日本経済における構造変化と景気変動
Structural VAR Model による分析
1993 年 44 巻 2 号 p. 142-158
詳細
1993 年 44 巻 2 号 p. 142-158
In this paper, I investigate structural change and economic fluctuations in Japan by estimating a structural VAR model including four macroeconomic variables, real GNP, the GNP deflator, money supply (M2+CD) and interest rate (call rate). The main results I obtain are as follows;
(1) Structural change tests show that the structural change in the Japanese economy in the 1970's may have occurred before the first oil crisis.
(2) Granger causality tests show that fluctuations in real GNP and the GNP deflator caused changes in money supply in the former period (1956:1-1969:4), but in the latter period (1970:1-1988:4), those relationships disappeared and conversely fluctuations in money supply caused changes in output.
(3) Innovation accounting shows that the convergence speed of the endogenous variables to exogenous innovations, in the latter period, was slower and also the interdependency of each variable was more complicated than in the former period.
