR01 Wald 3.237857 P 0.1981 t P C -3.901696-2.166563 0.0303 V02-0.214445-0.296334 0.767 Pass 0.276328 3.311202 0.0009 DC01 1.577254 2.38085 0.0173 Wald 0.292293 P 0.864 Plaza -0.410308-0.651718 0.5146 Boj -0.028773-0.020831 0.9834 Coa 0.886061 0.93869 0.3479 Busi 0.980594 2.004456 0.045 Log likelihood -18.41557 Copyright(C) 2002 Akihito Inoue. All Rights Reserved. 19